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Short and long run causality measures: theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at a given horizon h, and causality up to any given horizon h [Dufour and Renault (1998)]. This generalization...
Persistent link: https://www.econbiz.de/10005111024
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Linear Lagged Relationship between Inflation, Unemployment and Labor Force Change Rate in France : Cointegration Test
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - 2007
just a marginal improvement in RMSFE at the four-year horizon both for GDP deflator (down to 0.9%) and CPI (~1.1%) on the …. The relationship obtained for France is characterized by A0=-1, A1=4, A2=0.095, t0=4 years, and t1=4 years. For GDP … and 2004. The relationship is tested for cointegration. All three variables involved in the relationship are proved to be …
Persistent link: https://www.econbiz.de/10014053159
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Inflation as a Function of Labor Force Change Rate : Cointegration Test for the USA
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - 2007
) and has a perfect parsimony - only one predictor. The relationship is tested for cointegration. Both variables are … methods of cointegration testing are applied - the Engle-Granger one based on the unit root test of the residuals including a … variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches …
Persistent link: https://www.econbiz.de/10014053528
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Oil price shocks, monetary policy and aggregate demand in Ghana
Jumah, Adusei; Pastuszyn, Georg - 2007
, Ghana, via the interest rate channel by means of cointegration analysis. Results of the study indicate that oil price - by …
Persistent link: https://www.econbiz.de/10009736652
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Oil price shocks, monetary policy and aggregate demand in Ghana
Jumah, Adusei; Pastuszyn, Georg - 2007
Persistent link: https://www.econbiz.de/10003510827
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic journal of economics 21 (2021) 2, pp. 184-204
Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …
Persistent link: https://www.econbiz.de/10012805901
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Food price pass-through in the euro area The role of asymmetries and non-linearities
Ferrucci, Gianluigi; Jiménez-Rodríguez, Rebeca; … - 2010
In this paper we analyse the pass-through of a commodity price shock along the food price chain in the euro area. Unlike the existing literature, which mainly focuses on food commodity prices quoted in international markets, we use a novel database that accounts for the role of the Common...
Persistent link: https://www.econbiz.de/10011605214
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Producer price inflation connectedness and input-output networks
Bilgin, N. Melisa; Yılmaz, Kamil - 2018
We analyze the transmission of producer price in inflation shocks across the U.S. manufacturing industries from 1947 to 2018 using the Diebold-Yilmaz Connectedness Index framework, which fully utilizes the information in generalized variance decompositions from vector autoregressions. The...
Persistent link: https://www.econbiz.de/10012060215
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Testing for the effectiveness of inflation targeting in India: A Factor Augmented Vector Autoregression (FAVAR) approach
Jithin, P.; Suresh, Babu M. - In: Journal of Central Banking Theory and Practice 9 (2020) 3, pp. 163-182
Employing Factor Augmented Vector Autoregression (FAVAR) model where factors are obtained using the principal component analysis (PCA) and the parameters of the model are estimated using Vector Autoregression framework, we analyse how changes in monetary policy variables impact inflation,...
Persistent link: https://www.econbiz.de/10014558480
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Asymmetric growth and inflation developments in the acceding countries: a new assessment
Ide, Stefaan; Moës, Philippe - 2004
In this paper, we use a SVAR model in order to study the asymmetry of growth and inflation developments in the acceding countries vis-à-vis the euro area over the years 1995-2003. The model combines two strands of the literature, the explanation in terms of country-specific and euro area...
Persistent link: https://www.econbiz.de/10011506585