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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10013317369
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Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3
Warne, Anders - 2006
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10011604738
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Is euro area demand (still) stable? : cointegrated VAR versus single equation techniques
Belke, Ansgar; Czudaj, Robert - 2010
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...
Persistent link: https://www.econbiz.de/10010208785
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area
Beyer, Andreas; Juselius, Katarina - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed …
Persistent link: https://www.econbiz.de/10011605195
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British interest rate convergence between the US and Europe : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
calculations carried out in a cointegration framework. As the ecidence for the single parities remains unconvincing, UIP and EHT … Currency Union. -- Nominal Convergence ; Cointegration ; UIP ; Term Structure ; Euro Area …
Persistent link: https://www.econbiz.de/10003324208
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...
Persistent link: https://www.econbiz.de/10003867061
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The euro and the transatlantic capital market leadership : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector...
Persistent link: https://www.econbiz.de/10003375781
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Is euro area money demand (still) stable? : cointegrated VAR versus single equation techniques
Belke, Ansgar; Czudaj, Robert - 2010
applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …
Persistent link: https://www.econbiz.de/10003939738
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Does it matter how aggregates are measured? : the case of monetary transmission mechanisms in the euro area
Beyer, Andreas; Jusélius, Katarina - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed … the choice of aggregation method. - Aggregation ; Flexible weights ; Eurowide money demand ; Cointegration …
Persistent link: https://www.econbiz.de/10003970393