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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Klaassen, Franc - 1999

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

Persistent link: https://www.econbiz.de/10014192029

Small Sample Properties of Panel Time-Series Estimators with I(1) Errors

Fuertes, Ana-Maria; Coakley, Jerry; Smith, Ron - 2001

Monte Carlo simulations are used to explore the small sample properties of a mean group and two pooled panel estimators … theory is relevant to practical applications. With I(0) errors and homogeneous coefficients, the estimators are unbiased … heterogeneous coefficients. The mean group estimators, however, are generally correctly sized. An application to a panel of OECD …

Persistent link: https://www.econbiz.de/10014129429

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...

Persistent link: https://www.econbiz.de/10014071881

The sectoral effects of monetary policy in Hungary : a structural factor analysis

Pellényi, Gábor - 2012

This paper uses a structural factor model to analyze sectoral heterogeneity in the impact of monetary policy in Hungary. Monetary shocks are identified with sign restrictions. The impulse responses of aggregate variables are similar to the findings of previous VAR based studies. The sectoral...

Persistent link: https://www.econbiz.de/10009529534

The impact of credit supply shocks and a new FCI based on a FAVAR approach

Hosszú, Zsuzsanna - 2016

macro variables rather differently; a positive lending capacity shock in a banking system mostly owned by non …

Persistent link: https://www.econbiz.de/10011457124

Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

Korobilis, Dimitris - 2011

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change...

Persistent link: https://www.econbiz.de/10013134422

Sectoral vs. Aggregate Shocks : A Structural Factor Analysis of Industrial Production

Foerster, Andrew T. - 2013

This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...

Persistent link: https://www.econbiz.de/10013089448

A high-frequency financial conditions index for Norway

Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023

We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...

Persistent link: https://www.econbiz.de/10013484734

A Bayesian generalized factor model with comparative analysis

Tekatli, Necati - 2010

This paper has two major objectives. First, we develop and implement a Bayesian generalized factor model that allows for non-orthogonality of the idiosyncratic factors and the flexibility of cross-sectional and time series dimensions. Second, we evaluate the significance of the orthogonality...

Persistent link: https://www.econbiz.de/10009157791