A Structured VAR for Denmark under Changing Monetary Regimes

Journal of Business and Economic Statistics (Impact Factor: 2.24). 10/1998; 16(4):400-411. DOI: 10.1080/07350015.1998.10524780
Source: RePEc


Using recently developed statistical tools for analyzing cointegrated I(2) data, this article models money, income, prices, and interest rates in Denmark. The final model describes the dynamic adjustment to short-run changes of the process, to deviations from long-run steady states, and to several political interventions. It provides new insights about the effects of the liberalization of trade and capital in a small open European economy.

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    • "Empirically, the I(2) model with piecewise linear trends appears to be highly relevant. Many OECD countries have experienced pronounced shifts in inflation rates since the 1960'ties, leading to smooth changes in the trend slopes of nominal variables, and time series for nominal variables over the post-World War II period seems to be well described as autoregressive processes integrated of order two, I(2), see inter alia Juselius (1998; 1999), "
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    ABSTRACT: This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with a linear trend in Nielsen and Rahbek (2007) and for I(1) models with piecewise linear trends in Johansen, Mosconi, and Nielsen (2000). The provided asymptotic theory extends also the results in Johansen, Juselius, Frydman, and Goldberg (2009) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical analysis of US consumption, income and wealth, 1965 - 2008, is performed, emphasizing the importance of a change in nominal price trends after 1980.
    SSRN Electronic Journal 07/2009; DOI:10.2139/ssrn.1438033
    • "The second step involves jointly considering the full identification of the two relationships. Juselius (1998) points out that this approach maximizes the chance of finding a correct full identification of long-run relations. "
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    ABSTRACT: This paper aims to analyse the impact of changes in the monetary policy and the exchange rate on agricultural supply, prices and exports. The methodology used is based on the multivariate cointegration approach. Ten variables are considered: interest and exchange rates, money supply, inflation, agricultural output and input prices, agricultural supply and exports, income and the rate of commercial openness. Sample period covers annual data from 1967 to 2002. Due to the short-sample period, two subsystems are considered. First, long-run relationships are identified in each subsystem. Second, both subsystems are merged in order to calculate the short-run dynamics. Results indicate that changes in macroeconomic variables have an effect on the agricultural sector but the reverse effect does not hold.
    Applied Economics 02/2005; DOI:10.1080/00036840701604420 · 0.46 Impact Factor
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    • "The data vector of this study is very similar to that used in a number of other studies, namely Juselius (1998, 2001); Juselius and Toro (1999); Beyer (1998). It consists of quarterly data on national income, money, a short term interest rate, a long term interest rate and the quarterly inflation rate. "
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    ABSTRACT: In this paper we discuss money demand in the Netherlands over the period 1979-1999. The model it with a VAR integrated of order two and use full maximumlikelihood for inference of testing. We find a stable money demand function over the period considered. It depends on the short term interest rate available to private investors, not the rate in the money market.
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