Search Results - subject:"Impulse Response function"

Herd behaviour in Malaysian capital market: An empirical analysis

Duasa, Jarita; Kassim, Salina - Volkswirtschaftliche Fakultät, … - 2008

This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...

Persistent link: https://www.econbiz.de/10005836076

Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective

Karanassou, Marika; Sala, Hector; Snower, Dennis J. - School of Economics, UNSW Business School - 2008

, frictional growth, inflation-unemployment tradeoﬀ,inflation dynamics, unemployment dy- namics, impulse response function. JEL … lines, the real GDP impulse response function estimated by Bernanke and Mihov (1998) does not converge to zero (albeit the …+j , (28) where the series R u t+j ,j≥ 0 defines the unemployment impulse response function to the shock. 28 If the …

Persistent link: https://www.econbiz.de/10005125085

Wage and price dynamics in Portugal

Robalo Marques, Carlos - 2008

This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted where the structural shocks are identified by taking into account the long-run properties of the model,...

Persistent link: https://www.econbiz.de/10011604991

Revisiting Identification and estimation in Structural VARMA Models

Gouriéroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2014

The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...

Persistent link: https://www.econbiz.de/10011097428

Dynamic spillovers of oil price shocks and economic policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: Energy Economics 44 (2014) C, pp. 433-447

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01–2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012)...

Persistent link: https://www.econbiz.de/10011100073

Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443

Global commodity prices, economic activity and monetary policy: The relevance of China

Klotz, Philipp; Lin, Tsoyu Calvin; Hsu, Shih-Hsun - In: Resources Policy 42 (2014) C, pp. 1-9

After decades of strong economic growth, industrialization and rising living standards, China has become a dominant player in commodity markets. This study attempts to shed light on the role of China in global commodity price dynamics.

Persistent link: https://www.econbiz.de/10011118221

Long- versus medium-run identification in fractionally integrated VAR models

Tschernig, Rolf; Weber, Enzo; Weigand, Roland - In: Economics Letters 122 (2014) 2, pp. 299-302

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs...

Persistent link: https://www.econbiz.de/10010743698

Cointegration of Capital Markets in ASEAN-5 Countries

Chaiphat, Channarong - In: Applied Economics Journal 21 (2014) 1, pp. 42-58

. Moreover, the conintegration as well as the impulse response function were also calculated and analyzed. The findings reveal … response function also turns out to be synchronous. This study supports the possibility of setting up the ASEAN securities … that the securities price index of the 5 ASEAN member countries are cointegrated. Furthermore, the analysis of the impulse …

Persistent link: https://www.econbiz.de/10010904037

The response of macroeconomic aggregates to monetary policy shocks in Pakistan

Rashid, Abdul; Jehan, Zainab - In: Journal of Financial Economic Policy 6 (2014) 4, pp. 314-330

Purpose – This paper aims to empirically examine how shocks to monetary policy measures (the short-term nominal interest rate and broad money supply) affect macroeconomic aggregates, namely, output growth of the economy, national price levels and the nominal exchange rate....

Persistent link: https://www.econbiz.de/10014866995