Results 181 to 190 of about 1,779,916 (322)
Impact of Macroeconomic Policies on Agricultural Prices
Existing empirical evidence on the impact of macroeconomic variables on agriculture remains mixed and inconclusive. This paper re-examines the dynamic relationship between monetary policy variables and agricultural prices using alternative vector ...
Awokuse, Titus O.
core
Vector Autoregression and Causality
, 1991 This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (VAR’s) and Johansen-type error correction models (ECM’s) allowing for the presence of stochastic trends and cointegration.
Toda, Hiro Y., Phillips, Peter C.B.
core
The Natural Components of a Regular Linear System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The analysis of a finite‐dimensional regular linear system may be simplified by separating the system into its natural components. The natural components are smaller linear systems on separate subspaces whose dimensions sum to the dimension of the original linear system.
Brendan K. Beare, Phil Howlett
wiley +1 more source
Real Time Changes in Monetary Policy
This paper investigates potential changes in monetary policy over the last decades using a nonparametric vector autoregression model. In the proposed model, the conditional mean and variance are time-dependent and estimated using a nonparametric local ...
Chauvet, Marcelle +1 more
core
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT 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 long‐run restrictions based on the cointegration structure of the variables are available for identifying structural ...
Martin Bruns, Helmut Lütkepohl
wiley +1 more source
THE CORN-EGG PRICE TRANSMISSION MECHANISM
A vector autoregression (VAR) model of corn, farm egg, and retail egg prices is estimated and shocked with a corn price increase. Impulse responses in egg prices, t-statistics for the impulse responses, and decompositions of forecast error variance are ...
Babula, Ronald A., Bessler, David A.
core
The economic outlook for the Fifth District states in 1984 : forecasts from vector autoregression models [PDF]
Anatoli Kuprianov and William Lupoletti employ the VAR technique to forecast the regional economy in “The Economic Outlook for Fifth District States in 1984.” The authors document the experiences of the economies of Maryland, Virginia, West Virginia ...
William Lupoletti, Anatoli Kuprianov
core
What Are The Drivers of Labor Productivity in Italy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper introduces a novel sign restriction identification within a structural Bayesian vector autoregression (VAR) to analyse how labour productivity responds to supply and demand shocks and to quantify the contribution of shocks to cyclical fluctuations.
Josué Diwambuena, Francesco Ravazzolo
wiley +1 more source
Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach [PDF]
This paper attempts to explore monetary policy transmission under zero interest rates by explicitly incorporating the zero lower bound (ZLB) of nominal interest rates into the time-varying parameter structural vector autoregression model with stochastic ...
Jouchi Nakajima
core
Is There an Information Channel of Monetary Policy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Exploiting the heteroskedasticity of the changes in short‐term and long‐term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables.
Oliver Holtemöller +2 more
wiley +1 more source