Empirical Analysis: General Remarks

Marcel Wiedmann ()
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Marcel Wiedmann: McKinsey and Company

Chapter Chapter 5 in Money, Stock Prices and Central Banks, 2011, pp 55-73 from Springer

Abstract: Abstract Since cointegration between non-stationary data series represents the statistical expression of the economic notion of a long-run economic relation, the objectives of this contribution are analyzed by applying the parametric approach of the CVAR model. The classification of the data generating process into stationary and non-stationary parts enables the distinction between long-run equilibria and short-run dynamic adjustment. In addition, common trends that push the variables and determine the long-run impact of shocks to the variables can be identified.

Keywords: Interest Rate; Stock Market; Central Bank; Stock Prex; Real Interest Rate (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-7908-2647-0_5

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DOI: 10.1007/978-3-7908-2647-0_5

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