The paper is devoted to the analysis of impulses summoned by shifts in Russian economy's money supply. We catch the shocks outgoing to primal elements of gross domestic product, i.e. consumption of goods and durables, capital investment, public expenditures and net export. Using VEC model we...

Subject of the present study is the agent-based computer simulation of Agent Island. Agent Island is a macroeconomic model, which belongs to the field of monetary theory. Agent-based modeling is an innovative tool that made much progress in other scientific fields like medicine or logistics. In...

This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country....

In this paper I address the following questions. - Has the business cycle become longer and shallower? And why? - How stabilizing is monetary policy. In answering these questions I summarize recent research undertaken by Adrian Pagan and myself that formalizes the procedures developed by Burns...

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of ASEAN-5 countries. While it supports earlier findings supportive of monetary exchange rate model in...

In this paper we analyze the effects of a monetary policy shock on Mexican unemployment rates. Unlike previous studies we re-estimate unemployment rates so that these alternative rates are comparable to those of the OECD member countries. We find that in response to tightening monetary policy,...

This paper investigates evidence on the effect of dollar depreciation on the US tourism balance of trade. Export revenue and import spending functions are estimated separately with structural vector autoregressive methods to better capture the dynamic adjustment to exchange rate shocks....

Exchange rate plays an important role in transmitting pressures from the external shocks to the domestic economy. Development of inflation in the domestic economy is significantly determined by the ability of exchange rate to transmit external price related pressures to the domestic market....

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change...