linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and … country differences, where the latter includes the exchange rate. The symmetric two-country cointegrated VAR model is …’ economies. The possibilities of a recursive structural VECM representation under symmetry is evaluated. The derived conditions …

estimation, we first confirmed the finding of Cheung et al. (2004), whereas trade balance is additionally considered. The nominal … nominal exchange rates were found to converge much more slowly than the prices. The nominal exchange shock did not …

This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting of foreign exchange … characteristics. Thus, this paper proposes the application of Extreme Value Theory in computing an “Extreme VaR” to directly focus on … exposures of ASEAN+3 countries. This paper addresses the issue that traditional VaR models assume normality of the return …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …