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Testing the New Keynesian model on US and Euro area data
Juselius, Mikael (contributor) - 2008
. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …
Persistent link: https://www.econbiz.de/10003732137
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On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and … unanticipated interest rate change by the Fed. -- Two-country model ; Cointegration ; Structural VAR ; Gets Model Selection …
Persistent link: https://www.econbiz.de/10009672516
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The new Keynesian model and the long-run vertical Phillips curve : does it hold for Germany?
Gottschalk, Jan; Fritsche, Ulrich - 2006
rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …
Persistent link: https://www.econbiz.de/10010426365
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Monetary policy shocks in open economies and the inflation unemployment trade-off : the case of the Euro Area
Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12
In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like...
Persistent link: https://www.econbiz.de/10013168711
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The wage-price pass-through in the euro area : does the growth regime matter?
Hahn, Elke - 2020
This paper explores whether the transmission mechanism between wages and prices in the euro area is affected by the growth regime. Since the great financial crisis inflation developments have posed major puzzles to economists as inflation declined by less than was widely expected during the past...
Persistent link: https://www.econbiz.de/10012305400
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The link between labor cost and price inflation in the euro area
Bobeica, Elena; Ciccarelli, Matteo; Vansteenkiste, Isabel - 2019
This paper documents, for the first time in a systematic manner, the link between labor cost and price inflation in the euro area. Using country and sector quarterly data over the period 1985Q1-2018Q1 we find a strong link between labor cost and price inflation in the four major economies of the...
Persistent link: https://www.econbiz.de/10011975511
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Inflation as a Function of Labor Force Change Rate : Cointegration Test for the USA
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - 2007
obtained for the USA is characterized by A1=4.0, A2=-0.03075, and t1=2 years. It provides a root mean square forecasting error …) and has a perfect parsimony - only one predictor. The relationship is tested for cointegration. Both variables are … methods of cointegration testing are applied - the Engle-Granger one based on the unit root test of the residuals including a …
Persistent link: https://www.econbiz.de/10014053528
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...
Persistent link: https://www.econbiz.de/10011346364
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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How interdependent are Eastern European economies and the Euro area?
Prettner, Catherine; Prettner, Klaus - 2014
Persistent link: https://www.econbiz.de/10010241448