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A VAR model for monetary policy analysis in a small open economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999

for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …

Persistent link: https://www.econbiz.de/10011584357

Re-estimation of Keynesian model by considering critical events and multiple cointegrating vectors

Hina, Hafsa; Qayyum, Abdul - In: The Pakistan development review : PDR 54 (2015) 2, pp. 123-145

Persistent link: https://www.econbiz.de/10011561554

The long-run Phillips curve : a structural VAR investigation

Benati, Luca - In: Journal of monetary economics 76 (2015), pp. 15-28

Persistent link: https://www.econbiz.de/10011569676

Multivariate functional time series forecasting : application to age-specific mortality rates

Gao, Yuan; Shang, Han Lin - In: Risks : open access journal 5 (2017) 2, pp. 1-18

forecast mortality rates in multiple populations. This model incorporates the merits of existing models in that it excludes … applications to the age-and sex-specific mortality rates in Switzerland and the Czech Republic. The point forecast errors of … model provides improved forecast accuracy in most cases. …

Persistent link: https://www.econbiz.de/10011643355

Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks

Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116

Persistent link: https://www.econbiz.de/10010506080

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...

Persistent link: https://www.econbiz.de/10010418272

Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks

Castle, Jennifer - 2019

Persistent link: https://www.econbiz.de/10012170952

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2016

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been...

Persistent link: https://www.econbiz.de/10011878239

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...

Persistent link: https://www.econbiz.de/10011810177

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011887655