文章基本信息

标题：Long run macroeconomic relations in the global economy
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作者：Stéphane Dées ; Sean Holly ; Hashem Pesaran 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2007
卷号：1
出版社：European Central Bank
摘要：This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates suggested by arbitrage in nancial 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 proles. We nd strong evidence in favour of the UIP and to a lesser extent the Fisher equation across a number of countries, but our results for the PPP are much weaker. Also the transmission of shocks and subsequent adjustments in nancial markets are much faster than those in goods markets.
关键词：Global VAR; Fisher relationship; Uncovered Interest Rate Parity;Purchasing Power Parity; persistence prole