This paper examines the experiment in macroeconometrics, the different forms it has taken and the rules that have been proposed for its proper conduct. Here an ‘experiment’ means putting a question to a model and getting an answer. Different types of experiment are distinguished and the justification that can be provided for a particular choice of experiment is discussed. Three types of macroec...

This paper presents the optimal strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate the optimal choice for an investor with a fixed target real return at different horizons, with shortfall probability constraint. We show that the strategic allocation differs sharply across regimes. In a volatile macroeconomic environment,...

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present stud...

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks....

Hydropower is currently one of the leading renewable energy sources in developing countries. Despite benefits that it can provide, also triggers significant environmental impacts, such as changes reservoirs’ water quality. In quantifying those changes, dissolved oxygen (DO) used quality indicators and most variable to quantify analyze pollution. This paper aims establish a relationship between ...

This paper investigates the effects of shocks to U.S. monetary policy on the dollar/yen exchange rate, using structural Vector Error Correction Model (VECM) methods. We compare our estimates of the impulse responses with those based on levels Vector Autoregression. We also compare results from short run and long run restrictions imposed on the structural VECM. We find evidence of overshooting b...

Vector autoregression (VAR) models are widely used for multivariate time series analysis in macroeconomics, finance, and related fields. Bayesian methods often employed to deal with their dense parameterization, imposing structure on model coefficients via prior information. The optimal choice of the degree informativeness implied by these priors is subject much debate can be approached hierarc...

This research analyzes the effect of government bond yield curve spread on economic growth performance in Indonesia using indicators exchange rate, inflation, BI foreign investment, portfolio current account, and accounts. Furthermore, it aims to prove accuracy vector autoregression (VAR) or model predicting from Q1 2010 Q3 2020. The results showed that has a significant growth. Meanwhile, rate...

This study explores the relationship between monetary policy instruments and India’s demographic structure, to understand how these interact with population composition. To trace relationship, this has considered annual data from 1993-2018. Using structural vector autoregression (VAR) restrictions considering various macroeconomic variables, shows a significant variable represented by repo rate...