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On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity

Andersson, Björn - 1999

. Saving and GDP are estimated in bivariate vector autoregressive or vector error-correction models for Sweden, UK, and USA …

Persistent link: https://www.econbiz.de/10010321740

Money and the transmission of monetary policy

Carpenter, Seth; Demiralp, Selva - 2009

The transmission mechanism of monetary policy has received extensive treatment in the macroeconomic literature. Most models currently used for macroeconomic analysis exclude money or else model money demand as entirely endogenous. Nevertheless, academic research and many textbooks continue to...

Persistent link: https://www.econbiz.de/10010273662

Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model

Fadejeva, Ludmila; Feldkircher, Martin; Reininger, Thomas - 2015

and the U.S.A. For that purpose, we use a global vector autoregressive (GVAR) model and isolate disturbances stemming from … shocks in the euro area and in the U.S.A. Last, historical decompositions of deviations from trend growth show that for the … euro area developments, foreign shocks originating in the U.S.A., the UK and the CESEE and CIS regions feature most …

Persistent link: https://www.econbiz.de/10013370115

US Monetary Policy in a Globalized World

Cuaresma, Jesús Crespo; Doppelhofer, Gernot; … - 2016

We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock...

Persistent link: https://www.econbiz.de/10013370122

The US inflation-unemployment tradeoff: Methodological issues and further evidence

Karanassou, Marika; Sala, Hector - 2009

This paper adresses the various methodological issues surrounding vector autoregressions, simultaneous equations, and chain reactions, and provides new evidence on the long-run inflation-unemployment tradeoff in the US. It is argued that money growth is a superior indicator of the monetary...

Persistent link: https://www.econbiz.de/10010280760

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...

Persistent link: https://www.econbiz.de/10010280768

A simple test of the New Keynesian Phillips Curve

Carriero, Andrea - 2007

We propose a way to test the New Keynesian Phillips Curve (NKPC) without estimating the structural parameters governing the curve, i.e. price stickiness and firms' backwardness. Using this strategy we can test the NKPC avoiding the identification problems related to the GMM approach. We find...

Persistent link: https://www.econbiz.de/10010284158

Productivity growth and the Phillips curve: A reassessment of the US experience

Karanassou, Marika; Sala, Hector - 2008

In this paper we analyse a new Phillips curve (NPC) model and demonstrate that (i) frictional growth, i.e. the interplay of wage-staggering and money growth, generates a nonvertical NPC in the long-run, and (ii) the Phillips curve (PC) shifts with productivity growth. On this basis we estimate a...

Persistent link: https://www.econbiz.de/10010284170

Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a wide range of forecast horizons and allow for estimated as...

Persistent link: https://www.econbiz.de/10010263217