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dc.contributor.authorPesaran, Mohammad Hashemen
dc.contributor.authorHolly, Seanen
dc.contributor.authorDees, Stephaneen
dc.contributor.authorSmith, L. Vanessaen
dc.date.accessioned2009-01-28T15:06:02Z-
dc.date.available2009-01-28T15:06:02Z-
dc.date.issued2007-
dc.identifier.citation|aEconomics: The Open-Access, Open-Assessment E-Journal|c1864-6042|v1|h2007-3|nKiel Institute for the World Economy (IfW)|lKiel|y2007|p1-20en
dc.identifier.pidoi:10.5018/economics-ejournal.ja.2007-3en
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.subject.jelE17en
dc.subject.jelF47en
dc.subject.jelR11en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordGlobal VARen
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.typeArticleen
dc.identifier.ppn530578484en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifweej:5582en
econstor.citation.journaltitleEconomics: The Open-Access, Open-Assessment E-Journalen
econstor.citation.issn1864-6042en
econstor.citation.volume1en
econstor.citation.issue2007-3en
econstor.citation.publisherKiel Institute for the World Economy (IfW)en
econstor.citation.publisherplaceKielen
econstor.citation.year2007en
econstor.citation.startpage1en
econstor.citation.endpage20en

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