This paper examines the dynamic behaviour of market liquidity on the Tunisian stock exchange (B.V.M.T.) using high frequency data from a reconstructed limit order book. The BVMT is an electronic pure order driven market that relies only on limit orders to supply liquidity, which may affect its viability and its resiliency. First, we apply a VAR model to stocks traded in continuous in order to e...

1. To estimate a small quarterly macroeconomic model of the UK, based on a VAR model of a number of ‘core’ macroeconomic variables, and employing recently developed econometric techniques to test and impose restrictions on the long run relationships of the model. Also, to analyse the short run dynamic properties of the model and to investigate the role of exogenous variables, all with a view to...

This paper investigates conditions under which empirical models that use long-run recursive identifying assumptions will obtain structural impulse response functions. I present a class of structures defined as long-run partially recursive. If an economic structure falls into this class, then certain long-run recursive empirical models are able to identify some of the structural responses. This ...

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...

With the emergence of social media and Web 2.0, broadcasting in the online environment has evolved into a new form of marketing due to the much broader reach enabled by information technology. This paper examines the organizational use of social media, specifically, artist-generated content, and quantifies the impact of artists’ broadcasting activities on a leading social media site for music, ...

The objective of this paper is to apply the method developed in Garratt, Lee, Pesaran, and Shin (2000) to build a structural model for Germany with a transparent and theoretically coherent foundation. The modelling strategy consists of a set of long-run structural relationships suggested by economic theory and an otherwise unrestricted VAR model. It turns out that we can rebuild the structure o...

This paper represents a contribution to the study of the international transmission of business cycle shocks. A domestic positive productivity shock hitting countries vis-à-vis the rest of the world is identified in a VAR model following the methodology of sign restriction pioneered by Canova and De Nicolò in 2002. By this identification strategy, restrictions are imposed on impulse response fu...

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....