s[v] = preo[v] s[w] = prvo[w] ∀w ∈ vars(prvo) s[Ov] = o s[Ow] = frozen ∀w ∈ vars(prvo) s[Cw] = v ∀w ∈ vars(prvo) We show that all operators o′ that interfere with Fire(o) are not applicable in s. Thus Fire(o) is the only applicable operator in Ts. Second, we show that for all these operators o′ ∈ Ts (except for Fire(o)), Ts already contains a necessary enabling set for o′ in s. Let u 6= Fire(o)...

In this paper, the structural vector autoregression methodology is used to decompose the euro area nominal short-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of the monetary policy stance of the ECB. To this end, a vector autoregression model comprised of the differenced interest rate series and the stationary co...

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that distribution variables skewed heavy tailed. In this paper, we contribute to literature extending vector autoregression (VAR) model account for more realistic assumptions on multivariate variables. We propose gener...

This paper examines the behavior of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983) and Engle and Granger (1987). It is established that a multi-step forecast will satisfy the co-integrating relation exactly and that this particular linear combination of forecasts will have a finite limiting forecast error variance. A simulation study compare...

According to the Harberger-Laursen-Metzler (HLM) effect an exogenous increase in the terms of trade faced by a small open economy leads to an improvement in that country’s trade balance. In this paper structural vector autoregression techniques are used to investigate whether there is any systematic pattern in the responses of the trade balance to terms of trade shocks for a large number of sma...

This paper suggests an identified VAR model that identifies monetary policy actions for the G-7 countries without encountering empirical puzzles such as the price puzzle and the liquidity puzzle. Using the model, the effects of monetary policy shocks are examined for the postwar period. Monetary policy shocks have significant effects on output in the short run. However, the contribution of mone...