This paper presents a theoretical relationship between the yield curve and future economic growth in a simple stochastic growth model. The derived relationship implies that, in a simple competitive production economy, the slope of the yield curve predicts future output growth. This predictive content of the yield curve is tested using Australian data by employing a vector autoregression (VAR) m...

The paper analyses the relationship between shadow economy and unemployment rates using a Structural VAR approach for quarterly data during the period 2000-2010. The size of Romanian shadow economy is estimated using the currency demand approach based on VECM models, stating that its size is decreasing over the analyzed period, from 36.5% at the end of 2000 to about 31.5% of real GDP at the mid...

We use Hasbrouck (1991)’s vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade related information, and the positive autocorrelation...

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fail...

The purpose of this paper is to analyze the dynamic impact of Interest Rate Policy on the Real Estate Market. In this paper we constructed a vector autoregression (VAR) model using five indicators and analyzed the response of the real estate market to the impulse of interest rate policy based on the monthly data from January 2003 to September 2010 in China. The results show that the Central Ban...

In the paper the causal relationships between money and other macroeconomic variables such as output, interest rate, prices and exchange rate in Croatia were analysed. The basic principle of Grangercausality analysis is to test whether past values of monetary variable help to explain current values of output. Multivariate causality tests were performed in a vector autoregression (VAR) model. Th...

This paper discusses model based inference in a vector autoregressive model for cofractional processes based on the Gaussian likelihood. The model allows the process Xt to be fractional of order d and cofractional of order d−b, that is, there exist vectors β for which βXt is fractional of order d − b. The parameters b and d satisfy either d ≥ b ≥ 1/2, d = b ≥ 1/2, or d = d0 ≥ b ≥ 1/2. We model ...

There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in...

This study uses a vector autoregression (VAR) model to analyze changes in pollutants among different mining industries and related policy in China from 2001 to 2014. The results show that: (1) because the pertinence of standards for mining waste water and waste gas emissions are not strong and because the maximum permissible discharge pollutant concentrations in these standards are too high, am...

Industrial production is an important indicator of future trends in each of the economy including the Croatian economy. On the other hand, as a preceding factor of the economy dynamics changes, the equity indices of the capital market can be used. Due to different considerations and interpretations of their mutual initial causation, the paper analyzes the interdependence between the main index ...