Similar Search Results

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...

Persistent link: https://www.econbiz.de/10011903691

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

Phillips curve shocks and real exchange rate fluctuations : SVAR evidence

Gehrke, Britta; Yao, Fang - 2014

Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural...

Persistent link: https://www.econbiz.de/10010400806

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010412361

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

Taking a DSGE Model to the Data Meaningfully

Juselius, Katarina - 2011

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called "theory consistent hypothetical scenario". The advantage of such a scenario is that it … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …

Persistent link: https://www.econbiz.de/10013132789

Taking a DSGE Model to the Data Meaningfully

Juselius, Katarina; Franchi, Massimo - 2011

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called ?theory consistent hypothetical scenario?. The advantage of such a scenario is that if … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …

Persistent link: https://www.econbiz.de/10014048991

Asymmetric conjugate priors for large Bayesian VARs

Chan, Joshua - In: Quantitative economics : QE ; journal of the … 13 (2022) 3, pp. 1145-1169

Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This is, however, at the expense of modeling flexibility, as...

Persistent link: https://www.econbiz.de/10013382075

A VAR model for monetary policy analysis in a small open economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999

for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …

Persistent link: https://www.econbiz.de/10011584357

Evolving UK Macroeconomic Dynamics : A Time-Varying Factor Augmented VAR

Mumtaz, Haroon - 2010

Changes in monetary policy and shifts in dynamics of the macroeconomy are typically described using empirical models that only include a limited amount of information. Examples of such models include time-varying vector autoregressions that are estimated using output growth, inflation and a...

Persistent link: https://www.econbiz.de/10013145342

1
2
3
4
5
6
7
8
9
10
Next
Last