Search Results - subject:"Impulse Response function"

Política monetaria y tasas de interés: experiencia reciente para el caso de México

León, Alejandro Díaz de; Greenham, Laura - In: Economía Mexicana NUEVA ÉPOCA X (2001) 2, pp. 213-258

The purpose of this study is to examine the effectiveness of monetary policy actions in affecting the interest rate term structure. As a first approach, variations of the interest rate term structure in dates following a change in monetary policy stance are presented for the years 1998, 1999 and...

Persistent link: https://www.econbiz.de/10008493912

Nominal rigidities and the dynamic effects of a monetary shock

Gerke, Rafael - 2001

Two dynamic sticky price models with monopolistic competition in the goods market are presented. In the first model, each intermediate goods producer faces quadratic costs of adjusting its nominal price as introduced by Rotemberg (1982); the second model incorporates staggered price setting as...

Persistent link: https://www.econbiz.de/10011524558

Monetäre Schocks in VAR-Modellen

Gerke, Rafael; Werner, Thomas - 2001

Im folgenden soll versucht werden, empirische Evidenz zum Transmissionsmechanismus mit Hilfe monetärer Schocks zu generieren. Die quantitativen Auswirkungen der monetären Impulse werden mit Hilfe von Impuls-Antwort-Funktionen beschrieben, wobei die Impuls- Antwort-Funktionen auf einem VAR...

Persistent link: https://www.econbiz.de/10011525118

Linkages between international stock markets: A multivariate long-memory approach

Ozdemir, Zeynel Abidin - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 12, pp. 2461-2468

This paper aims to analyze the linkages between international stock markets and to search for an optimum model for analyzing their interactions taking into consideration their geographical location, using the vector fractionally integrated autoregressive moving-average (VARFIMA) model. This...

Persistent link: https://www.econbiz.de/10010873520

AN EMPIRICAL STUDY OF THE FISHER EFFECT AND THE DYNAMIC RELATION BETWEEN NOMINAL INTEREST RATE AND INFLATION IN SINGAPORE

LEE, KING FUEI - In: The Singapore Economic Review (SER) 54 (2009) 01, pp. 75-88

The Fisher Effect postulated that real interest rate is constant, and that nominal interest rate and expected inflation move one-for-one together. This paper employs Johansen's method to investigate for the existence of a long-run Fisher effect in the Singapore economy over the period 1976 to...

Persistent link: https://www.econbiz.de/10004988551

Test of the J-curve for six selected new EU countries

Hsing, Yu - In: International Journal of Economic Policy in Emerging … 2 (2009) 1, pp. 76-85

This paper examines the J-curve for the bilateral trade between Croatia, the Czech Republic, Hungary, Poland, Slovakia, or Slovenia and the USA. This paper finds that the J-curve is not empirically confirmed for any of these six countries. Instead, after a shock to real depreciation, the trade...

Persistent link: https://www.econbiz.de/10005048826

To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models

Ashley, Richard A.; Verbrugge, Randal J. - In: International Journal of Data Analysis Techniques and … 1 (2009) 3, pp. 242-274

coverage of impulse response function confidence intervals are examined for simulated vector autoregression models using a … overdifferencing a model yields poor impulse response function confidence interval coverage; modelling in Hodrick-Prescott filtered … -- performs well for both Granger causality testing and impulse response function estimation. …

Persistent link: https://www.econbiz.de/10005048924

Do Local Projections Solve the Bias Problem in Impulse Response Inference?

Kilian, Lutz; Kim, Yun Jung - C.E.P.R. Discussion Papers - 2009

It is well documented that the small-sample accuracy of asymptotic and bootstrap approximations to the pointwise distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse response estimators based on the local projection (LP)...

Persistent link: https://www.econbiz.de/10005666791

Cointegration, causality and the transmission of shocks across wheat market in Pakistan

Klasra, Mushtaq - In: Quality & Quantity: International Journal of Methodology 43 (2009) 2, pp. 305-315

Persistent link: https://www.econbiz.de/10009396765

To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models

Ashley, Richard A.; Verbrugge, Randal J. - In: International Journal of Data Analysis Techniques and … 1 (2009) 3, pp. 242-274

coverage of impulse response function confidence intervals are examined for simulated vector autoregression models using a … overdifferencing a model yields poor impulse response function confidence interval coverage; modelling in Hodrick-Prescott filtered … – performs well for both Granger causality testing and impulse response function estimation. …

Persistent link: https://www.econbiz.de/10008563413