VECM and Bayesian VECM for Overparameterization Problem
نویسندگان
چکیده
منابع مشابه
ARE APPRECIATED . Simple Rules in the M 1 - VECM
This paper analyses various simple interest rate rules using a vector error correction forecasting model of the Canadian economy that is anchored by long-run equilibrium relationships suggested by economic theory. Dynamic and stochastic simulations are performed using several interest rate rules, including money based rules and their properties are analysed. Among the class of rules we consider...
متن کاملIdentification of Dynamic Economic Models from Reduced Form VECM Structures: An Application of Covariance Restrictions
This analysis is a straightforward implementation of both long-run and short-run identifying or overidentifying restrictions on a vector error correction model in the “structural VAR” framework. The framework utilizes covariance restrictions, long-run multiplier restrictions, error correction coefficient restrictions, and restrictions on slope coefficients of the stimultaneous interactions in t...
متن کاملSTLS / US - VECM 6 . 1 : A Vector Error - Correction Forecasting Model of the US Economy
Any research or policy analysis exercise in economics must be consistent with the timeseries properties of observed macroeconomic data. This paper discusses in detail the specification of a six-variable vector error-correction forecasting model. We test for cointegration among those variables: the CPI, the implicit price deflator for GDP, real money balances (M1), the federal funds rate, the yi...
متن کاملBuilding VECM-based Systems with a Model Driven Approach: an Experience Report
Recently, we took part in a project with two local companies about the creation of a UML-based Model Driven rigorous method to develop VECM-based systems. VECM is a way to abstract from the details of different Enterprise Content Management (ECM) systems used within the same organization. This report details the experience made using our method to develop V-Protocol: a system able to protocol, ...
متن کاملVECM and Impulse Response Functions Analysis on Wealth and Balance Sheet Effect in Czech Republic and South Africa Housing Market
This paper studies the interest rate exposure of the housing markets and the role of housing prices in monetary transmission mechanism in two emerging markets, Czech Republic and South Africa. The Granger causality test results indicate that housing price fluctuations create wealth and balance sheet effect in both countries. The results of impulse response functions based on the VECMs show that...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2021
ISSN: 1742-6588,1742-6596
DOI: 10.1088/1742-6596/1811/1/012086