This paper estimates open-economy macroeconomic models of the Chinese economy allowing for structural change caused by 1992 reforms. Unrestricted vector autoregressions, VARs, and cointegrating error correction models, VECMs, are estimated on quarterly data early reform period 1980–1992, late period, 1993–2018. Two long-run vectors identified, which can be interpreted as a long-run, money deman...

Systems of forward-looking linear decision rules can be formulated as vector \rational" error correction models. The closed-form solution of the restricted error corrections is derived, and a full-information estimator is suggested. The error correction format indicates that the assumptions of convex adjustment costs and rational expectations impose di erent types of a priori restrictions on th...

This paper examines empirically the tourism impact on the long-run economic growth of Greece by using the causality analysis among real gross domestic product, real effective exchange rate and international tourism earnings. A multivariate autoregressive VAR model is applied for the examined period 1960:Ι – 2000:IV. The results of cointegration analysis suggested that there is one cointegrated ...

This paper analyzes the transmission mechanisms of a contractionary monetary policy shock on the real economy. The sufficiently long regime uniform time period since the political transformation in the Czech Republic provides evidence for effective inflation targeting by the Czech National Bank. I apply a recursive vector autoregression (VAR), a structural VAR, and structural vector error corre...

We examine the statistical power of fundamental and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that sentiment can explain and predict changes...

We examine the explanatory and predictive power of fundamental macroeconomic and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that Reuters sent...