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 2013-10-16T06:57:53Z
dc.date.available 2013-10-16T06:57:53Z
dc.date.issued 2013-10-16
dc.identifier Economics: The Open-Access, Open-Assessment E-Journal 1 2007-3 1-20 doi:10.5018/economics-ejournal.ja.2007-3
dc.identifier doi:10.5018/economics-ejournal.ja.2007-3
dc.identifier http://hdl.handle.net/10419/18001
dc.identifier ppn:530578484
dc.identifier http://www.economics-ejournal.org/economics/journalarticles/2007-3
dc.identifier RePEc:zbw:ifweej:5582
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18001
dc.description This paper presents tests of long run macroeconomic relations involving interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model 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. It finds strong evidence in favour of a long run version of uncovered interest parity and to a lesser extent the Fisher equation across a number of countries, but the test results for the purchasing power parity relation are much weaker. Also 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 - The Open-Access, Open-Assessment E-Journal 2007-3
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject E17
dc.subject F47
dc.subject R11
dc.subject C32
dc.subject ddc:330
dc.subject Global VAR
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:article


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