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This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal … Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations … that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated …
Persistent link: https://www.econbiz.de/10012508617
The study examined the effect of macroeconomic variables on exchange rate in Ghana using a multivariate modeling technique of the Vector Autoregression (VAR) and focusing on impact of broad money supply (M2), lending rate, inflation and real GDP on exchange rate, for 76 quarterly observations...
Persistent link: https://www.econbiz.de/10013179689
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This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal … Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations … that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated …
Persistent link: https://www.econbiz.de/10012582090
Persistent link: https://www.econbiz.de/10013402061
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
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