Browsing by Subject "C32"

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Browsing by Subject "C32"

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    Title: Granger-Causal Analysis of VARMA-GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...
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    Title: Testing Causality between Two Vectors in Multivariate GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...
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    Title: An Empirical Study of Credit Shock Transmission in a Small Open Economy  Author(s): BEDOCK, Nathan; STEVANOVIC, Dalibor Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: In this paper we identify and measure the effects of credit shocks in a small open economy. To incorporate information from a large number of economic and financial indicators we use the structural factor-augmented VARMA ...
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    Title: Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity  Author(s): NETŠUNAJEV, Aleksei Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...
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    Title: The Multiscale Causal Dynamics of Foreign Exchange Markets  Author(s): BEKIROS, Stelios D.; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
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    Title: Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks  Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...
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    Title: Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights  Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Many contemporaneously aggregated variables have stochasticaggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate ...
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    Title: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance  Author(s): ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, Massimo Date: 2010 Type of Publication: Article Abstract: This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, ...
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    Title: Empirical Simultaneous Confidence Regions for Path-Forecasts  Author(s): JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
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    Title: Estimation Methods Comparison of SVAR Model with the Mixture of Two Normal Distributions – Monte Carlo Analysis  Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization ...
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    Title: Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights  Author(s): LUETKEPOHL, Helmut Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...
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    Title: Forecasting with Factor-augmented Error Correction Models  Author(s): MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
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    Title: Pre-Announcement and Timing. The Effects of a Government Expenditure Shock  Author(s): KRIWOLUZKY, Alexander Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper investigates the effect of a government expenditure shock on consumption and real wages. I identify the shock by exploiting its pre-announced nature, i.e. different signs of the responses in investment, hours ...
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    Title: Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity  Author(s): HERWARTZ, Helmut; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...
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    Title: Forecasting Aggregated Time Series Variables: A Survey  Author(s): LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these ...
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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...
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    Title: Forecasting Levels of log Variables in Vector Autoregressions  Author(s): BARDSEN, Gunnar; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...
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    Title: Pre-announcement and Timing - The Effects of a Government Expenditure Shock  Author(s): KRIWOLUZKY, Alexander Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper investigates the effect of a government expenditure shock on consumption and real wages. I identify the shock by exploiting its pre-announced nature, i.e. different signs of the responses in investment, hours ...
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    Title: Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term  Author(s): DEMETRESCU, Matei; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: When applying Johansen's procedure for determining the coin- tegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in ...
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    Title: Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...