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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
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/10010276215
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007
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/10005763451
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2007
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/10005766069
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Infinite Dimensional VARs and Factor Models
Chudik, A.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2007
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/10005113829
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Interest rate uncertainty and macroeconomics in Turkey
Güney, Pelin Öge - In: Prague economic papers : a bimonthly journal of … 32 (2023) 2, pp. 184-204
Uncertainty about monetary policy associated with uncertainty in interest rate is an important determinant of economic decisions. Due to the dominant position of the US economy on global financial markets, in addition to countries' own uncertainties, uncertainty related to the monetary policy of...
Persistent link: https://www.econbiz.de/10014516194
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Effects of monetary policy shocks on UK regional activity: A constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011380981
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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011372798
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Unspanned Macroeconomic Factors in the Yield Curve
Coroneo, Laura - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10013049181
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
-step approach to handle both problems. First, in a VAR setting, we extract a reliable measure of the term premia by means of … and, thus, providing a so called Near-Cointegrated VAR(p) approach. Second, we analyze the dynamic response of the GDP to …
Persistent link: https://www.econbiz.de/10013132933
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Macroeconomic dynamics and the IS puzzle
Hawkins, Raymond J.; Nguyen, Chau N. - 2017
The authors solve the IS puzzle for the G7 countries. They find that five of the G7 countries have the expected significant negative relationship between the output gap and the realrate gap; the time series of the remaining two show material deviation from expected IScurve behavior. The authors...
Persistent link: https://www.econbiz.de/10011650445