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Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

Villani, Mattias; Warne, Anders - 2003

handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A …

Persistent link: https://www.econbiz.de/10009636519

A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - 2004

In the paper we propose a new methodological approach to core in- flation estimation, based on a frequency domain …

Persistent link: https://www.econbiz.de/10009636528

A markup model of inflation for the euro area

Bowdler, Christopher; Jansen, Eilev S. - 2004

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

Persistent link: https://www.econbiz.de/10009636529

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the …

Persistent link: https://www.econbiz.de/10009636544

A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - 2003

for the existence of a bank lending channel. Finally, the estimation of the Structural-VECM highlights very rich dynamics …

Persistent link: https://www.econbiz.de/10009635913

Interest rate reaction functions and the Taylor rule in the euro area

Gerlach-Kristen, Petra - 2003

Traditional Taylor rules, which are estimated using a level specification linking the short-term interest rate to inflation and the output gap, are unstable when estimated on euro area data and forecast poorly out of sample. We present an alternative reaction function which takes the...

Persistent link: https://www.econbiz.de/10009635919

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

Persistent link: https://www.econbiz.de/10009635972

The demand for euro area currencies

Fischer, Björn; Köhler, Petra; Seitz, Franz - 2004

cointegration framework. We find significant differences between the determinants of holdings of small and large denominations as …

Persistent link: https://www.econbiz.de/10009636553

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy …

Persistent link: https://www.econbiz.de/10009635920