Showing 1 - 10 of 1,615
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices...
Persistent link: https://www.econbiz.de/10014402063
This paper examines some recent techniques designed to draw inferences about the credibility of changes in macroeconomic policy regimes. An alternative two-step approach, based on the decomposition between permanent and transitory components of a "credibility variable" is proposed. The...
Persistent link: https://www.econbiz.de/10014397806
The paper suggests an econometric methodology for testing the effectiveness of reforms implemented in one major step, i.e., discrete reforms. The methodology is based on the exogeneity properties of variables in an econometric model. The paper specifies the preconditions for setting up an...
Persistent link: https://www.econbiz.de/10014400112
The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....
Persistent link: https://www.econbiz.de/10014401070
We analyze the causes of the apparent bias towards optimism in growth forecasts underpinning the design of IMF-supported programs, which has been documented in the literature. We find that financial variables observable to forecasters are strong predictors of growth forecast errors. The greater...
Persistent link: https://www.econbiz.de/10012795149
By combining industry-level data on output and prices with monetary policy rates for a panel of 88 countries, this paper analyzes how the effects of monetary policy vary with certain industry characteristics. Next to being interesting in their own right, our results are informative on the...
Persistent link: https://www.econbiz.de/10013170546
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10014399636
introduction of adjustment costs in production and in portfolio holdings allows us to reconcile theory and this feature of the data …
Persistent link: https://www.econbiz.de/10014396942
money demand functions. Notably, it summarizes the salient features of a number of recent studies that applied cointegration …
Persistent link: https://www.econbiz.de/10014400418