[PDF] Testing For Identification In Svar Garch Models Reconsidering The Impact Of Monetary Shocks On Exchange Rates eBook

Author : Ronald MacDonald
Publisher : Routledge
Page : 334 pages
File Size : 31,59 MB
Release : 2005
Category : Foreign exchange
ISBN : 1134838220

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''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Author : Laurent Ferrara
Publisher : Springer
Page : 300 pages
File Size : 39,96 MB
Release : 2018-06-13
Category : Business & Economics
ISBN : 3319790757

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This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 132 pages
File Size : 17,8 MB
Release : 2004-05-19
Category : Business & Economics
ISBN : 1498330282

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Author : Siem Jan Koopman
Publisher : Emerald Group Publishing
Page : 685 pages
File Size : 46,49 MB
Release : 2016-01-08
Category : Business & Economics
ISBN : 1785603523

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This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Author : Eugene Choo
Publisher : Emerald Group Publishing
Page : 447 pages
File Size : 18,16 MB
Release : 2013-12-18
Category : Business & Economics
ISBN : 1783500530

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This volume focuses on recent developments in the use of structural econometric models in empirical economics. The first part looks at recent developments in the estimation of dynamic discrete choice models. The second part looks at recent advances in the area empirical matching models.

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 657 pages
File Size : 33,30 MB
Release : 2013-10-08
Category : Business & Economics
ISBN : 1484348834

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Global growth is in low gear, and the drivers of activity are changing. These dynamics raise new policy challenges. Advanced economies are growing again but must continue financial sector repair, pursue fiscal consolidation, and spur job growth. Emerging market economies face the dual challenges of slowing growth and tighter global financial conditions. This issue of the World Economic Outlook examines the potential spillovers from these transitions and the appropriate policy responses. Chapter 3 explores how output comovements are influenced by policy and financial shocks, growth surprises, and other linkages. Chapter 4 assesses why certain emerging market economies were able to avoid the classical boom-and-bust cycle in the face of volatile capital flows during the global financial crisis.

Author : Katarina Juselius
Publisher : OUP Oxford
Page : 478 pages
File Size : 35,63 MB
Release : 2006-12-07
Category : Business & Economics
ISBN : 0191622966

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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.