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Coenen, Günter; Vega, Juan Luis - European Central Bank - 1999

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term...

Persistent link: https://www.econbiz.de/10005162897

Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach

Dées, Stéphane; Güntner, Jochen - European Central Bank - 2014

This paper uses a panel VAR (PVAR) approach to estimating, analysing, and forecasting price dynamics in four different …

Persistent link: https://www.econbiz.de/10011067209

Commodity prices, money and inflation

Browne, Frank; Cronin, David - European Central Bank - 2007

corrected over time. Using a cointegrating VAR framework and US data, our empirical findings are supportive of these …

Persistent link: https://www.econbiz.de/10005222385

Fiscal variables and bond spreads: evidence from eastern European countries and Turkey

Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - European Central Bank - 2009

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic...

Persistent link: https://www.econbiz.de/10008549310

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - European Central Bank - 2009

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

Persistent link: https://www.econbiz.de/10004969163

The economic effects of exogenous fiscal shocks in Spain: a SVAR approach

de Castro Fernández, Francisco; Hernández de Cos, Pablo - European Central Bank - 2006

This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure …

Persistent link: https://www.econbiz.de/10005530742

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...

Persistent link: https://www.econbiz.de/10005530754