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...

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....

M1 velocity is, approximately, the permanent component of the short-term rate. This implies that agents-in deciding how much wealth to allocate to non interest bearing M1, as opposed to interest-bearing assets-almost uniquely react to permanent shocks to the opportunity cost, essentially...

The research work presented below addresses the possible concern of central bank independence through the development and application of econometric models. The complexity of the modelling has allowed a step further in corroborating that financial independence is not only linked to the...

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial...

The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models....

An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of alpha and beta when they...