Since Quenouille’s influential work on multiple time series, much progress has been made towards the goal of parameter reduction and model fit. Relatively less attention has been paid to the systematic evaluation of out-of-sample forecast performance of multivariate time series models. In this paper, we update the hog data set studied by Quenouille (and other researchers who followed him). We r...

This paper considers the implications of the permanent/transitory decomposition of shocks for identi…cation of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the in‡uential work of Blanchard and Quah (1989), and shows that structural equations for which there are known permanent s...

Using the consumer theory approach as suggested by Habibullah (2009), this study aims to shed new light on monetary authority by incorporating advertising expenditure, a variable that has been neglected in the past, into study of the money demand function in Indonesia. In addition, different measurements of monetary aggregates (simple-sum and Divisia money) have been used in the estimation to p...

Using a vector error-correction model, I explore the short-run dynamics and long-run linkages between financial reform and the mobilization of domestic saving in Morocco. In the short run, financial depth (volume of intermediation) is shown to have a positive influence on private saving, while increases in real interest rates have a negative impact. The effectiveness of financial intermediation...

Monetary policy-makers face a difficult task when evaluating the current state of the economy and deciding what actions are needed to achieve their objectives, such as keeping inflation within a given range. Because long and variable lags exist between a monetary policy action and its effects on economic variables, policy-makers need a way to assess whether their actions are having, or indeed w...

This paper investigates market integration and asymmetric price transmission in the world rice export markets. Using monthly rice prices from Thailand, Vietnam, and United States, we employ the Johansen test and estimate the threshold vector error correction model (TVECM). Our main findings are that export prices in the three countries are cointegrated, with Thailand and the United States the p...

In pursuit to sketch the Pakistan USA Exchange Rate patterns for the duration of 1991M3 to 2010M5 using the CHEERS model, the role of Goods Market and Financial Market is implied through the Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) respectively. The results using Vector Error Correction Model (VECM) revealed that both Parities work in combination with near unity elastic...