Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/17930 
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dc.contributor.authorPesaran, Mohammad Hashemen
dc.contributor.authorHolly, Seanen
dc.contributor.authorDees, Stephaneen
dc.contributor.authorSmith, L. Vanessaen
dc.date.accessioned2009-01-28T15:05:01Z-
dc.date.available2009-01-28T15:05:01Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/17930-
dc.description.abstractThis paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector autoregressive (GVAR) model developed in Dees, di Mauro, Pesaran and Smith (2007) 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. We find strong evidence in favour of the uncovered interest parity and to a lesser extent the Fisher equation across a number of countries, but our results for the PPP are much weaker. Also as to be expected, the transmission of shocks and subsequent adjustments in financial markets are much faster than those in goods markets.en
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2007-7en
dc.subject.jelC32en
dc.subject.jelE17en
dc.subject.jelF47en
dc.subject.jelR11en
dc.subject.ddc330en
dc.subject.keywordGlobal VARen
dc.subject.keywordinterdependenciesen
dc.subject.keywordFisher relationshipen
dc.subject.keywordUncovered Interest Rate Parityen
dc.subject.keywordPurchasing Power Parityen
dc.subject.keywordpersistence profileen
dc.titleLong Run Macroeconomic Relations in the Global Economy-
dc.typeWorking Paperen
dc.identifier.ppn558066933en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:5521en

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