Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic ‡uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci…cations as they are able to solve the tradeo¤ between theoretical coherence and empirical …t. However, these models are still linear and they do not con...

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

This paper presents a simulation study that assesses the finite sample performance of the subspace algorithm cointegration analysis developed in Bauer and Wagner (2002b). The method is formulated in the state space framework, which is equivalent to the VARMA framework, in a sense made precise in the paper. This implies applicability to VARMA processes. The paper proposes and compares six differ...

This paper investigates the interaction between uncertainty and monetary policy by estimating a non-linear VAR with US post-WWII data. The indicator is treated both as an endogenous variable in transition discriminating high vs. low states. impact of shocks different phases cycle assessed via computation Generalized Impulse Response Functions. Monetary are found to be less effective when high, ...

This paper provides a comprehensive analysis of the interest rate pass-through euro area monetary policy to retail rates outside area, contributing literature on consequences unofficial financial euroisation and transmission channels spillovers. The results suggest that in long run, more than one third all euroised countries central, eastern south-eastern Europe (CESEE) are linked shadow rate. ...

This paper investigates changes in the conduct of U.S. monetary policy. Monetary policy is modeled in the context of the Bernanke-Mihov (1998) structural VAR (SVAR) extended to allow explicitly for the Fed’s forward looking behavior. This is achieved by including its realtime forecasts on in‡ation and unemployment (the “Greenbook” forecasts). Stability tests that exploit the SVAR identifying re...

in this research, potential effects of oil and monetary policy shocks on economic growth of iran are examined and share of each of them on economic growth are calculated during 1974-2006 period and potential mutual effects of those shocks by using the vector auto regressive (var) model are analysed. results of this research show that oil shocks significantly affected the economic growth in iran...

Standard tests for the cointegrating rank of a vector autoregressive (VAR) process have nonstandard limiting distributions which depend on the characteristics of intercept terms and time trends in the system. In practice, these characteristics are often unknown. Therefore, modi"ed tests are considered which allow for deterministic linear trends in the data generation process (DGP). The tests ar...

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series data. I find that the restrictio...

Asymptotics are known to be unreliable in multivariate models with cross-equation or non-linear restrictions, and the dimension of the problem makes bootstrapping impractical. In this paper, "nite sample results are obtained by Markov chain Monte Carlo methods for a nearly non-stationary VAR, and for a di!erential dynamic demand model with homogeneity, Slutsky symmetry, and negativity. The full...