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Monetary policy and exchange rates : a balanced two-country cointegrated VAR model approach
Heinlein, Reinhold; Krolzig, Hans-Martin - 2013
decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …
Persistent link: https://www.econbiz.de/10010228354
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Effects of monetary policy on the $/£ exchange rate : is there a 'delayed overshooting puzzle'?
Heinlein, Reinhold; Krolzig, Hans-Martin - 2011
combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one … to monetary policy shocks. -- Exchange Rates ; Monetary Policy ; Cointegration ; Structural VAR ; Model Selection …
Persistent link: https://www.econbiz.de/10009410483
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Monetary policy and exchange rates : a balanced two-country cointegrated var model approach
Heinlein, Reinhold; Krolzig, Hans-Martin - In: Macroeconomic dynamics 23 (2019) 5, pp. 1838-1874
Persistent link: https://www.econbiz.de/10012127247
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Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012958879
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Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012960910
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619595
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619627
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Understanding Euro Area Inflation Dynamics : Why so Low for so Long?
Abdih, Yasser - 2018
Despite closing output gaps and tightening labor markets, inflation has remained low inthe euro area. Based on an augmented Phillips Curve framework, we find that thisphenomenon-sometimes attributed to low global inflation-has been primarily causedby a remarkable persistence of inflation,...
Persistent link: https://www.econbiz.de/10012910359
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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era
Forest, James J. - 2018
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
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Infinite-variance, alpha-stable shocks in monetary SVAR : final working-paper version
Hannsgen, Greg - 2011
This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the...
Persistent link: https://www.econbiz.de/10009269228