Identifying the Temporal Dynamics and Macroeconomic Interactions of the US Economy

Omar Barroso Khodr, Mathias Schneid Tessmann, Humberto Nunes Alencar and Alex Cerqueira Pinto

International Journal of Economics and Finance, 2024, vol. 16, issue 8, 1

Abstract: This paper employs the VAR model to analyze interrelations among key macroeconomic variables, emphasizing unemployment, inflation, and the Fed Funds rate. The model reveals asymmetry in the unemployment-Fed Funds rate relationship, emphasizing the unique influence of unemployment. Lagged values contribute to understanding temporal dependencies, highlighting positive associations between lagged and current inflation. Impulse response analysis and the covariance matrix validate the IS-LM model and Stock and Watson’s (2001) findings. Forecasts anticipate increased unemployment and a slight Fed Funds rate decrease, though accuracy tests reveal reliability issues, especially for the Fed Funds rate. ADF tests support stationarity for inflation and unemployment showing a weak indication against the unit root hypothesis for the Fed Funds rate. Lastly, SARIMA, ARIMA, and DM tests suggest performance differences, pointing to avenues for future research to enhance precision, address reliability issues, and explore variations between SARIMA and VAR models, potentially in a cross-country comparative context.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ccsenet.org/journal/index.php/ijef/article/download/0/0/50388/54567 (application/pdf)
https://ccsenet.org/journal/index.php/ijef/article/view/0/50388 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:16:y:2024:i:8:p:1

Access Statistics for this article

More articles in International Journal of Economics and Finance from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().