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Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run

Keating, John - Econometric Society - 2004

I examine the statistical model of permanent and transitory shocks to output under the following structural assumptions: An aggregate supply shock that raises output will cause the price level to fall and an aggregate demand shock that initially raises output will cause the price level to rise....

Persistent link: https://www.econbiz.de/10005130221

Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?

Thomakos, Dimitrios D.; Bhattacharya, Prasad S. - Econometric Society - 2004

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the ``exchange rate pass-through" effect, that is, when one accounts for the variability of the exchange rate and import prices. An exchange rate depreciation leading to a higher level of...

Persistent link: https://www.econbiz.de/10005702549

Real Exchange Rate Misalignments

Valladares, Frederico; Terra, Cristina - Econometric Society - 2004

This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with...

Persistent link: https://www.econbiz.de/10005063555

Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis

Justiniano, Alejandro - Econometric Society - 2004

This paper uses dynamic factor analysis to investigate the sources of foreign shocks and the propagation mechanism of these disturbances into two small open economies, Australia and Canada. Panels including a variety of foreign and domestic series for each country are used to estimate the...

Persistent link: https://www.econbiz.de/10005328892

BUSINESS CYCLE IN THE INDUSTRIAL PRODUCTION OF BRAZILIAN STATES

Portugal, Marcelo Savino; Morais, Igor Alexandre Clemente de - Econometric Society - 2004

The present paper applies the Markov switching model with the aim of checking two industrial production features of six major Brazilian states. Firstly, we try to determine the date of business cycles and, soon afterwards, we verify the existence or not of an unobservable component that is...

Persistent link: https://www.econbiz.de/10005328920

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

On the inadmissibility of classical tests in unit-root-type situations

Ploberger, Werner - Econometric Society - 2004

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...

Persistent link: https://www.econbiz.de/10005328960

Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity

Seo, Byeongseon - Econometric Society - 2004

, generalized autoregressive conditional heteroskedasticity (GARCH), was made by Engle (1982) and Bollerslev (1986) to explain the …) of the cointegrating vector in the vector error correction model with conditional heteroskedasticity. This paper is … useful and required because the existing estimation methods do not consider conditional heteroskedasticity in the data. This …

Persistent link: https://www.econbiz.de/10005328963

BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS

Bauwens, Luc; Rombouts, Jeroen - Econometric Society - 2004

We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...

Persistent link: https://www.econbiz.de/10005328977

Testing Asset Pricing Model with Coskweness

Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Persistent link: https://www.econbiz.de/10005328981