Similar Search Results

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

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

Uncertainty Shocks and Inflation Dynamics in the US

Haque, Qazi; Magnusson, Leandro M. - 2020

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using post- WWII U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid-to-late 1990s and negative thereafter. Our findings...

Persistent link: https://www.econbiz.de/10014090743

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

Is inflation driven by survey-based, VAR-based or myopic expectations? : an empirical assessment from US real-time data

Bec, Frédérique; Kanda, Patrick - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012659117

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

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - 2008

Persistent link: https://www.econbiz.de/10010295280

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

Persistent link: https://www.econbiz.de/10010295321

Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK

Strohsal, Till; Proano, Christian; Wolters, Jürgen - 2017

konzentrieren uns dabei auf die USA und Großbritannien. Für diese Länder führen wir Frequenz-spezifische Granger …

Persistent link: https://www.econbiz.de/10011710009

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

Persistent link: https://www.econbiz.de/10011334455