Search Results - subject:"Generalized impulse-response function"

Monetary policy effectiveness in the face of uncertainty : the real macroeconomic impact of a monetary policy shock in South Africa during high and low uncertainty states

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2023

Persistent link: https://www.econbiz.de/10014369392

Current account sustainability in Latin America considering nonlinearities

Ordoñez-Callamand, Daniel; Melo-Velandia, Luis Fernando; … - 2017

Persistent link: https://www.econbiz.de/10011661720

Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock

Caporin, Massimiliano; Fontini, Fulvio; Talebbeydokhti, … - In: Energy economics 79 (2019), pp. 21-31

Persistent link: https://www.econbiz.de/10012172252

Volatility spillover effect in commodity derivatives market : empirical evidence through generalized impulse response function

Rout, Bhabani Sankar; Das, Nupur Moni; Rao, Kode … - In: Vision : the journal of business perspective 23 (2019) 4, pp. 374-396

Persistent link: https://www.econbiz.de/10012161730

Behavior of foreign investors in the Malaysian stock market in times of crisis : a nonlinear approach

Omay, Tolga; Iren, Perihan - In: Journal of Asian economics 60 (2019), pp. 85-100

Persistent link: https://www.econbiz.de/10012256545

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

Lanne, Markku; Nyberg, Henri - School of Economics and Management, University of Aarhus - 2014

generalized impulse response function. The use of the new decomposition is illustrated with an empirical application to U …

Persistent link: https://www.econbiz.de/10010935034

Insight of Indian sector indices for the post subprime crisis period: a vector error correction model approach

Vardhan, Harsh; Vij, Madhu; Sinha, Pankaj - Volkswirtschaftliche Fakultät, … - 2013

The empirical study highlights importance of usage of sector indices which provides insight for sector specific investment strategies and direction for suitable policy formulation. It investigates long run and short run relationships between eight identified sector indices and Sensex for the...

Persistent link: https://www.econbiz.de/10011111883

Economic risk linkages between Israel and Middle East countries

Kirikkaleli, Dervis; Yorucu, Vedat - In: Panoeconomicus 65 (2018) 4, pp. 427-440

Persistent link: https://www.econbiz.de/10012154814

Generalized Impulse Response Analysis: General or Extreme?

Kim, Hyeongwoo - Department of Economics, Auburn University - 2012

This note discusses a pitfall of using the generalized impulse response function (GIRF) in vector autoregressive (VAR …

Persistent link: https://www.econbiz.de/10010862314

Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies

King, Chin-Ping - In: Journal of Economics and Management 8 (2012) 1, pp. 1-23

For resolving the "purchasing power parity puzzle", Rogoff (1996) proposed that the convergence of real exchange rates to PPP should be shorter than that found in previous studies. Many previous studies have tried to resolve the purchasing power parity puzzle through the nonlinear modeling of...

Persistent link: https://www.econbiz.de/10010533742