| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1743 |
| DP1743 Measuring Monetary Policy with VAR Models: An Evaluation | |
| Carlo A. Favero; Fabio-Cesare Bagliano | |
| 发表日期 | 1997-11-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we applied in this paper is in emphasizing the information content of the data in distinguishing between the competing processes. Stationary and non-stationary ARIMA processes are fitted to the US/UK real exchange rate series covering 134 years. Artificial data following these two processes are generated, and the small sample distributions of the chosen test statistics (including the most powerful point optimal tests with both the unit root and the stationarity as a null) are computed under each of the two hypotheses. The values of the actual sample statistics are shown to be more likely to come from the stationary process than from the non-stationary one. |
| 主题 | International Macroeconomics |
| 关键词 | Purchasing power parity Real exchange rate Unit root |
| URL | https://cepr.org/publications/dp1743 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530885 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Fabio-Cesare Bagliano. DP1743 Measuring Monetary Policy with VAR Models: An Evaluation. 1997. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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