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Still Puzzling : Evaluating the Price Puzzle in an Empirically Identified Structural Vector Autoregression
Demiralp, Selva - 2010
The price puzzle is the association in a structural vector autoregression (SVAR) of a contractionary shock to monetary …
Persistent link: https://www.econbiz.de/10013152728
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …
Persistent link: https://www.econbiz.de/10012181050
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate...
Persistent link: https://www.econbiz.de/10011460225
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric 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...
Persistent link: https://www.econbiz.de/10010228330
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How interdependent are Eastern European economies and the Euro area?
Prettner, Catherine; Prettner, Klaus - 2014
Persistent link: https://www.econbiz.de/10010241448
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Response of stock markets to monetary policy : an Asian stock market perspective
Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; … - 2014
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...
Persistent link: https://www.econbiz.de/10010400823
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Stochastic model specification in Markov switching vector error correction models
Huber, Florian; Pfarrhofer, Michael; Zörner, Thomas - 2018
This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression coefficients. The mean as well as the variances of this...
Persistent link: https://www.econbiz.de/10011929697
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Business fixed investment and credit market frictions : a VECM approach for Hungary
Endrész, Marianna - 2011
effects of a loan supply shock. Various tax measures and the introduction of inflation targeting were found to have …
Persistent link: https://www.econbiz.de/10008990919
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Identification and Estimation Issues in Structural Vector Autoregressions with External Instruments
Angelini, Giovanni - 2018
‘relevance' and ‘exogeneity' conditions. We discuss identification results and likelihood-based estimation methods both in the … ‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a … the Global Financial Crisis. To do so, we employ two external instruments to identify the real economic activity shock in …
Persistent link: https://www.econbiz.de/10012918605