Search Results - subject:"impulse response function"

Fund mobilization by insurance companies and fixed capital formation : evidence from the Nigerian economy

Torbira, Lezaasi Lenee; Ogbulu, Onyemachi Maxwell - In: International journal of financial research 5 (2014) 2, pp. 69-78

Persistent link: https://www.econbiz.de/10010442909

Dynamic spillovers of oil price shocks and economic policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: Energy economics 44 (2014), pp. 433-447

Persistent link: https://www.econbiz.de/10010457145

The response of macroeconomic aggregates to monetary policy shocks in Pakistan

Rashid, Abdul; Jehan, Zainab - In: Journal of financial economic policy 6 (2014) 4, pp. 314-330

Persistent link: https://www.econbiz.de/10011340418

Inference for impulse responses

Jordà, Òscar - 2007

Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) withWald tests of joint significance; (2)...

Persistent link: https://www.econbiz.de/10010274337

An Empirical Study of the Fisher Effect and the Dynamic Relation Between Nominal Interest Rate and Inflation in Singapore

Lee, King Fuei - Volkswirtschaftliche Fakultät, … - 2007

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/10005837445

The impact of exogenous shocks on the dynamics and persistence of inflation: a macroeconomic model-based approach for Greece

Mitrakos, Theodore M.; Zonzilos, Nicholas G. - In: Economic Bulletin (2006) 26, pp. 37-57

The paper analyses the dynamic response of inflation to various economic shocks and investigates the sources of inflation persistence through a set of counter factual simulations. Analysis shows that inflation seems to be more persistent in Greece than, on average, in Euro Area. Inflation...

Persistent link: https://www.econbiz.de/10005523470

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates

Malliaropulos, Dimitrios; Panopoulou, Ekaterini; … - Institute for International Integration Studies (IIIS), … - 2006

function of a VAR model, where the real exchange rate is Granger caused by these variables with the impulse response function … of a univatiate ARMA model for the real exchange rate. We show that the impulse response function of the VAR model is not …, in general, the same with the impulse response function obtained from the equivalent ARMA representation, if the real …

Persistent link: https://www.econbiz.de/10005649988

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates.

Panopoulou, Ekaterini; Malliaropulos, Dimitrios; … - Department of Economics, National University of Ireland - 2006

Persistent link: https://www.econbiz.de/10005656698

Lumpy Investment in Dynamic General Equilibrium

Bachmann, Ruediger; Caballero, Ricardo J.; Engel, Eduardo - Cowles Foundation for Research in Economics, Yale University - 2006

Microeconomic lumpiness matters for macroeconomics. According to our DSGE model, it explains roughly 60% of the smoothing in the investment response to aggregate shocks. The remaining 40% is explained by general equilibrium forces. The central role played by micro frictions for aggregate...

Persistent link: https://www.econbiz.de/10005593597

The bilateral J-Curve hypothesis between Turkey and her 9 trading partners

Kimbugwe, Hassan - Volkswirtschaftliche Fakultät, … - 2006

Applying ARDL Cointegration, Johansen modelling and generalised impulse response function analyses in this paper, we … of any cointegration relationship and J-curve pattern. We apply the impulse response function analysis to determine …

Persistent link: https://www.econbiz.de/10005260321