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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany
van Zandweghe, Willem; Gottschalk, Jan - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10010276923
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How do fiscal and technology shocks affect real exchange rates? New evidence for the United States
Enders, Zeno; Müller, Gernot J.; Scholl, Almuth - 2008
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive...
Persistent link: https://www.econbiz.de/10010298405
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The behaviour of the real exchange rate: evidence from regression quantiles
Nikolaou, Kleopatra - 2006
We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...
Persistent link: https://www.econbiz.de/10011604713
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PPP: a Disaggregated View
Fischer, Christoph - 2004
By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...
Persistent link: https://www.econbiz.de/10010295634
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The effects of real exchange rate shocks in an economy with extreme liability dollarization
Melander, Ola - 2009
using vector autoregression (VAR) methods. Bolivia's extreme liability dollarization makes it an interesting case for …-depreciations literature, the paper uses identification assumptions which are inspired by modern macroeconomic theory and common in the … empirical VAR literature on the effects of monetary policy. I find that a real exchange rate depreciation has negligible effects …
Persistent link: https://www.econbiz.de/10010281403
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Skill-biased technological change and the business cycle
Balleer, Almut; Van Rens, Thijs - 2012
-biased technology shocks in a VAR with long-run restrictions. Hours fall in response to skill-biased technology shocks, indicating that …
Persistent link: https://www.econbiz.de/10010286842
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A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications
Fischer, Christoph; Porath, Daniel - 2006
Panel unit root tests of real exchange rates - as opposed to univariate tests - usually reject non-stationarity. These tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that the real exchange rate, being a sum of a stationary...
Persistent link: https://www.econbiz.de/10010295811
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Cyclical skill-biased technological change
Balleer, Almut; van Rens, Thijs - 2009
for the skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long run …
Persistent link: https://www.econbiz.de/10010276400
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Fiscal shocks and real exchange rate dynamics: some evidence for Latin America
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2008
, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks …
Persistent link: https://www.econbiz.de/10010264312
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A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988
Seymen, Atilim - 2008
shocks in a structural VAR framework. The investigation is conducted based on two seminal structural VAR studies by Gali … findings. The analysis builds on two studies of Alexius and Carlsson (2001, 2005) that examine the ability of structural VAR …
Persistent link: https://www.econbiz.de/10010297992