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: |
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.:
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- 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.).
- 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," FRB Atlanta Working Paper No. 2003-21, Federal Reserve Bank of Atlanta.
- Orphanides, Athanasios & Williams, John C, 2005. "Inflation Scares and Forecast-Based Monetary Policy," CEPR Discussion Papers 4844, C.E.P.R. Discussion Papers.
- Söderström, Ulf, 2000.
"Monetary policy with uncertain parameters,"
Working Paper Series
0013, European Central Bank.
- Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," Working Paper Series 83, Sveriges Riksbank (Central Bank of Sweden).
- Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," SSE/EFI Working Paper Series in Economics and Finance 308, Stockholm School of Economics.
- Debby Lanser & Henk Kranendonk, 2008. "Investigating uncertainty in macroeconomic forecasts by stochastic simulation," CPB Discussion Paper 112, CPB Netherlands Bureau for Economic Policy Analysis.
- 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.
- 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.
- Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Society for Computational Economics, vol. 21(3), pages 245-256, June.
- 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.
- 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.
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 references are entirely missing, you can add them using this form.