This paper examines the e↵ects of intra-financial lending – claims between financial institutions – on aggregate investment and credit to the non-financial sector in the United States. Building on Montecino, Epstein, and Levina (2014) we document a large growth in intra-financial assets beginning in the early 1980s. Using a vector autoregression model, we find that intra-financial lending is ne...

We identify the temporary and permanent components of US stock prices through appropriate restrictions on a vector autoregression of real stock returns and changes in interest rates, employing alternative robust estimation procedures designed to allow for non-Gaussian innovations.  2000 Elsevier Science S.A. All rights reserved.

A seasonal additive nonlinear vector autoregression (SANVAR) model is proposed for multivariate seasonal time series to explore the possible interaction among the various univariate series. Significant lagged variables are selected and additive autoregression functions estimated based on the selected variables using spline smoothing method. Conservative confidence bands are constructed for the ...

It is often unclear whether time series displaying substantial persistence should be modelled as a vector autoregression in levels (perhaps with a trend term) or in differences. The impact of this decision on inference is examined here using Monte Carlo simulation. In particular, the size and power of variable inclusion (Granger causality) tests and the coverage of impulse response function con...

This article focuses on the electricity industry and electricity consumption of population and industrial enterprises in Russia is analyzed. Economic factors that affect energy consumption are studied by the Vector Autoregression Analysis (VAR). The relationship between variables is defined by Granger test, and it also considers scenarios of reactions of electricity consumption on exogenous sho...