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Models and Relations in Economics and Econometrics

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  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

Based on a money market analysis the paper discusses possible pitfalls in acroeconomic inference related to inadequate stochastic model formulation. A number of questions related to concepts such as empirical and theoretical steady-states, speed of adjustment, feed-back and interaction effects, and driving forces are addressed within the framework of the cointegrated VAR model. The economic notion of anticipated and unanticipated shocks to a system is discussed from an econometric point of view.

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File URL: http://www.econ.ku.dk/english/research/publications/wp/1999/9913.pdf/
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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 99-13.

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Length: 32 pages
Date of creation: Apr 1999
Date of revision:
Handle: RePEc:kud:kuiedp:9913

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Keywords: I(2); price homogeneity; money market; cointegrated VAR;

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Cited by:
  1. Schreiber, Sven & Wolters, Jurgen, 2007. "The long-run Phillips curve revisited: Is the NAIRU framework data-consistent?," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 355-367, June.
  2. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
  3. Christer Ljungwall, 2006. "Export-led Growth: Application to China's Provinces, 1978-2001," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 109-126.
  4. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: theory, implications, and evidence," Textos para Discussão Cedeplar-UFMG td228, Cedeplar, Universidade Federal de Minas Gerais.
  5. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais.
  6. Everaert, Gerdie, 2003. "Balanced growth and public capital: an empirical analysis with I(2) trends in capital stock data," Economic Modelling, Elsevier, vol. 20(4), pages 741-763, July.
  7. Pitruzzello, Salvatore, 2004. "Trade Globalization, Economic Performance, and Social Protection: Nineteenth-Century British Laissez-Faire and Post World War II U.S.-Embedded Liberalism," International Organization, Cambridge University Press, vol. 58(04), pages 705-744, October.
  8. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
  9. Peter Rowland & Hugo Oliveros, 2003. "Colombian Purchasing Power Parity Analysed Using A Framework of Multivariate Cointegration," BORRADORES DE ECONOMIA 002150, BANCO DE LA REPÚBLICA.
  10. Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
  11. Uwe Hassler & Jürgen Wolters, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 119-129, June.
  12. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  13. Iootty, Mariana & Pinto Jr., Helder & Ebeling, Francisco, 2009. "Automotive fuel consumption in Brazil: Applying static and dynamic systems of demand equations," Energy Policy, Elsevier, vol. 37(12), pages 5326-5333, December.
  14. Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.

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