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带长期约束的脉冲响应函数的渐近分布AI 解读

This paper adopts a two-step technique to estimate structural vector error correction models and provides the asymptotic distribution of the impulse response functions of such a system. The method combines two popular tools in econometrics, namely, vector autoregressive cointegration analysis in the first step and structural vector autoregression analysis in the second. The proposed structural model structure is very general in the sense that all just-identifying or…

欧洲货币体系周度汇率的信息：均值回归、条件异方差与跳跃AI 解读

Weekly rates of the European Monetary System (EMS) vis-a-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)-GARCH (1, 1)-jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erratic movements. Using an…