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A model for international spillovers to emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2019
This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...
Persistent link: https://www.econbiz.de/10012141559
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A Model for International Spillovers to Emerging Markets
Houssa, Romain; Mohimont, Jolan; Otrok, Chris - 2019
This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...
Persistent link: https://www.econbiz.de/10012052808
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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010317005
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Spillovers in space and time: Where spatial econometrics and Global VAR models meet
Elhorst, Jean Paul; Tereanu, Eugen; Gross, Marco - 2018
We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight)...
Persistent link: https://www.econbiz.de/10011853322
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A re-examination of the exchange rate – interest rate differential relationship in Ghana
Ofori, Isaac Kwesi; Armah, Mark Kojo - 2021
This paper revisits the exchange rate and interest rate differential relationship since Ghana adopted the inflation targeting regime. Using macro-data spanning 2002 to 2019 for Ghana and the United States, we show the nonexistence of the relationship in both the short-run and long-run. Further,...
Persistent link: https://www.econbiz.de/10012511633
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, Hashem - 2009
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10011605044
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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10010276215
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Effects of monetary policy shocks on UK regional activity: A constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011380981
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Macroeconomic dynamics and the IS puzzle
Hawkins, Raymond J.; Nguyen, Chau N. - 2017
The authors solve the IS puzzle for the G7 countries. They find that five of the G7 countries have the expected significant negative relationship between the output gap and the realrate gap; the time series of the remaining two show material deviation from expected IScurve behavior. The authors...
Persistent link: https://www.econbiz.de/10011650445
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Identifying the interdependence between US monetary policy and the stock market
Bjørnland, Hilde C.; Leitemo, Kai - 2005
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution … shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute …
Persistent link: https://www.econbiz.de/10010284471