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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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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014
This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...
Persistent link: https://www.econbiz.de/10010418272
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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
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Why has the Norwegian krone exchange rate been persistently weak? : a fully simultaneous VAR approach
Benedictow, Andreas; Hammersland, Roger - 2022
We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...
Persistent link: https://www.econbiz.de/10013257136
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Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques
Belke, Ansgar Hubertus - 2010
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...
Persistent link: https://www.econbiz.de/10013144626
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Self-Generating Variables in a Cointegrated VAR Framework
Granger, Clive W. J.; Yoon, Gawon - 2001
A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...
Persistent link: https://www.econbiz.de/10014133086
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Exchange Rate Dynamics in Indonesia : 1980-1998
Saxena, Sweta C. - 2004
using cointegration approach, unobserved component model and structural vector autoregression (SVAR). The paper uses these …
Persistent link: https://www.econbiz.de/10014073319
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The macroeconomic pass-through effects of monetary policy through sign restrictions approach : in the case of Albania
Shijaku, Gerti - 2015
This paper examines the transmission mechanism of monetary policy in Albania during 2002 M01 - 2014 M12. The main question addresses the macroeconomic pass-through effects of a monetary policy shock, with regards to a conventional interest rate and possible different balance sheet policy...
Persistent link: https://www.econbiz.de/10011285419
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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - 2013
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...
Persistent link: https://www.econbiz.de/10010126857
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A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
Gospodinov, Nikolay - 2015
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...
Persistent link: https://www.econbiz.de/10013032977