We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...

This paper investigates the mechanism of transmitting economic policy uncertainty (EPU) shocks to capital structure. We adopt a novel approach that bridges the asset pricing implications of EPU and the debt-financing decisions of Chinese firms by introducing a variable “policy-risk-induced...

We develop a general mandate framework for delegating monetary policy to an instrument-independent, but goal-dependent central bank (CB). The mandate consists of: (i) a simple quadratic loss function penalizing deviations from target macroeconomic variables; (ii) a Taylor-type nominal...