This paper provides further empirical results on the relationship between black market and official exchange rates in six emerging economies (Iran, India, Indonesia, Korea, Pakistan, and Thailand). First, it applies both time series techniques and heterogeneous panel methods to test for the...

This paper investigates the medium- and long-term growth effects of the global financial crises on Low-Income Countries (LICs). Using several methodological approaches, including impulse response function analysis, growth spells techniques and panel regressions, we show that external demand (ED)...

The identification of a VAR requires differentiating between correlation and causation. This paper presents a method to deal with this problem. Graphical models, which provide a rigorous language to analyze the statistical and logical properties of causal relations, associate a particular set of...

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum...

This paper examines the endogenous interaction between labor costs and Foreign Direct Investment (FDI) in the OECD countries via the Panel VAR approach under system GMM estimates for the period 1995-2009. The available data allows identifying the relevance of the components of labor costs, and...

This article investigates the construction of skewness-adjusted confidence intervals and joint confidence bands for impulse response functions from vector autoregressive models. Three different implementations of the skewness adjustment are investigated. The methods are based on a bootstrap...

In this study, we analyze the macroeconomic dynamics under various shocks in two competing frameworks. Given the baseline New-Keynesian model, we compare the impulse response functions that stem from the hybrid version under rational expectations with the ones obtained in the forward-looking...

Summary The day-to-day interbank rate usually is taken as an indicator of Bundesbank policy. But this neither fits in the institutional settings in Germany nor the identification problem is solved, because this interest rate reflects supply-side as well as demand-side shocks. The purpose of the...

Summary We analyse German public finances against a theoretical background using a unique database, retrieved from multiple sources covering the period between 1850 and 2010.Multiple currency crises and force majeure offer anecdotal evidence contradicting the historical perception of Germany...

This paper empirically investigates and identifies the main contributing factors to output and productivity growth in Australia for the period 1950-2005. Cointegration and a vector error-correction model are used along with Granger causality tests, impulse response functions and forecast error...