This paper investigates the concept of vector autoregression (VAR) and cointegration using a bivariate model of global oil prices and headline Consumer Price Index (CPI) in South Africa. The study aims to determine how much of inflation is driven by oil prices. Particular attention is paid to...

This paper reviews and discusses the empirical literature on the impact of monetary policy on output. We focus on the evolution of methods that these studies have applied and demonstrate the established fact that monetary policy has significant impact on output. Throughout the review, we...

The aim of this paper is to investigate the presence of long-run equilibrium relationships among variables that explain money demand in Canada during the period 1983–2011. To this end, I set up a vector-error correction model with an appropriate lag order and test for cointegration by means of...

The goal of the paper is to analyze the importance of government debt in the propagation of fiscal shocks in the Argentine economy. For that reason we augment a standard fiscal policy vector Autoregression with the nominal debt to GDP ratio taken from a recently compiled IMF database. The main...

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to...

For many economic problems standard statistical analysis, based on the notion of stationarity, is not adequate. These include modeling seasonal decisions of consumers, forecasting business cycles and—as we show in the present article—modeling wholesale power market prices. We apply standard...

This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons,...

Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that...