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In the last two decades, monetary authorities in emerging and developing economies have adopted inflation targeting. However, such structural reforms have had little success in counteracting persistent inflationary inertia. A probable explanation is the existence of global inflationary factors,...
Persistent link: https://www.econbiz.de/10014076693
This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist linear combinations of heteroscedastic variables that eliminate heteroscedasticity. That is, these linear combinations are homoscedastic; a...
Persistent link: https://www.econbiz.de/10014110558
What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate several hypotheses on the determinants of contagion. We simultaneously consider trade competition, financial links, and institutional similarity to...
Persistent link: https://www.econbiz.de/10013141079
Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying Dimension (TVD) models...
Persistent link: https://www.econbiz.de/10013121638
There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegrations. This is despite the fact that cointegration...
Persistent link: https://www.econbiz.de/10013121913
Factor models are used in a wide range of areas. Two issues with Bayesian versions of these models are a lack of invariance to ordering of the variables and computational inefficiency. This paper develops invariant and efficient Bayesian methods for estimating static factor models. This approach...
Persistent link: https://www.econbiz.de/10013080936