Search Results - subject:"Time varying coefficients"

Can Parameter Instability Explain the Meese-Rogoff Puzzle?

Bacchetta, Philippe; Wincoop, Eric van; Beutler, Toni - Départment d'économétrie et d'économie politique … - 2009

The empirical literature on nominal exchange rates shows that the current exchange rate is often a better predictor of future exchange rates than a linear combination of macroeconomic fundamentals. This result is behind the famous Meese-Rogoff puzzle. In this paper we evaluate whether parameter...

Persistent link: https://www.econbiz.de/10004973880

Tacit On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals

Bacchetta, Philippe; Wincoop, Eric van - Départment d'économétrie et d'économie politique … - 2009

It is well known from anecdotal, survey and econometric evidence that the relationship between the exchange rate and macro fundamentals is highly unstable. This could be explained when structural parameters are known and very volatile, neither of which seems plausible. Instead we argue that...

Persistent link: https://www.econbiz.de/10004973881

Has Globalization Transformed U.S. Macroeconomic Dynamics?

Milani, Fabio - Department of Economics, University of California-Irvine - 2009

This paper estimates a structural New Keynesian model to test whether globalization has changed the behavior of U.S. macroeconomic variables. Several key coefficients in the model - such as the slopes of the Phillips and IS curves, the sensitivities of domestic inflation and output to "global"...

Persistent link: https://www.econbiz.de/10004963997

Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARS

Bekiros, Stelios D.; Paccagnini, Alessia - In: Macroeconomic dynamics 19 (2015) 7, pp. 1565-1592

Persistent link: https://www.econbiz.de/10011515386

Combining forecasts from linear and nonlinear models using Sophisticated approaches

Abdelsalam, Mamdouh Abdelmoula Mohamed; Ahmed, Doaa Akl - In: International journal of economics and finance 7 (2015) 11, pp. 190-206

Persistent link: https://www.econbiz.de/10011401435

Nonparametric methods for estimating and testing for constant betas in asset pricing models

Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607

Persistent link: https://www.econbiz.de/10010519653

Liquidity, inflation and asset prices in a time-varying framework for the euro area

Baumeister, Christiane; Durinck, Eveline; Peersman, Gert - 2008

In this paper, we investigate how the dynamic effects of excess liquidity shocks on economic activity, asset prices and inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity (M1, M3-M1 or credit) and the underlying state...

Persistent link: https://www.econbiz.de/10011506663

Testing for granger (non-) causality in a time varying coefficient VAR model

Christopoulos, Dimitris K.; León-Ledesma, Miguel - 2008

In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The … functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the …

Persistent link: https://www.econbiz.de/10010290678

The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?

Hall, Stephen G.; Hondroyiannis, George; Swamy, P.A.V.B.; … - Department of Economics, Leicester University - 2008

the NKPC is spurious. JEL classification: C51; E31 Keywords: New Keynesian Phillips Curve; time-varying coefficients … way to proceed is to specify a set of time-varying coefficients which provide a complete explanation of the dependent … true coefficients must be captured by the time-varying coefficients. Note that, if the true functional form is non …

Persistent link: https://www.econbiz.de/10005385065

Time-Varying Effects of Oil Supply Shocks on the US Economy

BAUMEISTER, C.; PEERSMAN, G. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2008

Using a Time-Varying Parameters Bayesian Vector Autoregression model, we investigate how the dynamic effects of oil supply shocks on the US economy have changed over time. In contrast to previous studies, we identify oil supply shocks with sign restrictions which are derived from a simple supply...

Persistent link: https://www.econbiz.de/10004983166