VEC MODEL OF DEVELOPING COUNTRY INFLATIONARY DYNAMICS a€“ AN EMPIRICAL STUDY a€“ THE CASE OF ROMANIA
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996.
"The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the flow of funds," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
- Bernanke, Ben S. & Mihov, Ilian, 1998.
"The liquidity effect and long-run neutrality,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 149-194, December.
- Ben S. Bernanke & Ilian Mihov, 1998. "The Liquidity Effect and Long-Run Neutrality," NBER Working Papers 6608, National Bureau of Economic Research, Inc.
- Hafer, R W & Hein, Scott E, 1985.
"On the Accuracy of Time-Series, Interest Rate, and Survey Forecasts of Inflation,"
The Journal of Business, University of Chicago Press, vol. 58(4), pages 377-398, October.
- Rik Hafer & Scott E. Hein, 1984. "On the accuracy of time series, interest rate and survey forecasts of inflation," Working Papers 1984-022, Federal Reserve Bank of St. Louis.
- Pesaran, M. Hashem & Smith, Ron, 1995.
"Estimating long-run relationships from dynamic heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- Hafer, R W & Hein, Scott E, 1990.
"Forecasting Inflation Using Interest-Rate and Time-Series Models: Some International Evidence,"
The Journal of Business, University of Chicago Press, vol. 63(1), pages 1-17, January.
- Rik Hafer & Scott E. Hein, 1988. "Forecasting inflation using interest rate and time-series models: some international evidence," Working Papers 1988-001, Federal Reserve Bank of St. Louis.
- Gordon, David B & Leeper, Eric M, 1994.
"The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification,"
Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
- David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 92-13, Federal Reserve Bank of Atlanta.
- David B. Gordon & Eric M. Leeper, 1993. "The dynamic impacts of monetary policy: an exercise in tentative identification," FRB Atlanta Working Paper 93-5, Federal Reserve Bank of Atlanta.
- Hanson, James A., 1985. "Inflation and imported input prices in some inflationary Latin American economies," Journal of Development Economics, Elsevier, vol. 18(2-3), pages 395-410, August.
- Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
- Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 243, European Central Bank.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Bomberger, W A & Makinen, G E, 1979. "Some Further Tests of the Harberger Inflation Model Using Qtrly Data," Economic Development and Cultural Change, University of Chicago Press, vol. 27(4), pages 629-644, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Tor Jacobson & Per Jansson & Anders Vredin & Anders Warne, 2001. "Monetary policy analysis and inflation targeting in a small open economy: a VAR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 487-520.
- Leeper, Eric M. & Zha, Tao, 2003.
"Modest policy interventions,"
Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
- Eric M. Leeper & Tao Zha, 1999. "Modest policy interventions," FRB Atlanta Working Paper 99-22, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 2003. "Modest policy interventions," FRB Atlanta Working Paper 2003-24, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 2002. "Modest Policy Interventions," NBER Working Papers 9192, National Bureau of Economic Research, Inc.
- Eric M. Leeper & Tao Zha, 2002. "Modest policy interventions," FRB Atlanta Working Paper 2002-19, Federal Reserve Bank of Atlanta.
- Eric M. Leeper & Tao Zha, 2002.
"Empirical analysis of policy interventions,"
Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Eric M. Leeper & Tao Zha, 2002. "Empirical Analysis of Policy Interventions," NBER Working Papers 9063, National Bureau of Economic Research, Inc.
- Bagliano, Fabio C. & Favero, Carlo A., 1998.
"Measuring monetary policy with VAR models: An evaluation,"
European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June.
- Fabio C. Bagliano & Carlo A. Favero, "undated". "Measuring Monetary Policy with VAR Models: an Evaluation," Working Papers 132, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bagliano, Fabio-Cesare & Favero, Carlo A., 1997. "Measuring Monetary Policy with VAR Models: An Evaluation," CEPR Discussion Papers 1743, C.E.P.R. Discussion Papers.
- Canova, Fabio & Nicolo, Gianni De, 2002.
"Monetary disturbances matter for business fluctuations in the G-7,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
- Fabio Canova & Gianni De Nicolo, 2000. "Monetary disturbances matter for business fluctuations in the G-7," International Finance Discussion Papers 660, Board of Governors of the Federal Reserve System (U.S.).
- Goto, Shingo, 2000. "The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think," University of California at Los Angeles, Anderson Graduate School of Management qt04f1z5hb, Anderson Graduate School of Management, UCLA.
- Vitek, Francis, 2006. "Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper 802, University Library of Munich, Germany.
- Nakashima, Kiyotaka, 2006.
"The Bank of Japan's operating procedures and the identification of monetary policy shocks: A reexamination using the Bernanke-Mihov approach,"
Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 406-433, September.
- Nakashima, Kiyotaka, 2005. "The Bank of Japan's Operating Procedures and the Identification of Monetary Policy Shocks: A Reexamination using the Bernanke-Mihov Approach," MPRA Paper 70687, University Library of Munich, Germany.
- Canova, Fabio & de Nicolo, Gianni, 2003.
"On the sources of business cycles in the G-7,"
Journal of International Economics, Elsevier, vol. 59(1), pages 77-100, January.
- Fabio Canova & Gianni de Nicoló, 1999. "On the sources of business cycles in the G-7," Economics Working Papers 459, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2000.
- Jennifer E. Roush, 2001. "Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory," International Finance Discussion Papers 712, Board of Governors of the Federal Reserve System (U.S.).
- Mohamed Douch, 2010.
"The Macroeconomic Effects of Monetary Policy and Financial Crisis,"
Journal of Humanities and Social Sciences, Cankaya University, Economics and Administrative Sciences, vol. 1(7), pages 1-35, May.
- Douch, Mohamed, 2005. "The macroeconomic effects of monetary policy and financial crisis," MPRA Paper 1120, University Library of Munich, Germany.
- Evans, Charles L. & Marshall, David A., 1998.
"Monetary policy and the term structure of nominal interest rates: Evidence and theory,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 53-111, December.
- Charles L. Evans & David A. Marshall, 1997. "Monetary policy and the term structure of nominal interest rates: evidence and theory," Working Paper Series, Macroeconomic Issues WP-97-10, Federal Reserve Bank of Chicago.
- Kaabia, Olfa & Abid, Ilyes & Guesmi, Khaled, 2013.
"Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?,"
Economic Modelling, Elsevier, vol. 31(C), pages 423-432.
- Ilyes Abid & Khaled Guesmi & Olfa Kaabia, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis?," Post-Print hal-01410674, HAL.
- Ilyes Abid & Khaled Guesmi & Olfa Kaabia, 2013. "Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis?," Post-Print hal-01410575, HAL.
- Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris Nanterre, EconomiX.
- Keuk-Soo Kim & W. Douglas McMillin, 2003.
"Estimating the effects of monetary policy shocks: does lag structure matter?,"
Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1515-1526.
- W. Douglas McMillin & Keuk-soo Kim, 2002. "Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter?," Departmental Working Papers 2002-04, Department of Economics, Louisiana State University.
- Jhonatan Portilla & Gabriel Rodríguez & Paul Castillo B., 2022.
"Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model [Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú],"
CESifo Economic Studies, CESifo Group, vol. 68(1), pages 98-126.
- Jhonatan Portilla Goicochea & Gabriel Rodríguez, 2020. "Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model," Documentos de Trabajo / Working Papers 2020-485, Departamento de Economía - Pontificia Universidad Católica del Perú.
- John W. Keating & Logan J. Kelly & A. Lee Smith & Victor J. Valcarcel, 2019. "A Model of Monetary Policy Shocks for Financial Crises and Normal Conditions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(1), pages 227-259, February.
- White, Halbert & Pettenuzzo, Davide, 2014.
"Granger causality, exogeneity, cointegration, and economic policy analysis,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Business School.
- Tan, Anthony C.K. & Goh, Kim-Leng, 2009. "Financial Disintermediation in the 1990s : Implications on Monetary Policy in Malaysia," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 1-27, June.
- Jennes Barbara, 2001. "Ein alternativer Indikator der deutschen Geldpolitik. Untersuchung im Rahmen eines strukturellen VAR-Modells / An Improved Indicator of German Monetary Policy A Structural VAR Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(4), pages 371-393, August.
More about this item
Keywords
inflation forecasting; monetary policy; developing countries; Romania; VAR model;All these keywords.
JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ora:journl:v:2:y:2009:i:1:p:677-682. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catalin ZMOLE (email available below). General contact details of provider: https://edirc.repec.org/data/feoraro.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.