Download or read book A Vector Error Correction Model of the Reserve Bank Price System written by Dean Hyslop and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book STLS US VECM6 1 written by Dennis L. Hoffman and published by . This book was released on 1997 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Vector Error Correction Forecasting Model of the U S Economy written by Richard G. Anderson and published by . This book was released on 1998 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Conditional and Structural Error Correction Models written by Neil R. Ericsson and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analysis of Panel Vector Error Correction Models Using Maximum Likelihood the Bootstrap and Canonical correlation Estimators written by Richard G. Anderson and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small sample size distortions. Furthermore, the distributions of empirical economic and financial time series tend to display fat tails, heteroskedasticity and skewness that are inconsistent with the usual distributional assumptions of likelihood-based approach. The testing statistic based on Box-Tiao's canonical correlations shows promise as an alternative to Johansen's ML-based approach for testing of cointegration rank in VECM models"--Federal Reserve Bank of St. Louis web site.

Download or read book Approaches to Modelling Prices at the Reserve Bank of New Zealand written by Craig Beaumont and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Vector Error Correction Model of Real Output Monetary and Fiscal Policy written by Moh'd Hasan Al-Azzam and published by . This book was released on 2001 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bulletin written by and published by . This book was released on 1995 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Vector Error Correction Model VECM of Stockmarket Returns written by Nagaratnam J. Sreedharan and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Inflation in Australia written by Gordon De Brouwer and published by . This book was released on 1995 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an empirically constant, data-coherent, error correction model for inflation in Australia. The level of consumer prices is a mark-up over domestic and import costs, with adjustments for dynamics and relative aggregate demand. We address issues of cointegration, general to specific modelling, dynamic specification, model evaluation and testing, parameter constancy, and exogeneity. We also test this model against existing models of Australian prices: this model encompasses (but is not encompassed by) the existing models.

Download or read book Vector Rational Error Correction written by Sharon Kozicki and published by . This book was released on 1998 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does Mixed Frequency Vector Error Correction Model Add Relevant Information to Exchange Misalignment Calculus Evidence for United States written by Emerson Fernandes Marçal and published by . This book was released on 2014 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real exchange rate is an important macroeconomic price in the economy and affects economic activity, interest rates, domestic prices, trade and investments flows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed cointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables.

Download or read book Yemen written by Mr.Faisal Ahmed and published by International Monetary Fund. This book was released on 2007-01-01 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the likely implications of declining oil production on Yemen's equilibrium exchange rate, and discusses policy options to ensure a smooth transition to a nonoil economy. The empirical results suggest that, as oil production and foreign exchange earnings fall, the Yemeni rial will have to adjust downward in real effective terms to keep pace with the equilibrium exchange rate. In light of strong pass-through from exchange rate depreciation to domestic inflation, this could entail a substantial depreciation in nominal terms. Given the nature of the adjustment, a floating exchange rate regime appears to be the best option, if supported by appropriate macroeconomic policies. However, given public fixation on a exchange rate stability, a softly managed float would be a better option for Yemen whereby the central bank may have to lead the market toward the equilibrium exchange rate.

Download or read book Why Not a Contestable Market for the Reserve Bank written by Mark Toma and published by . This book was released on 1992 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Prices News and Economic Fluctuations written by André Kurmann and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reserve Bank Bulletin written by and published by . This book was released on 1995 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy and Models of Currency Demand written by Mariam El Hamiani Khatat and published by International Monetary Fund. This book was released on 2018-02-16 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two types of currency in circulation models are identified: (1) a first generation derived from the theory of money demand and (2) a second generation aimed at producing daily forecasts of currency in circulation. In this paper, we transform the currency demand function into a VAR to capture the dynamic link between interest rates and the demand for cash. We also apply ARIMA modeling to forecast the daily currency in circulation for Brazil, Kazakhstan, Morocco, New Zealand, and Sudan. Our empirical work shows that some of the conclusions in the economic literature on the impact of interest rates on the demand for currency do not necessarily hold, and that central banks would benefit from running both generations of currency in circulation models. The fundamental longer-run determinants of the demand for cash are distinct from its short-run determinants.