is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short …-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable …

In this study we construct a measure of macroeconomic uncertainty from several observable …

econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in … articles in this issue's special section on "Exogeneity, Cointegration, and Economic Policy Analysis." …

expansion) by focusing on domestic inflation, the foreign exchange (FX) rate, and the quantity of FX traded in the local market …. The empirical results suggest that the inflation rate is largely driven by foreign price and oil shocks. Nevertheless, the … the exchange rate, and slightly increasing the inflation rate. The latter finding has important implications for the …

into a VAR model with ARCH shocks to measure the effect monetary policy uncertainty has on inflation, output growth … uncertainty may be the result. We quantify this degree of uncertainty by measuring and aggregating recent deviations of the … federal funds rate from econometric forecasts predicted by constant gain learning. We incorporate this measure of uncertainty …