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Stability of the demand for real narrow money in lndonesia

Anglingkusumo, Reza - 2005

The stability of the demand for real Ml in Indonesia is empirically examinedusing quarterly data between 1981 and 2002. A cointegrated VAR methodology thatisolates the period of structural breaks in the data generating process of the variables,caused by the Asian crisis, is used. The results...

Persistent link: https://www.econbiz.de/10011343266

Optimal hedging with the Vector Autoregressive model

Gatarek, Lukasz; Johansen, Søren - 2014

with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …

Persistent link: https://www.econbiz.de/10010244526

Stability of the demand for real narrow money in Indonesia : evidence from the pre and post Asian crisis era

Anglingkusumo, Reza - 2005

Persistent link: https://www.econbiz.de/10002902073

Bayesian averaging over many dynamic model structures with evidence on the great ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003774524

Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging

Strachan, Rodney W.; Dijk, Herman K. van - 2010

Persistent link: https://www.econbiz.de/10003974036

Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10011377110