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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

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

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

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

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

approach requires careful specification of the integration and cointegration properties of variables in systems of equations …

Persistent link: https://www.econbiz.de/10012726093

Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective

Boschi, Melisso - 2007

I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...

Persistent link: https://www.econbiz.de/10012728441

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

Persistent link: https://www.econbiz.de/10012160757

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S

Bacchiocchi, Emanuele - 2016

We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic...

Persistent link: https://www.econbiz.de/10012981365

Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR : Final Working Paper Version

Hannsgen, Greg - 2012

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/10013114143

The Low-Frequency Impact of Daily Monetary Policy Shocks

Francis, Neville - 2012

With rare exception, studies of monetary policy tend to neglect the timing of innovations to monetary policy instruments. Models which take timing seriously are often difficult to compare to standard monetary VARs because each uses different frequencies. We propose using MIDAS regressions that...

Persistent link: https://www.econbiz.de/10013115013