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Heteroskedastic structural vector autoregressions identified via long-run restrictions

Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

Persistent link: https://www.econbiz.de/10015207512

Chapter 6 Forecasting with VARMA Models

Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

Persistent link: https://www.econbiz.de/10014023700

Impact of exchange rate depreciation on the balance of payments : empirical evidence from Nigeria

Iyoboyi, Martins; Muftau, Olarinde - In: Cogent economics & finance 2 (2014) 1, pp. 1-23

The paper investigates the impact of exchange rate depreciation on the balance of payments (BOP) in Nigeria over the period 1961 - 2012. The analysis is based on a multivariate vector error correction framework. A long-term equilibrium relationship was found between BOP, exchange rate and other...

Persistent link: https://www.econbiz.de/10010474303

A cointegration model of money and wealth

Assenmacher, Katrin; Beyer, Andreas - 2018

Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...

Persistent link: https://www.econbiz.de/10011974516

Foreign direct investment - domestic investment nexus : evidence from India

Babu, Abraham - In: Contemporary economics 15 (2021) 3, pp. 267-275

investment and domestic investment was analysed using cointegration test. Thereafter, the vector error correction model was …

Persistent link: https://www.econbiz.de/10012629553

Interest rate pass-through in Germany and the euro area

Borstel, Julia von - 2008

This paper analyzes the interest rate pass-through for Germany and the euro area using for the first time a fully harmonized data set on bank retail rates. In a vector error correction model, the speed and completeness of the pass-through from market rates to bank interest rates are estimated...

Persistent link: https://www.econbiz.de/10010206376

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

Persistent link: https://www.econbiz.de/10010381431

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

for the cointegration rank test are also brie y discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …

Persistent link: https://www.econbiz.de/10010381434

The new Keynesian model and the long-run vertical Phillips curve : does it hold for Germany?

Gottschalk, Jan; Fritsche, Ulrich - 2006

rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …

Persistent link: https://www.econbiz.de/10010426365

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Persistent link: https://www.econbiz.de/10010464770