Browsing Department of Economics (ECO) by Subject "VAR"

DSpace/Manakin Repository

Browsing Department of Economics (ECO) by Subject "VAR"

Sort by: Order: Results:

  •  
    Title: The Price Puzzle in the Monetary Transmission Vars with Long-Run Restrictions  Author(s): KRUSEC, Dejan Date: 2010 Type of Publication: Article Abstract: This study addresses the price puzzle - a positive response of prices to monetary tightening in VAR models. By using long-run instead of the usual short-run restrictions on the US data including output, prices and interest ...
  •  
    Title: Factor Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Contribution to book Abstract: This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
  • Icon
    Title: Factor-Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
  • Icon
    Title: Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries  Author(s): CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, Sylvain Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper investigates the international transmission of productivity shocks in a sample of ve G7 countries. For each country, using long-run restrictions, we identify shocks that increase permanently domestic labor ...