In this paper, we present different specifications of a structural vector autoregressive model (SVAR) that can be used to identify monetary policy operating regimes and monetary policy shocks in a small open economy. SVAR has the advantage of imposing a minimal set of theoretical restrictions on...

This paper documents data-oriented, detailed evidence on the international transmission of U.S. monetary policy shocks for the flexible exchange rate period using VAR models. First, U.S. expansionary monetary policy shocks lead to booms in the non-US, G-6 countries. In this transmission, changes...

A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...

In this paper, we construct a Bayesian vector autoregressive model to forecast the industrial employment figures of the Southern California economy. The model includes both national and state variables. The root mean squared error (RMSE) and the Theil's U statistics are used in selecting the...

Past empirical research on the effects of monetary policy in closed and open economies found evidence of several anomalies, such as the 'liquidity', 'price', 'exchange rate' and 'forward discount bias' puzzles. In this paper, we develop an approach that provides a solution to these empirical...

In this paper, I analyze the comovement of US prices and output in the postwar period. I use a new set of statistics to characterize the comovement between variables. The statistics capture important information about the dynamics in the system. The estimation procedure does not require...

In this paper we analyze the West German labour market by means of a cointegrated structural VAR model. We find sensible stable long-run relationships that are interpreted as a labour demand, a wage setting and a goods market equilibrium. In order to study the dynamic behaviour of the model we...