Search Results - subject:"Impulse response function"

On the Macroeconomic Determinants of the Housing Market in Greece: A VECM Approach

Panagiotidis, Theodore,Panagiotidis;Panagiotis,Printzis - London School of Economics (LSE) - 2015

This study examines the role of the housing market in the Greek economy. We review the literature and assess the interdependence between the housing price index and its macroeconomic determinants within a VECM framework. An equilibrium relationship exists and in the long run the retail sector...

Persistent link: https://www.econbiz.de/10011169752

Asymmetries and Markov-switching structural VAR

Karamé, Frédéric - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 85-102

The development of nonlinear representations and of generalized IRFs favored the study of the variables behavior in response to an economically identified shock as regards (i) the state of the system when the shock occurs, (ii) the size of the shock and (iii) the sign of the shock. Generalized...

Persistent link: https://www.econbiz.de/10011209191

Behavior of Indian sectoral stock price indices in the post subprime crisis period

Vardhan, Harsh; Sinha, Pankaj; Vij, Madhu - In: Journal of Advances in Management Research 12 (2015) 1, pp. 15-29

Purpose – The purpose of this paper is to demonstrate importance of usage of sector indices which provides insight for sector specific investment strategies and direction for suitable policy formulation for the Indian industry. It investigates long run, short run and causality relationships...

Persistent link: https://www.econbiz.de/10014840186

The tourism led growth hypothesis: the Lebanese case

Bassil, Charbel; Hamadeh, Mohamad; Samara, Nisrine - In: Tourism Review 70 (2015) 1, pp. 43-55

Purpose – The purpose of this paper is to study the direction of the causality between tourism development and economic growth in Lebanon between 1995 and 2013, after taking into consideration terrorist incidents and their intensities. These are considered as exogenous shocks that affect...

Persistent link: https://www.econbiz.de/10015034427

Volatility transmission and volatility impulse response functions in European electricity forward markets

PEN, Yannick LE; SEVI, Benoît - Centre de Recherche en Économie et Droit de … - 2008

of International Money and Finance 25, 719-740] Volatility Impulse Response Function(VIRF) to quantify the impact of …

Persistent link: https://www.econbiz.de/10005739861

Wage and price dynamics in Portugal

Robalo Marques, Carlos - European Central Bank - 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/10005530898

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

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

The Rise and Fall of Spanish Unemployment: A Chain Reaction Theory Perspective

Karanassou, Marika; Sala, Hector - Institute for the Study of Labor (IZA) - 2008

: labour market dynamics, frictional growth, chain reaction theory, capital accumulation, impulse response function … response function (IRF) of its univariate representation (11). Unemployment persistence (σ) can be defined as the sum of its … unemployment through time (R t+j ,j≥ 0) to a one-oﬀ unit shock (im- pulse), occurring at period t, are described by the impulse …

Persistent link: https://www.econbiz.de/10005763529

Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model

Bachmann, Ruediger; Caballero, Ricardo J.; Engel, Eduardo - Cowles Foundation for Research in Economics, Yale University - 2008

The sensitivity of U.S. aggregate investment to shocks is procyclical: the response upon impact increases by approximately 50% from the trough to the peak of the business cycle. This feature of the data follows naturally from a DSGE model with lumpy microeconomic capital adjustment. Beyond...

Persistent link: https://www.econbiz.de/10005593547