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The Sources of Business Cycles in a Low Income Country

Houssa, Romain - 2015

with a combination of sign and recursive restrictions within Bayesian VAR models. As a benchmark we provide results for …

Persistent link: https://www.econbiz.de/10013025500

Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Houssa, Romain - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10013080004

A model for international spillovers to emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2019

This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...

Persistent link: https://www.econbiz.de/10012029113

Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Romain, Houssa; Mohimont, Jolan; Otrok, Chris - CESifo - 2013

Persistent link: https://www.econbiz.de/10010668472

Spillovers in space and time: Where spatial econometrics and Global VAR models meet

Elhorst, Jean Paul; Tereanu, Eugen; Gross, Marco - 2018

We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight)...

Persistent link: https://www.econbiz.de/10011853322

Spillovers in space and time : where spatial econometrics and Global VAR models meet

Elhorst, J. Paul; Groß, Marco; Tereanu, Eugen - 2018

Persistent link: https://www.econbiz.de/10011802171

A re-examination of the exchange rate – interest rate differential relationship in Ghana

Ofori, Isaac Kwesi; Armah, Mark Kojo - 2021

This paper revisits the exchange rate and interest rate differential relationship since Ghana adopted the inflation targeting regime. Using macro-data spanning 2002 to 2019 for Ghana and the United States, we show the nonexistence of the relationship in both the short-run and long-run. Further,...

Persistent link: https://www.econbiz.de/10012511633

Measuring the NAIRU in the Spanish Economy

Estrada, Ángel; Hernando, Ignacio; López-Salido, J. David - Banco de España - 2000

This paper addresses the issue of measuring the NAIRU in the Spanish economy. We implement some of the procedures proposed in the literature to estimate the NAIRU, describing their advantages and disadvantages. Our analysis shows that these alternative approaches provide significantly different...

Persistent link: https://www.econbiz.de/10005590690

Measuring the NAIRU in the Spanish Economy.

Estrada, A.; Hernando, I.; Lopez-Salido, J.D. - 2000

This paper addresses the issue of measuring the NAIRU in the Spanish economy. We implement some of the procedures proposed in the literatur to estimate the NAIRU, describing their advantages and disadvantages. Our analysis shows that these alternative approaches provide significantly different...

Persistent link: https://www.econbiz.de/10005618393

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - 2009

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

Persistent link: https://www.econbiz.de/10011605044