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Long-run forecasting in multicointegrated systems

Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation in the context of stock-flow models where...

Persistent link: https://www.econbiz.de/10011439254

Exchange rate pass-through to inflation in Nigeria

Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70

prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error …

Persistent link: https://www.econbiz.de/10011460225

Forecasting with Bayesian global vector autoregressive models : a comparison of priors

Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - 2013 - This version: November 2013

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

Persistent link: https://www.econbiz.de/10011505823

Global shocks and their impact on the Tanzanian Economy

Haile, Fiseha - 2016

Plummeting commodity prices, China's economic malaise, and global financial market turbulence have recently wreaked havoc on African economies. This paper investigates whether, and to what extent, these intertwined shocks spillover into the Tanzanian economy. The author finds that a 1 percentage...

Persistent link: https://www.econbiz.de/10011564548

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...

Persistent link: https://www.econbiz.de/10010418272

A macroeconometric assessment of Minsky's Financial Instability Hpothesis

Greenwood-Nimmo, Matthew; Tarassow, Artur - 2013

The Financial Instability Hypothesis associated with Hyman Minsky has profound implications for the conduct of monetary policy in modern capitalist economies. At its core is the proposition that the central bank may contribute to the financial fragility of leveraged firms in its pursuit of...

Persistent link: https://www.econbiz.de/10010425830

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

Vector autoregressive analysis

Lütkepohl, Helmut - 1999

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models … decompositions are presented as tools for analyzing VAR models. -- Cointegration ; forecasting ; dynamic econometric models ; impulse …

Persistent link: https://www.econbiz.de/10009580483

Global liquidity and commodity prices : a cointegrated VAR approach for OECD countries

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2009

CVAR fits the data very well. -- Commodity prices ; cointegration ; CVAR analysis ; global liquidity ; inflation …

Persistent link: https://www.econbiz.de/10003844907

Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10011414128