Narrow search
Showing 1 - 10 of 330,304
Cover Image
Testing the New Keynesian model on US and Euro area data
Juselius, Mikael (contributor) - 2008
. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003732137
Cover Image
On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and … unanticipated interest rate change by the Fed. -- Two-country model ; Cointegration ; Structural VAR ; Gets Model Selection …
Persistent link: https://www.econbiz.de/10009672516
Cover Image
Inflation as a Function of Labor Force Change Rate : Cointegration Test for the USA
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - 2007
obtained for the USA is characterized by A1=4.0, A2=-0.03075, and t1=2 years. It provides a root mean square forecasting error …) 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 …
Persistent link: https://www.econbiz.de/10014053528
Cover Image
Does money still matter for U.S. output?
Berger, Helge (contributor); Österholm, Pär (contributor) - 2008
In this note, we use multivariate models estimated with Bayesian techniques and an out-ofsample approach to investigate whether money growth Granger-causes output growth in the United States. We find surprisingly strong evidence for a money-output link over the 1960-2005 period. However, further...
Persistent link: https://www.econbiz.de/10003726100
Cover Image
Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - 2008
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295280
Cover Image
Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295321
Cover Image
Testing the New Keynesian Model on U.S. And Euro Area Data
Juselius, Mikael - 2011
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10013132222
Cover Image
International effects of euro area versus US policy uncertainty : a FAVAR approach
Belke, Ansgar; Osowski, Thomas - 2017
Building on the growing evidence on the importance of large data sets for empirical macroe-conomic modeling, we estimate a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty shocks and check whether the signs, the magnitude, and...
Persistent link: https://www.econbiz.de/10011691548
Cover Image
International effects of euro area versus US policy uncertainty : a FAVAR approach
Belke, Ansgar; Osowski, Thomas - 2017
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we estimate a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty shocks and check whether the signs, the magnitude, and the...
Persistent link: https://www.econbiz.de/10012110907
Cover Image
International effects of euro area versus US policy uncertainty : a FAVAR approach
Belke, Ansgar; Osowski, Thomas - 2017
Hinsicht vergleichen wir die Auswirkungen eines Unsicherheitsschocks in den USA und der Eurozone. Unseren Ergebnissen zufolge …
Persistent link: https://www.econbiz.de/10011640939