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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

Taking a DSGE Model to the Data Meaningfully

Jusélius, Katarina; Franchi, Massimo - 2011

All economists say that they want to take their model to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Persistent link: https://www.econbiz.de/10014048991

Taking a DSGE Model to the Data Meaningfully

Jusélius, Katarina - 2011

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Persistent link: https://www.econbiz.de/10013132789

A macroeconometric assessment of Minsky's Financial Instability Hpothesis

Greenwood-Nimmo, Matthew; Tarassow, Artur - 2013

The Financial Instability Hypothesis associated with Hyman Minsky has profound implications for the conduct of monetary policy in modern capitalist economies. At its core is the proposition that the central bank may contribute to the financial fragility of leveraged firms in its pursuit of...

Persistent link: https://www.econbiz.de/10010425830

Trend dominance in macroeconomic fluctuations

Shibayama, Katsuyuki - 2015

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation seems to be dominated by its trend component, and, perhaps as a result of this, the short-term interest rate is also trend dominated; and (b) consumption also seems to be...

Persistent link: https://www.econbiz.de/10011342928

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano; Mizon, … - 2014

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10014133300

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

Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia

Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …

Persistent link: https://www.econbiz.de/10013489691

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

Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...

Persistent link: https://www.econbiz.de/10010208787