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A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

Persistent link: https://www.econbiz.de/10001786381

An alternative explanation of the prize puzzle

Giordani, Paolo (contributor) - 2001 - [Elektronische Ressource], Rev. November 19, 2001

This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....

Persistent link: https://www.econbiz.de/10001600038

Stronger evidence of long-run neutrality : a comment on Bernanke and Mihov

Giordani, Paolo (contributor) - 2001 - [Elektronische Ressource], Rev. May 11, 2001

Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...

Persistent link: https://www.econbiz.de/10001600067

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...

Persistent link: https://www.econbiz.de/10001693105

Essays in monetary economics and applied econometrics

Giordani, Paolo - 2001

Persistent link: https://www.econbiz.de/10001613659

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The single European market, Swedish investment liberalisation, and horizontal and vertical multinationals

Mathä, Thomas (contributor) - 2001 - [Elektronische Ressource]

This paper analyses the effects of the Single European Market and Swedish Investment liberalisation on the structure of Swedish multinationals with their EU affiliates. The empirical results suggest that the determinants associated with horizontal and vertical multinationals have become...

Persistent link: https://www.econbiz.de/10001637941

Population aging and international capital flows

Domeij, David (contributor); Flodén, Martin (contributor) - 2003 - [Elektronische Ressource]

We use the neoclassical growth framework to model international capital flows in an economy with exogenous demographic change. We compare model implications and actual current account data and find that the model explains a small but significant fraction of capital flows between OECD countries,...

Persistent link: https://www.econbiz.de/10001801345

On seasonal error correction when the processes include different numbers of unit roots

Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …

Persistent link: https://www.econbiz.de/10001600047

Error correction in DHSY

Eliasson, Ann-Charlotte (contributor); … - 2002 - [Elektronische Ressource]

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10001714625

Modelling the demand for M3 in the unified Germany

Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996

Persistent link: https://www.econbiz.de/10000936487