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Macroeconomic impact on expected default frequency

Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008

We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...

Persistent link: https://www.econbiz.de/10003618542

Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10011377110

Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging

Strachan, Rodney W.; Dijk, Herman K. van - 2010 - Version 17 May 2010

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …

Persistent link: https://www.econbiz.de/10011380727

Evidence on features of a DSGE business cycle model from Bayesian model

Strachan, Rodney W.; Dijk, Herman K. van - 2012

Persistent link: https://www.econbiz.de/10009722689

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

Persistent link: https://www.econbiz.de/10010484411

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

Persistent link: https://www.econbiz.de/10009614880

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384

Taking a DSGE Model to the Data Meaningfully

Juselius, Katarina - 2011

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

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

Modeling Money (M2) Demand in Egypt - A Vector Equilibrium Correction Model

Rostom, Ahmed Mohamed - 2011

This paper empirically investigates the relationship between real money demand, real income, interest rates and real consumption. The paper provide a mixed strategy for estimating the money demand function that incorporates shifting from a system of equations vector auto regression (VAR)...

Persistent link: https://www.econbiz.de/10013117218