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Spillover effects in international business cycles
Camacho, Máximo; Pacce, Matías José; Pérez Quirós, … - 2020
Con el objetivo de analizar la transmisión de las fluctuaciones internacionales de los ciclos económicos, se propone un modelo de factores dinámicos multinivel con estructura de bloques en el que: i) no se restringe a los factores a ser ortogonales, y ii) se permite mezclar series de...
Persistent link: https://www.econbiz.de/10012525277
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Is there a signalling role for public wages? : evidence for the euro area based on macro data
Pérez García, Javier José; Sánchez-Fuentes, A. Jesús - 2009
Do public sector wages exert presures on private sector wages, or has private sector a leadership role in wage setting?. This paper tries to isolate the pure signalling effect that one sector might exert on the other by controlling for other determinants of wages (prices, productivity,...
Persistent link: https://www.econbiz.de/10012530273
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Short-term monitoring of the Spanish government balance with mixed-frequencies models
Leal Linares, Teresa; Pedregal, Diego J.; Pérez … - 2010
We construct multivariate, state-space mixed-frequencies models for the main componentsof the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled...
Persistent link: https://www.econbiz.de/10012530299
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The global impact of the Russian financial crisis: evidence using granger causality and impulse reponses in a VAR model
Khalid, Ahmed; Rajaguru, Gulasekaran - 2007
construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …
Persistent link: https://www.econbiz.de/10009441618
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Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model
Khalid, Ahmed M; Kawai, Masahiro - 2003
currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …
Persistent link: https://www.econbiz.de/10009441798
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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis
Ahmedov, Zafarbek; Bessler, David A. - 2011
In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...
Persistent link: https://www.econbiz.de/10009445191
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EXPORTAÇÃO BRASILEIRA DE MELÃO: UM ESTUDO DE SÉRIES TEMPORAIS.
Araujo, Aracy Alves; Sousa, Alexandre Gervasio; Santos, … - 2008
, preço doméstico e taxa de câmbio utilizando a metodologia VAR, no período de janeiro de 1996 a março de 2007. As séries … – VAR em nível. A decomposição davariância dos erros de previsão indicou que após choque não antecipado sobre as variáveis …, domestic price and exchange rate using the methodology VAR, in the period of January of 1996 to March of 2007. The studied …
Persistent link: https://www.econbiz.de/10009445200
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The Effects of Monetary Policy in the Czech Republic: An Empirical Study
Borys, Magdalena M.; Horvath, Roman - 2008
within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission …
Persistent link: https://www.econbiz.de/10009477381
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The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - 2007
This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...
Persistent link: https://www.econbiz.de/10009459041
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Strategic interactions and price dynamics in the global oil market
Alonso Álvarez, Irma; Di Nino, Virginia; Venditti, Fabrizio
the implications of the model through a Structural Vector Auto Regression (VAR) that separates non-OPEC and OPEC …
Persistent link: https://www.econbiz.de/10012523844