It is well documented that the small-sample accuracy of asymptotic and bootstrap approximations to the pointwise distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse response estimators based on the local projection (LP)...

This paper studies the joint dynamics of US output and unemployment rates in a nonlinear VAR model. The nonlinearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model,...

Purpose The area about unemployment and its participation in the economic progress has been widely debated in literature. A significant number of studies on this impediment of economic boom have been found to consider the concept through Okun’s law. This study aims to apply some different...

Purpose – This paper aims to empirically examine how shocks to monetary policy measures (the short-term nominal interest rate and broad money supply) affect macroeconomic aggregates, namely, output growth of the economy, national price levels and the nominal exchange rate....

This paper employs a new methodology for measuring the contribution of growth and interest rate differentials to the half-life of deviations from Purchasing Power Parity (PPP). Our method is based on directly comparing the impulse response function of a VAR model, where the real exchange rate is...

This paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body...

Purpose This paper aims to examine whether the Indian banking system is robust to withstand unexpected shocks from external and domestic macroeconomic factors after financial liberalization in 1992. As proposed by and banking crisis follows financial liberalization. India embarked financial...

Purpose – The purpose this paper is to analyze the causal relationship between promotional mix (PROMOMIX) which includes advertising, sales promotion, personal selling, direct marketing and gross profit (GRPROFIT) in the cement industry in India, while also trying to study their long-term and...

Purpose – The purpose of this paper is to study the direction of the causality between tourism development and economic growth in Lebanon between 1995 and 2013, after taking into consideration terrorist incidents and their intensities. These are considered as exogenous shocks that affect...