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Title:The Price Puzzle in the Monetary Transmission Vars with Long-Run Restrictions Author(s):KRUSEC, DejanDate:2010Citation: Economics Letters, 2010, 106, 3, 147-150 Type:ArticleAbstract: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 EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/15Abstract: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 ...

Title:Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries Author(s):CORSETTI, Giancarlo EUI affiliated

; DEDOLA, Luca; LEDUC, SylvainDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/39Abstract: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 ...

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