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Long-run identifying restrictions for an error-correction model of New Zealand money, prices and output

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  • Fisher, Lance A.
  • Fackler, Paul L.
  • Orden, David

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  • Fisher, Lance A. & Fackler, Paul L. & Orden, David, 1995. "Long-run identifying restrictions for an error-correction model of New Zealand money, prices and output," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 127-147, February.
    • Handle: RePEc:eee:jimfin:v:14:y:1995:i:1:p:127-147
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    1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
    2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    3. 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.
    4. Orden, David & Fisher, Lance A, 1993. "Financial Deregulation and the Dynamics of Money, Prices, and Output in New Zealand and Australia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 273-292, May.
    5. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    6. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    7. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    9. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-1164, December.
    10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    11. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    12. David Orden & Paul L. Fackler, 1989. "Identifying Monetary Impacts on Agricultural Prices in VAR Models," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 495-502.
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    Cited by:

    1. Kosaka Michiru Sakane, 2013. "News-driven international business cycles," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 751-793, May.
    2. Fung, Ben Siu-cheong & Kasumovich, Marcel, 1998. "Monetary shocks in the G-6 countries: Is there a puzzle?," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 575-592, October.
    3. Bamba, Ibrahim & Reed, Michael R., 2004. "Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using Structural Vector Error Correction Model," 2004 Annual meeting, August 1-4, Denver, CO 20056, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Yang, Minxian, 1998. "On identifying permanent and transitory shocks in VAR models," Economics Letters, Elsevier, vol. 58(2), pages 171-175, February.
    5. Fisher, Lance A. & Huh, Hyeon-Seung & Summers, Peter M., 2000. "Structural Identification of Permanent Shocks in VEC Models: A Generalization," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 53-68, January.
    6. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 18, European Central Bank.
    7. Brüggemann, Ralf, 2006. "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers 2006-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Robert Buckle & Kunhong Kim & Julie Tam, 2002. "A structural var approach to estimating budget balance targets," New Zealand Economic Papers, Taylor & Francis Journals, vol. 36(2), pages 149-175.
    9. Jang, Kyungho & Ogaki, Masao, 2004. "The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 99-114, March.
    10. Daniel, Betty C., 1997. "International interdependence of national growth rates: A structural trends anakysis," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 73-96, September.
    11. William Bryant & Roselyne Joyeux, 2010. "Interest linkages between the US, UK and German interest rates: should the UK join the European Monetary Union?," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(6), pages 633-647.
    12. repec:hum:wpaper:sfb649dp2006-021 is not listed on IDEAS
    13. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4(3), pages 307-339, August.
    14. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics.
    15. Kyungho Jang, 2008. "A Structural Vector Error Correction Model with Short-run and Long-run Restrictions," Korean Economic Review, Korean Economic Association, vol. 24, pages 199-232.
    16. Fisher, Lance A. & Huh, Hyeon-seung, 1999. "Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models," Economics Letters, Elsevier, vol. 63(2), pages 159-165, May.
    17. Matteo Iacoviello, 2002. "House Prices and Business Cycles in Europe: a VAR Analysis," Boston College Working Papers in Economics 540, Boston College Department of Economics.
    18. Jang, Kyungho & Ogaki, Masao, 2003. "The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 1-34, February.
    19. repec:bla:germec:v:4:y:2003:i::p:307-339 is not listed on IDEAS
    20. Fisher, Lance A. & Huh, Hyeon-seung & Tallman, Ellis W., 2003. "Permanent income and transitory variation in investment and output," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 149-168, June.
    21. Marcel Kasumovich, 1996. "Interpreting Money-Spply and Interest-Rate Sgocks as Monetary-Policy Shocks," Staff Working Papers 96-8, Bank of Canada.
    22. William D. Lastrapes & W. Douglas McMillin, 2004. "Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets," Economic Journal, Royal Economic Society, vol. 114(498), pages 890-915, October.
    23. repec:bla:ecorec:v:72:y:1996:i:219:p:345-58 is not listed on IDEAS
    24. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.
    25. Lance A. Fisher, 1996. "Sources of Exchange Rate and Price Level Fluctuations in Two Commodity Exporting Countries: Australia and New Zealand," The Economic Record, The Economic Society of Australia, vol. 72(219), pages 345-358, December.

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