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The role of oil prices and the real exchange rate in Russia's economy
Rautava, Jouko - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2002
Russia's economy and fiscal policy is analysed using VAR methodology and cointegration techniques. The research period …
Persistent link: https://www.econbiz.de/10005419613
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Determinants of real exchange rates: An empirical investigation
Kakkar, Vikas; Yan, Isabel - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2014
The large and persistent deviations of nominal exchange rates from their purchasing power parities comprise a key stylized fact in international economics. This paper sheds light on these persistent deviations by combining two disparate strands of empirical work. The first strand focuses on real...
Persistent link: https://www.econbiz.de/10011019069
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Disentangling loan demand and supply shocks in Russia
Deryugina, Elena; Kovalenko, Olga; Pantina, Irina; … - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2015
This article presents three alternative models for decomposing loan developments into components associated with changes in loan demand and supply fundamentals. Two models are based on macro data (error correction model and structural vector autoregression with sign restrictions) and one is...
Persistent link: https://www.econbiz.de/10011204443
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Determinants of Inflation in Poland: A Structural Cointegration Approach
Kim, Byung-Yeon - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2001
Using cointegration and error-correction models, this paper analyses the relative impacts of the monetary, labour and … structural system approach in which cointegration relationships are used to derive deviations from steady-state levels. The …
Persistent link: https://www.econbiz.de/10005190663
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Dollarization in Lithuania: An Econometric Approach
Vetlov, Igor - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2001
The paper analyses the factors driving dollarization in Lithuania during the period from December 1992 to August 2000. Starting with a brief overview of the major economic and political developments in Lithuania, the study attempts to model the process of dollarization by applying rigorous time...
Persistent link: https://www.econbiz.de/10005190680
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Money, Barter and Inflation in Russia
Kim, Byung-Yeon; Pirttilä, Jukka; Rautava, Jouko - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2001
open economy macro model, we estimate our model using structural cointegration and vector error correction methods. Our …
Persistent link: https://www.econbiz.de/10005648582
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Equilibrium exchange rates in the transition: The tradable price-based real appreciation and estimation uncertainty
Égert, Balázs; Lommatzsch, Kirsten - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2004
traditional Balassa-Samuelson model. With this as a background, alternative cointegration methods are applied to time series …
Persistent link: https://www.econbiz.de/10005648593
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Econometric Analysis of Currency Substitution: A Case of Latvia
Sarajevs, Vadims - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2000
The paper provides a comprehensive econometric analysis of currency substitution for Latvia. Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to empirical analysis of the phenomenon, direct modelling of currency...
Persistent link: https://www.econbiz.de/10005648637
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Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests
M. Lucey, Brian; Voronkova, Svitlana - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2005
’ equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration … tests, we apply novel cointegration approaches, including Gregory-Hansen (1996) test, which allows for a structural break in … the relationships, as well as the newly developed stochastic cointegration test by Harris, McCabe and Leybourne (2002) and …
Persistent link: https://www.econbiz.de/10005648648
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Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2006
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic...
Persistent link: https://www.econbiz.de/10005419581