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Modelling determinants of inflation in CESEE countries : global vector autoregressive approach

Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169

Persistent link: https://www.econbiz.de/10013270502

Symmetry and separability in two-country cointegrated VAR models : representation and testing

Krolzig, Hans-Martin; Heinlein, Reinhold - 2013

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Persistent link: https://www.econbiz.de/10010228330

Exchange Rate Dynamics in Indonesia : 1980-1998

Saxena, Sweta C. - 2004

This paper estimates the equilibirum level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using cointegration approach, unobserved component...

Persistent link: https://www.econbiz.de/10014073319

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

Hoover, Kevin D. - 2008

An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...

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

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP … of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for … 77,39 months. Overall, unit root tests show that absolute PPP may hold, but this depends on the country and the selected …

Persistent link: https://www.econbiz.de/10013044515

Monetary policy and exchange rates : a balanced two-country cointegrated VAR model approach

Heinlein, Reinhold; Krolzig, Hans-Martin - 2013

We study the exchange rate effects of monetary policy in a balanced macroeconometric two-country model for the US and UK. In contrast to the empirical literature on the "delayed overshooting puzzle", which consistently treats the domestic and foreign countries unequally in themodelling process,...

Persistent link: https://www.econbiz.de/10010228354

Analysing I(2) Systems by Transformed Vector Autoregressions

Kongsted, Hans Christian; Nielsen, Heino Bohn - 2004

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

Persistent link: https://www.econbiz.de/10014070668

External shocks, trade margins, and macroeconomic dynamics

D'Addona, Stefano; Cavallari, Lilia - In: Economies : open access journal 8 (2020) 1/6, pp. 1-26

This paper studies the role of the exchange rate regime for trade of new products. It first provides VAR evidence that a rise in external productivity shifts trade away from new products and more so in fixed regimes. Then, it presents a model with firm dynamics in line with this evidence. We...

Persistent link: https://www.econbiz.de/10012168776

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

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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