This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...

This paper examines the determinants of consumers' buying attitudes for houses. Data on buying attitudes are from responses to the Surveys of Consumer Attitudes conducted by the Survey Research Center, University of Michigan. The determinants considered include current and expected interest...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified...

It is emphasized that the shocks in structural vector autoregressions are only identified up to sign and it is pointed out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such as Bayesian or bootstrap methods are used. The...

This article hypothesises that, due to factors such as thin trading and lack of publicly available data on transactions in the land market, urban land prices react more sluggishly to shocks in market fundamentals than housing prices do. Based on a vector error-correction model utilising...

The formation of the South Asian Association of Regional Cooperation (SAARC) in the mid-1980s was aimed at achieving regional integration and economic growth. Hence, examining output interrelationships among South Asian economies becomes imperative, but work on this aspect has remained...

The literature on export-led growth in India is voluminous but inconclusive. This study re-examines the export–output relationship over the 1960–2009 period, and finds strong evidence of export-led growth for India. While there is no long-run cointegration relationship between...

We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic...