Search Results - subject:"impulse response function"

Cointegration, causality and the transmission of shocks across wheat market in Pakistan

Klasra, Mushtaq - In: Quality & Quantity: International Journal of Methodology 43 (2009) 2, pp. 305-315

Persistent link: https://www.econbiz.de/10009396765

To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models

Ashley, Richard A.; Verbrugge, Randal J. - In: International Journal of Data Analysis Techniques and … 1 (2009) 3, pp. 242-274

coverage of impulse response function confidence intervals are examined for simulated vector autoregression models using a … overdifferencing a model yields poor impulse response function confidence interval coverage; modelling in Hodrick-Prescott filtered … – performs well for both Granger causality testing and impulse response function estimation. …

Persistent link: https://www.econbiz.de/10008563413

Test of the J-curve for six selected new EU countries

Hsing, Yu - In: International Journal of Economic Policy in Emerging … 2 (2009) 1, pp. 76-85

This paper examines the J-curve for the bilateral trade between Croatia, the Czech Republic, Hungary, Poland, Slovakia, or Slovenia and the USA. This paper finds that the J-curve is not empirically confirmed for any of these six countries. Instead, after a shock to real depreciation, the trade...

Persistent link: https://www.econbiz.de/10008563443

SHOCKING ASPECTS OF MONETARY INTEGRATION (SVAR APPROACH)

MIRDALA, Rajmund - In: Journal of Applied Research in Finance Bi-Annually I (2009) 1, pp. 42-62

One of the most challenging areas relating to the European Monetary Union (EMU) enlargement is the question of new member countries' vulnerability to exogenous shocks related to euro adoption. Even if well prepared, and also considering the business cycles of the EMU candidate countries became...

Persistent link: https://www.econbiz.de/10010711319

EFFECTS OF FISCAL POLICY SHOCKS IN THE EUROPEAN TRANSITION ECONOMIES

MIRDALA, Rajmund - In: Journal of Applied Research in Finance Bi-Annually I (2009) 2, pp. 141-157

EU member countries are currently exposed to negative implications of the economic and financial crisis. In connection with this problem arises the question of an anti-cyclic role of an economic policy or more precisely the (regulatory) role of the government in the economy that seems to be the...

Persistent link: https://www.econbiz.de/10010711336

Linkages among US Interest Rates and East Asian Purchases of US Treasury Securities

Hurley, Dene - In: Global Economic Review 38 (2009) 4, pp. 397-408

Recent increases in East Asian purchases of US treasury securities has led to growing concern over its impact on the US economy, particularly on the US long-term and short-term interest rates. The vector error-correction model results revealed the presence of long-run causal relations among the...

Persistent link: https://www.econbiz.de/10008464388

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - 2000

provided for the kurtosis and co-kurtosis between components. An impulse response function for kurtosis and co-kurtosis is …

Persistent link: https://www.econbiz.de/10010310227

Nonparametric estimation of generalized impulse response function

Tschernig, Rolf; Yang, Lijian - 2000

A local linear estimator of generalized impulse response (GIR) functions for nonlinear conditional heteroskedastic autoregressive processes is derived and shown to be asymptotically normal. A plug-in bandwidth is obtained that minimizes the asymptotical mean squared error of the GIR estimator. A...

Persistent link: https://www.econbiz.de/10010310235

Nonparametric estimation of generalized impulse response function

Tschernig, Rolf; Yang, Lijian - Sonderforschungsbereich 373, Quantifikation und … - 2000

Persistent link: https://www.econbiz.de/10010956384

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - Sonderforschungsbereich 373, Quantifikation und … - 2000

provided for the kurtosis and co-kurtosis between components. An impulse response function for kurtosis and co-kurtosis is …

Persistent link: https://www.econbiz.de/10010956486