We calculate the NAIRU for the U.S. in a framework where inflation and the unemployment rate can respond to each other. The NAIRU is defined as the component of the actual unemployment rate that is uncorrelated with inflation in the long run. Using a structural VAR approach, the NAIRU and core inflation can be estimated simultaneously. Our estimation results show that the NAIRU falls dramatical...

This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework.

Traditional approaches to structural interpretation of vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs about certain aspects of the model. These traditional methods can be generalized with a less restrictive Bayesian formulation that allows the researcher to summarize uncertainty coming not just from the data but also uncertaint...

This paper investigates the relation between changes in self-employment and changes in unemployment at the regional level in Spain in the period 1979-2001. We estimate a vector autoregression model as proposed by Audretsch, Carree, van Stel and Thurik (2005) using a data base for Spanish regions. By estimating the model we are able to empirically distinguish between two directions of causality....

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...