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The COVID-19 shock and challenges for time series models
Bobeica, Elena; Hartwig, Benny - 2021
notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …
Persistent link: https://www.econbiz.de/10012519429
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Global financial markets and oil price shocks in real time
Venditti, Fabrizio; Veronese, Giovanni - 2020
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10012299083
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Exchange rate pass-through in the Euro Area
Mirdala, Rajmund - 2016
Time-varying exchange rate pass-through effects to domestic prices under fixed euro exchange rate perspective represent one of the most challenging implications of the common currency. The problem is even more crucial when examining crisis related redistributive effects associated with relative...
Persistent link: https://www.econbiz.de/10011456836
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Demand shocks vs. supply shocks : which shocks matter more in income and price inequality?
Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung - 2022
This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in Blanchard and Quah (1989) and Bashar (2011). In addition,...
Persistent link: https://www.econbiz.de/10013198179
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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A VAR model for monetary policy analysis in a small open economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999
for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …
Persistent link: https://www.econbiz.de/10011584357
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that … simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against … simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor …
Persistent link: https://www.econbiz.de/10009658243
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period …
Persistent link: https://www.econbiz.de/10010365211
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …
Persistent link: https://www.econbiz.de/10010496122