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Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10010295321

Structural breaks, parameter stability and energy demand modeling in Nigeria

Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 129-144

conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the …

Persistent link: https://www.econbiz.de/10010289392

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Persistent link: https://www.econbiz.de/10010289485

Effects of exports instability on economic growth in SAARC region countries

Rashid, Farhat; Ullah, Sami; Bedi-uz-Zaman Ullah, Sami - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 97-120

additional variables. The Augmented Dickey Fuller (ADF) and Johansson Cointegration tests are used to test stationarity for all … variables and cointegration respectively. The results of these tests demonstrate that all variables are non-stationary at levels …

Persistent link: https://www.econbiz.de/10011938302

Der Einfluss des Wechselkurses auf den deutschen Export – Simulationen mit Fehlerkorrekturmodellen

Grimme, Christian; Thürwächter, Claire - In: ifo Schnelldienst 68 (2015) 20, pp. 35-38

Seit Mitte des Jahres 2014 wertete der Euro sowohl nominal als auch real effektiv ab. Eine Untersuchung der Elastizitäten der Waren- und der Gesamtexporte auf Änderungen in verschiedenen Wechselkursreihen zeigt, dass die Elastizität bezüglich der Wechselkurse zwischen – 0,2 und – 0,6...

Persistent link: https://www.econbiz.de/10011693884

The Interrelationship between Money Supply, Prices and Government Expenditures and Economic Growth: A Causality Analysis for the Case of Cyprus

Georgantopoulos, Andreas G.; Tsamis, Anastasios D. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 115-128

expenditure and economic growth by employing the Error Correction Mechanism (ECM) and Johansen co-integration test respectively …

Persistent link: https://www.econbiz.de/10011310235

Taking a DSGE Model to the Data Meaningfully

Franchi, Massimo; Jusélius, Katarina - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-4, pp. 1-38

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Persistent link: https://www.econbiz.de/10010295287

Measuring Long-Run Exchange Rate Pass-Through

Kozluk, Tomasz; Banerjee, Anindya; de Bandt, Olivier - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-6, pp. 1-36

ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with … run cointegration relationship, where over the sample period the fixed component of the pass-through decreased while the …

Persistent link: https://www.econbiz.de/10010295304

Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

Møller, Niels Framroze - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-36, pp. 1-29

Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the...

Persistent link: https://www.econbiz.de/10010298620

The causality between government revenue and government expenditure in Iran

Elyasi, Yousef; Rahimi, Mohammad - In: International Journal of Economic Sciences and Applied … 5 (2012) 1, pp. 129-145

government revenue and government expenditure in Iran by applying the bounds testing approach to cointegration. The results of …

Persistent link: https://www.econbiz.de/10010289401