Search Results - subject:"Threshold Vector Autoregression"

Testing for short-run threshold effects in a vector error-correction framework : a reappraisal of the stability of the US money demand

Lieb, Lenard; Candelon, Bertrand - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 355-376

Persistent link: https://www.econbiz.de/10011339429

What causes changes in the effects of fiscal policy? A case study of Japan

Kameda, Keigo - In: Japan and the World Economy 31 (2014) C, pp. 14-31

, using a threshold vector autoregression (VAR) in which the causes pointed out in the literature are adopted as the threshold …

Persistent link: https://www.econbiz.de/10010906884

Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations

Huang, MeiChi - In: The Quarterly Review of Economics and Finance 54 (2014) 1, pp. 2-16

vector autoregression (SBTVAR) to specify breakpoints in housing market dynamics during the recent decades. The findings …) index as a proxy for households’ expectations about the U.S. housing market, and employs the structural break threshold …

Persistent link: https://www.econbiz.de/10010743589

A threshold vector autoregression model of exchange rate pass-through in Mexico

Aleem, Abdul; Lahiani, Amine - In: Research in International Business and Finance 30 (2014) C, pp. 24-33

threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass …

Persistent link: https://www.econbiz.de/10010719043

Credit growth, monetary policy and economic activity in a three-regime TVAR model

Avdjiev, Stefan; Zeng, Zheng - In: Applied economics 46 (2014) 22/24, pp. 2936-2951

Persistent link: https://www.econbiz.de/10010417130

A threshold vector autoregression model of exchange rate pass-through in Mexico

Aleem, Abdul; Lahiani, Amine - In: Research in international business and finance 30 (2014), pp. 24-33

Persistent link: https://www.econbiz.de/10010390369

Bubble-like housing boom-bust cycles : evidence from the predictive power of households’ expectations

Huang, MeiChi - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 2-16

Persistent link: https://www.econbiz.de/10010468805

What causes changes in the effects of fiscal policy? : A case study of Japan

Kameda, Keigo - In: Japan and the world economy : international journal of … 31 (2014), pp. 14-31

Persistent link: https://www.econbiz.de/10010495771

What causes China's high inflation? : a threshold structural vector autoregression analysis

Guo, Fang - In: China & world economy 21 (2013) 6, pp. 100-120

Persistent link: https://www.econbiz.de/10010251392

Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

Mandler, Martin - In: Economics Letters 116 (2012) 3, pp. 422-425

We use a threshold vector autoregression to study the effects of monetary policy shocks on the US. Depending on the …

Persistent link: https://www.econbiz.de/10010594197