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A global perspective on inflation and propagation channels
Gattini, Luca; Pill, Huw; Schuknecht, Ludger - 2012
the basis of a VAR analysis, the study finds that i) global money demand shocks affect global inflation and also global …
Persistent link: https://www.econbiz.de/10011605507
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A global perspective on inflation and propagation channels
Gattini, Luca; Pill, Huw; Schuknecht, Ludger - In: Journal of Banking and Financial Economics 1 (2015) 3, pp. 50-76
by fiscal theories of the price level. On the basis of a VAR analysis, we find that: (1) global money demand shocks …
Persistent link: https://www.econbiz.de/10011265226
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Exploring How Macroeconomic Factors Affect REITs and Evaluating Its Downside Risk – Empirical Evidence From China and the US
Hu, Xiaoyu - In: Junior Management Science (JUMS) 7 (2022) 4, pp. 874-898
questions have been answered using the literature review methodology. The VAR model is constructed to evaluate the relation … between the REIT market and macroeconomic factors. Ultimately, downside risk of REIT market is assessed by the GARCH(1,1)-VaR …
Persistent link: https://www.econbiz.de/10014528919
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Indexed bonds and revisions of inflation expectations
Reschreiter, Andreas - 2006
conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are …
Persistent link: https://www.econbiz.de/10010294028
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Learning Causal Relations in Multivariate Time Series Data
Chihying, Hsiao; Chen, Pu - 2007
Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify … variables based on their observed time series data. It is shown that while an unconstrained VAR model does not imply any causal …
Persistent link: https://www.econbiz.de/10010295223
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Economists, Incentives, Judgment, and Empirical Work
Colander, David C. - 2008
This paper asks the question: Why has the ?general-to-specific? cointegrated VAR approach as developed in Europe had … focus on the journal publication metric for advancement. Specifically, the European ?general-to specific? cointegrated VAR …
Persistent link: https://www.econbiz.de/10010295269
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The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling
Spanos, Aris - 2008
The primary aim of the paper is to place current methodological discussions on empirical modeling contrasting the 'theory first' versus the 'data first' perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses...
Persistent link: https://www.econbiz.de/10010295282
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Learning Causal Relations in Multivariate Time Series Data
Chen, Pu; Chihying, Hsiao - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-11, pp. 1-43
Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify … variables based on their observed time series data. It is shown that while an unconstrained VAR model does not imply any causal …
Persistent link: https://www.econbiz.de/10010295294
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Real-time data and business cycle analysis in Germany
Döpke, Jörg - 2004
This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent...
Persistent link: https://www.econbiz.de/10010295638
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The New Keynesian Phillips Curve in Europe: does it fit or does it fail?
Tillmann, Peter - 2005
tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to … data well at first sight. However, analyses of this kind disregard the considerable degree of uncertainty surrounding VAR …
Persistent link: https://www.econbiz.de/10010295672