VAR

Asymmetric Fiscal Policy Shocks

JEL codes: 
E62
Version Date: 
Nov 2012
Author/s: 
Abstract: 

We empirically test the effects of unanticipated fiscal policy shocks on the level and growth rate of real output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observations over the period 1967:1 to 2011:4. In doing so, we use six alternative vector autoregressive systems in order to construct the fiscal policy shocks.

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Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Version Date: 
Jan 2012
Author/s: 
Abstract: 

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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Forecasting Economic Aggregates by Disaggregates

JEL codes: 
C51, C53, E31
Version Date: 
Jan 2006
Author/s: 
Abstract: 

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate.

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Granger Causality of the Inflation-Growth Mirror in Accession Countries

JEL codes: 
C22, E31, O42
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate decrease.

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