The Assessment Of Parameter Uncertainty In A Vector Error Correction Model For Romania
The assessment of uncertainty that characterizes the econometric model parameters is an important input for policymakers that have to establish more alternative policies to protect against persistent shocks of the economy. The objective of this useful research for policymakers is to evaluate the parameter uncertainty in the behavioural equations of a vector error correction model for Romania. A positive impact of the foreign direct investment and exports on GDP real rate was measured on the horizon Q1:2000-Q4:2012. A permanent shock was observed in parameters. The error correction vector explains quarterly around 10.6% of the desequilibrium. The necessary period for reducing the gap between the value of GDP in the last quarter of 2012 and that in the steady-state is 14 quarters, till the second quarter of 2016.
Volume (Year): 37 (2013(XXIII))
Issue (Month): 2(46) (December)
|Contact details of provider:|| Postal: Casa Academiei, Calea 13 Septembrie nr.13, sector 5, Bucureşti 761172|
Phone: 004 021 318.24.67
Fax: 004 021 318.24.67
Web page: http://www.ien.ro/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Athanasios Orphanides & John C. Williams, 2005.
"Inflation scares and forecast-based monetary policy,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 498-527, April.
- Athanasios Orphanides & John C. Williams, 2003. "Inflation scares and forecast-based monetary policy," Working Paper Series 2003-11, Federal Reserve Bank of San Francisco.
- Athanasios Orphanides & John C. Williams, 2003. "Inflation scares and forecast-based monetary policy," Finance and Economics Discussion Series 2003-41, Board of Governors of the Federal Reserve System (U.S.).
- Orphanides, Athanasios & Williams, John C, 2005. "Inflation Scares and Forecast-Based Monetary Policy," CEPR Discussion Papers 4844, C.E.P.R. Discussion Papers.
- Athanasios Orphanides & John C. Williams, 2003. "Inflation scares and forecast-based monetary policy," FRB Atlanta Working Paper 2003-21, Federal Reserve Bank of Atlanta.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 245-256, June.
- Ray Fair, 2001. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Yale School of Management Working Papers ysm202, Yale School of Management, revised 24 Sep 2001.
- Matteo Ciccarelli & Kirstin Hubrich, 2010. "Forecast uncertainty: sources, measurement and evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 509-513.
- Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
- Soderstrom, Ulf, 2002. " Monetary Policy with Uncertain Parameters," Scandinavian Journal of Economics, Wiley Blackwell, vol. 104(1), pages 125-145.
- Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," SSE/EFI Working Paper Series in Economics and Finance 308, Stockholm School of Economics.
- Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," Working Paper Series 83, Sveriges Riksbank (Central Bank of Sweden).
- Söderström, Ulf, 2000. "Monetary policy with uncertain parameters," Working Paper Series 0013, European Central Bank.
- Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May.
- Glenn D. Rudebusch, 1999. "Is the Fed too timid? Monetary policy in an uncertain world," Working Papers in Applied Economic Theory 99-05, Federal Reserve Bank of San Francisco.
When requesting a correction, please mention this item's handle: RePEc:ine:journl:v:2:y:2013:i:44:p:124-134. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valentina Vasile)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.