أعرض تسجيلة المادة بشكل مبسط

dc.creator Pesaran, Mohammad Hashem
dc.creator Holly, Sean
dc.creator Dees, Stephane
dc.creator Smith, L. Vanessa
dc.date 2007
dc.date.accessioned 2013-10-16T06:57:28Z
dc.date.available 2013-10-16T06:57:28Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17930
dc.identifier ppn:558066933
dc.identifier RePEc:zbw:ifwedp:5521
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17930
dc.description This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector autoregressive (GVAR) model developed in Dees, di Mauro, Pesaran and Smith (2007) to test for long run restrictions in each country/region conditioning on the rest of the world. Bootstrapping is used to compute both the empirical distribution of the impulse responses and the log-likelihood ratio statistic for over-identifying restrictions. The paper also examines the speed with which adjustments to the long run relations take place via the persistence profiles. We find strong evidence in favour of the uncovered interest parity and to a lesser extent the Fisher equation across a number of countries, but our results for the PPP are much weaker. Also as to be expected, the transmission of shocks and subsequent adjustments in financial markets are much faster than those in goods markets.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Economics Discussion Papers / Institut für Weltwirtschaft 2007-7
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject C32
dc.subject E17
dc.subject F47
dc.subject R11
dc.subject ddc:330
dc.subject Global VAR
dc.subject interdependencies
dc.subject Fisher relationship
dc.subject Uncovered Interest Rate Parity
dc.subject Purchasing Power Parity
dc.subject persistence profile
dc.title Long Run Macroeconomic Relations in the Global Economy
dc.type doc-type:workingPaper


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