Narrow search
Showing 1 - 10 of 2,611
Cover Image
Causality in Vietnam's parallel exchange rate system during 2005-2011 : policy implications for macroeconomic stability
Bui, Minh Tam - In: Economies : open access journal 6 (2018) 4/68, pp. 1-20
As in many transition economies, Vietnam has experienced a multiple exchange rate system with three exchange rates having co-existed. This paper uses the Vector-Error-Correction model and the Granger tests to investigate the relationship between the official and black market exchange rates from...
Persistent link: https://www.econbiz.de/10011956312
Cover Image
Conventional and unconventional monetary policies : effects on the Finnish housing market
Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186
This paper investigates how different types of monetary policy have affected house prices in Finland, a small euro area economy that has experienced pronounced business cycles over time. The analyses are carried out using the Bayesian structural vector autoregressive approach. Monetary policy...
Persistent link: https://www.econbiz.de/10012296184
Cover Image
Uncertainty shocks and business cycles in the US : new insights from the last three decades
Houari, Oussama - In: Economic modelling 109 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013348241
Cover Image
The evolving transmission of uncertainty shocks in the United Kingdom
Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18
This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...
Persistent link: https://www.econbiz.de/10011505897
Cover Image
Regime-dependent effects of uncertainty shocks : a structural interpretation
Lhuissier, Stéphane; Tripier, Fabien - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1139-1170
Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are...
Persistent link: https://www.econbiz.de/10012795652
Cover Image
The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
Cover Image
Asymmetric cointegration between exchange rate and trade balance in Nigeria
Alhaji Jibrilla, Aliyu; Tijjani, Shehu Mohammed - In: Cogent economics & finance 3 (2015) 1, pp. 1-19
This paper empirically examines the long-run pass through of the official exchange rates into trade balance in Nigeria by means of threshold cointegration and asymmetric error correction modeling. The study provides evidence for non-linear cointegration between our variables of interest. The...
Persistent link: https://www.econbiz.de/10011449671
Cover Image
Defence expenditure and economic growth in Latin American countries : evidence from linear and nonlinear causality tests
Kollias, Chrēstos; Paleologou, Suzanna-Maria; … - In: Latin American economic review : LAER ; official … 26 (2017), pp. 1-25
Using SIPRI’s new consistent database on military expenditures, the paper examines the economic effects of such spending in the case of the 13 Latin American countries. Employing both linear and nonlinear tests, the nexus between defence spending, economic growth, and investment is...
Persistent link: https://www.econbiz.de/10011885698
Cover Image
Credible Granger-causality inference with modest sample lengths : a cross-sample validation approach
Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics : open access journal 2 (2014) 1, pp. 72-91
Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit … terms of power relative to the in-sample Granger-causality F test, is manageable. An illustrative application is given, to a …
Persistent link: https://www.econbiz.de/10010336194
Cover Image
Nexus between foreign direct investment and economic growth in Bangladesh : an augmented autoregressive distributed lag bounds testing approach
Sarker, Bibhuti; Khan, Farid - In: Financial innovation : FIN 6 (2020) 10, pp. 1-18
revealed the opposite result. Studies that examined the causality between FDI and gross domestic product (GDP) also have found … evidence of unidirectional causality and, in some cases, a bidirectional causality. This study investigated the causal nexus … causality to explore the direction of causality. The augmented ARDL model found a long-run relationship between FDI and GDP. In …
Persistent link: https://www.econbiz.de/10012268580