A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on ...
This paper employs a threshold vector autoregressive (TVAR) model to analyze a possible asymmetric behavior of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between ...
Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...
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