 | Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs Author/Editor: Pär Österholm, Helge Berger. Release Date:March, 2008 We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth Granger-causes inflation in the euro area. Based on data from 1970 to 2006 and forecasting more...
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| Imperfect Central Bank Communication - Information versus Distraction Author/Editor: Athanasios Orphanides, Spencer Dale, Pär Österholm. Release Date:March, 2008 Much of the information communicated by central banks is noisy or imperfect. This paper considers the potential benefits and limitations of central bank communications in a model of imperfect more...
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| Does Money Matter for U.S. Inflation? Evidence from Bayesian VARs Author/Editor: Pär Österholm, Helge Berger. Release Date:March, 2008 We use Bayesian estimation techniques to investigate whether money growth Granger-causes inflation in the United States. We test for Granger-causality out-of-sample and find, perhaps surprisingly more...
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| External Linkages and Economic Growth in Colombia : Insights from A Bayesian VAR Model Author/Editor: Pär Österholm, Lisandro Abrego. Release Date:February, 2008 This paper investigates the sensitivity of Colombian GDP growth to the surroundingmacroeconomic environment. We estimate a Bayesian VAR model with informative steady-statepriors for the Colombian more...
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| Testing for Purchasing Power Parity in Cointegrated Panels Author/Editor: Johan Lyhagen, Pär Österholm, Mikael Carlsson. Release Date:December, 2007 This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several more...
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| The Effect of External Conditions on Growth in Latin America Author/Editor: Jeronimo Zettelmeyer, Pär Österholm. Release Date:July, 2007 This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian VAR model with informative steady-state priors. The model is estimated on quarterly data more...
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| Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated Author/Editor: Pär Österholm, Erik Hjalmarsson. Release Date:June, 2007 We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo more...
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