A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Affine Term Structure Models (ATSM) on a vector autoregression (VAR) as prior information rather than imposing them dogmatically. This allows to account for possible model misspecification. We appl...

The ”irrational exuberance” of the stock market in the late 1990’s lead to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study I employ a structural VAR to estimate the response of the stock market returns to innovations in the federal funds rate. The effect of the stock market on ...

The traditional Value at Risk (VaR) is a very popular tool measuring market risk, but it does not incorporate liquidity risk. This paper proposes an extended VaR model to integrate liquidity risk for intraday trading strategies using high frequency order book data. We estimate the one step ahead liquidity adjusted intraday VaR called(LAIVaR) for both bid and ask positions, considering several t...

We investigate the lead-lag relationship between growth of patent applications, growth of R&D, and growth of total sectoral employment for 270 German labour market regions over the period 1999-2005. Our unique panel dataset includes information on four two-digit industries, namely Chemistry, Transport equipment, Medical & Optical Equipment as well as Electrics & Electronics. The results obtaine...

A positive technology shock may lead to a rise or a fall in per capita hours, depending on how hours enter the empirical VAR model. We provide evidence that, independent of how hours enter the VAR, a positive technology shock leads to a weak response in nominal wage inflation, a modest decline in price inflation, and a modest rise in the real wage in the short-run and a permanent rise in the lo...

Intercept and deterministic trend functions are known to have a substantial effect on cointegration analysis, and notably on the asymptotic distributions of various test statistics. In this paper we propose a unifying approach to the analysis of cointegrated vector autoregressions by allowing for a wide class of trend functions. Next, estimates of these trends are incorporated in the asymptotic...

Graph-theoretic methods of causal search based on the ideas of Pearl (2000), Spirtes et al. (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal order for the structural vector autoregression, rather than, as is typically done, assuming a weakly justified Cholesk...

In spite of the rapid adoption of electronic limit order markets all over the world, many questions concerning the nature and characteristics of liquidity in automated systems remain unanswered. This paper examines the dynamic behaviour of market liquidity on the Tunisian stock exchange (BVMT) using high frequency data from a reconstructed limit order book. The BVMT is an electronic pure order ...