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Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models

Coenen, Günter - 2000

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...

Persistent link: https://www.econbiz.de/10011604055

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...

Persistent link: https://www.econbiz.de/10011604448

Measuring inflation persistence: a structural time series approach

Dossche, Maarten; Everaert, Gerdie - 2005

Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target....

Persistent link: https://www.econbiz.de/10011604541

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10011604590

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2015

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

Persistent link: https://www.econbiz.de/10011605859

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10011605003

VAR for VaR : Measuring Tail Dependence Using Multivariate Regression Quantiles

White, Jr., Halbert L. - 2015

Persistent link: https://www.econbiz.de/10013020592

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

White, Jr., Halbert L.; Kim, Tae-Hwan; Manganelli, Simone - 2021

Persistent link: https://www.econbiz.de/10013316459

The Post-Crisis TFP Growth Slowdown in CEE Countries : Exploring the Role of Global Value Chains

Chiacchio, Francesco - 2018

technology diffusion within GVCs. We use these results to explain the pronounced post-crisis drop in Total Factor Productivity …

Persistent link: https://www.econbiz.de/10012921893

Productivity and the ('synthetic') euro-dollar exchange rate

Schnatz, Bernd; Vijselaar, Focco; Osbat, Chiara - 2003

This paper analyses the impact of productivity developments in the United States and the euro area on the euro …-dollar exchange rate. The paper presents a new measure of relative average labour productivity (ALP), which does not suffer from the … productivity proxies. Our results indicate that the extent to which productivity can explain the euro depreciation varies with the …

Persistent link: https://www.econbiz.de/10011604271