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Optimal hedging with the cointegrated vector autoregressive model

Gatarek, Lukasz; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010937269

Prices, Wages and Fertility in Pre-Industrial England

Klemp, Marc P. B. - Økonomisk Institut, Københavns Universitet - 2011

A two-sector Malthusian model is formulated in terms of a cointegrated vector autoregressive (CVAR) model on error correction form. The model allows for both agricultural product wages and relative prices to affect fertility. The model is estimated using new data for the pre-industrial period in...

Persistent link: https://www.econbiz.de/10009225748

Times Series: Cointegration

Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940436

On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

Johansen, Søren; Swensen, Anders Rygh - Økonomisk Institut, Københavns Universitet - 2009

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Persistent link: https://www.econbiz.de/10004999759

Changing Monetary Transmission Mechanisms within the EU.

Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1997

This paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the "second ERM" in March 1983. The empirical model investigates the determination of money, income, prices and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR...

Persistent link: https://www.econbiz.de/10005749822

An I(2) Cointegration Analysis of Small-Country Import Price Determination

Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 1998

This paper develops a procedure for testing hypotheses on the full set of cointegration parameters of the I(2) model …

Persistent link: https://www.econbiz.de/10005225473

Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1992

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is …

Persistent link: https://www.econbiz.de/10005225480

Analyzing I(2) Systems by Transformed Vector Autoregressions

Kongsted, Hans Christian; Nielsen, Heino Bohn - Økonomisk Institut, Københavns Universitet - 2002

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

Persistent link: https://www.econbiz.de/10005225482

Testing the Nominal-to-Real Transformation.

Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 2002

transformation based on I(1) cointegration methods is suggested. It demonstrates good size and power properties in a small …

Persistent link: https://www.econbiz.de/10005225498

The Recent Monetary Policy and Money Demand in Japan

Miyagawa, Shigeyoshi; Morita, Yoji - Økonomisk Institut, Københavns Universitet - 2004

positive relationship with real economic activity, and money demand is still stable. We found one cointegration in the … cointegration test between money stock, real GDP, and share price in the period from 1981 through 1997. However the cointegration … has broken out when the sample period was extended beyond 1997, as the BOJ (2003) suggests. We performed the cointegration …

Persistent link: https://www.econbiz.de/10005232987