Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
The simultaneous equations model with generalized autoregressive conditional heteroskedasticity: the SEM-GRACH model
Harmon, Richard (1988)
In this paper I generalize the standard simultaneous equations model by allowing the innovations of the structural equations to exhibit Generalized Autoregressive Conditional Heteroskedasticity (GARCH). I refer to this new specification as the SEM-GARCH model. I develop two estimation strategies: LIM-GARCH, a limited information estimator, and FIM-GARCH, a full information estimator. I show that these estimators are consistent and asymptotically normal. Following Weiss (1986) I show that when the errors in the SEM-GARCH process are incorrectly assumed to be conditionally normal the likelihood ...
International Finance Discussion Papers , Paper 322

Working Paper
Evaluating the accuracy of forecasts from vector autoregressions
McCracken, Michael W.; Clark, Todd E. (2013)
This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those parts that are applicable to iterated multi-step forecasts. This literature includes advancements in the evaluation of forecasts in population (based on true, unknown model coefficients) and the evaluation of forecasts in the finite sample (based on estimated model coefficients). The paper then examines in ...
Working Papers , Paper 2013-010

Working Paper
A Gibbs simulator for restricted VAR models
Zha, Tao; Waggoner, Daniel F. (2000)
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an SUR type, and thus our method can be implemented cheaply even for large systems of multiple equations.
FRB Atlanta Working Paper , Paper 2000-3

Conference Paper
A VAR analysis of economic interdependence: Canada, the United States, and the rest of the world
Murray, John D.; Kuszczak, John (1985)
Proceedings

Journal Article
The changing interest sensitivity of the U.S. economy
Kahn, George A. (1989-11)
Economic Review , Volume 74 , Issue Nov , Pages 13-34

Working Paper
Measuring monetary policy
Bernanke, Ben S.; Mihov, Ilian (1995)
Extending the approach of Bernanke and Blinder (1992), Strongin (1992), and Christano, Eichenbaum, and Evans (1994a, 1994b), we develop and apply a VAR-based methodology for measuring the stance of monetary policy. More specifically, we develop a "demi-structural" VAR approach, which extracts information about monetary policy from data on bank reserves and the federal funds rate but leaves the relationships among the macroeconomic variables in the system unrestricted. The methodology can be used to compare and evaluate existing indicators of monetary policy and also to develop an ...
Working Papers in Applied Economic Theory , Paper 95-09

Working Paper
Do measures of monetary policy in a VAR make sense?
Rudebusch, Glenn D. (1996)
No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.
Working Papers in Applied Economic Theory , Paper 96-05

Journal Article
Macroeconomic shocks and business cycles in Australia
Moreno, Ramon (1992)
A small vector autoregression model is estimated to assess how demand and supply shocks influence Australian output and price behavior. The model is identified by assuming that aggregate demand shocks have transitory effects on output, while aggregate supply shocks have permanent effects. The paper describes how Australian macroeconomic variables respond to demand and supply shocks in the short run and in the long run. It also finds that demand shocks are dominant in determining fluctuations in Australian output at a one-quarter horizon, but supply shocks assume the larger role at longer ...
Economic Review

Working Paper
Forecasts of inflation for VAR models
Webb, Roy H. (1994)
Why are forecasts of inflation from VAR models so much worse then their forecasts of real variables? This paper documents that relatively poor performance, and finds that the price equation of a VAR model fitted to U.S. postwar data is poorly specified. Statistical work by other authors has found that coefficients in such price equations may not be constant. Based on specific monetary actions, two changes in monetary policy regimes are proposed. Accounting for those two shifts yields significantly more accurate forecasts and lessens the evidence of misspecification.
Working Paper , Paper 94-08

Journal Article
Intervention, sterilization, and monetary control in Korea and Taiwan
Moreno, Ramon (1996)
This paper uses a four-variable vector autoregression model to explore how monetary authorities responded to shocks in Korea and Taiwan over the period 1981.1-1994.12. The analysis reveals that sterilization is an important element of the response to shocks to foreign assets in both economies. In particular, monetary authorities do not appear to be prepared to accept fluctuations in the exchange rate and the money supply that may result from changes in foreign assets, but more readily accept fluctuations in these variables that result from domestic credit shocks. There are also differences ...
Economic Review

show more (3)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords