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dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.contributor.authorHolly, Seanen_US
dc.contributor.authorDees, Stephaneen_US
dc.contributor.authorSmith, L. Vanessaen_US
dc.date.accessioned2009-01-28T15:06:02Z-
dc.date.available2009-01-28T15:06:02Z-
dc.date.issued2007en_US
dc.identifier.citationEconomics: The Open-Access, Open-Assessment E-Journal 1 2007-3 1-20 doi:10.5018/economics-ejournal.ja.2007-3-
dc.identifier.pidoi:10.5018/economics-ejournal.ja.2007-3-
dc.identifier.urihttp://hdl.handle.net/10419/18001-
dc.description.abstractThis paper presents tests of long run macroeconomic relations involving interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model 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. It finds strong evidence in favour of a long run version of uncovered interest parity and to a lesser extent the Fisher equation across a number of countries, but the test results for the purchasing power parity relation are much weaker. Also the transmission of shocks and subsequent adjustments in financial markets are much faster than those in goods markets.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofserieseconomics - The Open-Access, Open-Assessment E-Journal 2007-3en_US
dc.subject.jelE17en_US
dc.subject.jelF47en_US
dc.subject.jelR11en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordGlobal VARen_US
dc.subject.keywordFisher relationshipen_US
dc.subject.keywordUncovered Interest Rate Parityen_US
dc.subject.keywordPurchasing Power Parityen_US
dc.subject.keywordpersistence profileen_US
dc.titleLong Run Macroeconomic Relations in the Global Economyen_US
dc.typeArticleen_US
dc.identifier.ppn530578484en_US
dc.identifier.urlhttp://www.economics-ejournal.org/economics/journalarticles/2007-3-
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.en-
dc.identifier.repecRePEc:zbw:ifweej:5582-
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

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