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The effects of monetary policy shocks on exchange rates : a structural vector error correction model approach

Jang, Kyungho; Ōgaki, Masao - In: Journal of the Japanese and international economies : … 18 (2004) 1, pp. 99-114

Persistent link: https://www.econbiz.de/10001977802

Alternative maximum likelihood estimation of structural vector autoregressive models partially identified with short-run restrictions

Jang, Kyungho - In: Journal of money, credit and banking : JMCB 45 (2013) 2/3, pp. 465-476

Persistent link: https://www.econbiz.de/10009759303

Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions

Jang, Kyungho - Econometric Society - 2004

This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...

Persistent link: https://www.econbiz.de/10005702745

Granger causality from exchange rates to fundamentals : what does the bootstrap test show us?

Ko, Hsiu-Hsin; Ōgaki, Masao - 2013

Persistent link: https://www.econbiz.de/10009786572

A theory of exchange rates and the term structure of interest rates

Lim, Hyoung-seok; Ōgaki, Masao - In: Review of development economics 17 (2013) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10009711879

Granger causality from exchange rates to fundamentals : what does the bootstrap test show us?

Ko, Hsiu-Hsin; Ōgaki, Masao - In: International review of economics & finance : IREF 38 (2015), pp. 198-206

Persistent link: https://www.econbiz.de/10011572350