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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …
Persistent link: https://www.econbiz.de/10005100843
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Measuring the NAIRU in the Spanish Economy
Estrada, Ángel; Hernando, Ignacio; López-Salido, J. David - Banco de España - 2000
This paper addresses the issue of measuring the NAIRU in the Spanish economy. We implement some of the procedures proposed in the literature to estimate the NAIRU, describing their advantages and disadvantages. Our analysis shows that these alternative approaches provide significantly different...
Persistent link: https://www.econbiz.de/10005590690
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Interest rate uncertainty and macroeconomics in Turkey
Güney, Pelin Öge - In: Prague economic papers : a bimonthly journal of … 32 (2023) 2, pp. 184-204
Uncertainty about monetary policy associated with uncertainty in interest rate is an important determinant of economic decisions. Due to the dominant position of the US economy on global financial markets, in addition to countries' own uncertainties, uncertainty related to the monetary policy of...
Persistent link: https://www.econbiz.de/10014516194
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Macroeconomic dynamics and the IS puzzle
Hawkins, Raymond J.; Nguyen, Chau N. - 2017
The authors solve the IS puzzle for the G7 countries. They find that five of the G7 countries have the expected significant negative relationship between the output gap and the realrate gap; the time series of the remaining two show material deviation from expected IScurve behavior. The authors...
Persistent link: https://www.econbiz.de/10011650445
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A nonparametric copula based test for conditional independence with applications to Granger causality
BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen; TAAMOUTI, Abderrahim - Center for Operations Research and Econometrics (CORE), … - 2009
Persistent link: https://www.econbiz.de/10008550166
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A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
Bouezmarni, Taoufik; Rombouts, Jeroen V.K.; Taamouti, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...
Persistent link: https://www.econbiz.de/10008528557
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A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
Bouezmarni, Taoufik; Rombouts, Jeroen; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2009
This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...
Persistent link: https://www.econbiz.de/10005101068
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The financial meltdown: a model with endogenous default probability
Ferrari, Massimo - Volkswirtschaftliche Fakultät, … - 2014
Abstract Starting from some of the most recent literature developed after the world financial crisis, it has been developed a model with heterogeneous agents and an active interbank market, characterized by an endogenous default probability. The key feature of the analysis is that the...
Persistent link: https://www.econbiz.de/10011156994
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Cracking the Conundrum
Backus, David K.; Wright, Jonathan H. - In: Brookings Papers on Economic Activity 38 (2007) 1, pp. 293-329
From 2004 to 2006 the Federal Open Market Committee raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this conundrum of rising short-term and falling long-term interest rates. The most...
Persistent link: https://www.econbiz.de/10005021984
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The dynamics of foreign direct investment and exchange rates : an interconnection approach in ASEAN
Syarifuddin, Ferry - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
This paper examines the direct and spillover effects of exchange rate on foreign direct investment (FDI) inflows in a panel of ASEAN countries from 2001 to 2018. We utilize the spatial econometric approach to accommodate the nature of spatial dependence among ASEAN countries. Our results suggest...
Persistent link: https://www.econbiz.de/10013426223