메뉴 건너뛰기




Volumn 74, Issue 3, 2012, Pages 470-492

Local Linear Impulse Responses for a Small Open Economy

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84860429927     PISSN: 03059049     EISSN: 14680084     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2011.00643.x     Document Type: Article
Times cited : (21)

References (49)
  • 2
    • 84954239903 scopus 로고    scopus 로고
    • Multi-step forecasting
    • Clements M. P. and Hendry D. (eds), Blackwell, New York.
    • Bhansali, R. J. (2002). 'Multi-step forecasting', in Clements M. P. and Hendry D. (eds), A Companion to Economic Forecasting, Blackwell, New York. pp. 206-221.
    • (2002) A Companion to Economic Forecasting , pp. 206-221
    • Bhansali, R.J.1
  • 4
    • 34548506001 scopus 로고    scopus 로고
    • 'A structural VAR business cycle model for a volatile small open economy'
    • Buckle, R. A., Kim, K., Kirkham, H., McLellan, N. and Sharma, J. (2007). 'A structural VAR business cycle model for a volatile small open economy', Economic Modelling, Vol. 24, pp. 990-1017.
    • (2007) Economic Modelling , vol.24 , pp. 990-1017
    • Buckle, R.A.1    Kim, K.2    Kirkham, H.3    McLellan, N.4    Sharma, J.5
  • 5
    • 33750553357 scopus 로고    scopus 로고
    • 'Oil prices monetary policy and counterfactual experiments'
    • Carlstrom, C. T. and Fuerst, T. S. (2006). 'Oil prices monetary policy and counterfactual experiments', Journal of Money, Credit and Banking, Vol. 38, pp. 1945-1958.
    • (2006) Journal of Money, Credit and Banking , vol.38 , pp. 1945-1958
    • Carlstrom, C.T.1    Fuerst, T.S.2
  • 6
    • 56349121299 scopus 로고    scopus 로고
    • 'Are structural VARs with long-run restrictions useful in developing business cycle theory?'
    • Chari, V., Kehoe, P. J. and McGrattan, E. R. (2008). 'Are structural VARs with long-run restrictions useful in developing business cycle theory?' Journal of Monetary Economics, Vol. 55, pp. 1337-1352.
    • (2008) Journal of Monetary Economics , vol.55 , pp. 1337-1352
    • Chari, V.1    Kehoe, P.J.2    McGrattan, E.R.3
  • 7
    • 14844309293 scopus 로고    scopus 로고
    • 'Non-parametric direct multi-step estimation for forecasting economic processes'
    • Chevillon, G. and Hendry, D. F. (2005). 'Non-parametric direct multi-step estimation for forecasting economic processes', International Journal of Forecasting, Vol. 21, pp. 201-218.
    • (2005) International Journal of Forecasting , vol.21 , pp. 201-218
    • Chevillon, G.1    Hendry, D.F.2
  • 8
    • 34250807228 scopus 로고    scopus 로고
    • Assessing structural VARs
    • AcemogluD., Rogoff K. and Woodford M. (eds), National Bureau of Economic Research, MIT Press, Cambridge, Mass., USA
    • Christiano, L., Eichenbaum, M. and Vigfusson, R. (2007). 'Assessing structural VARs', in Acemoglu D., Rogoff K. and Woodford M. (eds), NBER Macroeconomics Annual, Vol. 21, National Bureau of Economic Research, MIT Press, Cambridge, Mass., USA, pp. 83-137.
    • (2007) NBER Macroeconomics Annual , vol.21 , pp. 83-137
    • Christiano, L.1    Eichenbaum, M.2    Vigfusson, R.3
  • 10
    • 0001851285 scopus 로고    scopus 로고
    • 'Business cycle analysis without much theory: a look at structural VARs'
    • Cooley, T. F. and Dwyer, M. (1998). 'Business cycle analysis without much theory: a look at structural VARs', Journal of Econometrics, Vol. 83, pp. 57-88.
    • (1998) Journal of Econometrics , vol.83 , pp. 57-88
    • Cooley, T.F.1    Dwyer, M.2
  • 11
    • 0031206539 scopus 로고    scopus 로고
    • 'Identifying monetary policy in a small open economy under flexible exchange rates'
    • Cushman, D. O. and Zha, T. (1997). 'Identifying monetary policy in a small open economy under flexible exchange rates', Journal of Monetary Economics, Vol. 39, pp. 433-448.
    • (1997) Journal of Monetary Economics , vol.39 , pp. 433-448
    • Cushman, D.O.1    Zha, T.2
  • 13
    • 69849092871 scopus 로고    scopus 로고
    • 'The identification of fiscal and monetary policy in a structural VAR'
    • Dungey, M. and Fry, R. (2009). 'The identification of fiscal and monetary policy in a structural VAR', Economic Modelling, Vol. 26, pp. 1147-1160.
    • (2009) Economic Modelling , vol.26 , pp. 1147-1160
    • Dungey, M.1    Fry, R.2
  • 14
    • 0034471422 scopus 로고    scopus 로고
    • 'A Structural VAR model of the Australian economy'
    • Dungey, M. and Pagan, A. (2000). 'A Structural VAR model of the Australian economy', Economic Record, Vol. 76, pp. 321-342.
    • (2000) Economic Record , vol.76 , pp. 321-342
    • Dungey, M.1    Pagan, A.2
  • 15
    • 22144493780 scopus 로고    scopus 로고
    • 'Monetary policy and exchange rate volatility in a small open economy'
    • Galí, J. and Monacelli, T. (2005). 'Monetary policy and exchange rate volatility in a small open economy', Review of Economic Studies, Vol. 72, pp. 707-734.
    • (2005) Review of Economic Studies , vol.72 , pp. 707-734
    • Galí, J.1    Monacelli, T.2
  • 16
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ.
    • Hamilton, J. D. (1994). Time Series Analysis, Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 17
    • 2442569001 scopus 로고    scopus 로고
    • 'Oil shocks and aggregate macroeconomic behaviour: the role of monetary policy'
    • Hamilton, J. D. and Herrera, A. M. (2004). 'Oil shocks and aggregate macroeconomic behaviour: the role of monetary policy', Journal of Money Credit and Banking, Vol. 36, pp. 265-286.
    • (2004) Journal of Money Credit and Banking , vol.36 , pp. 265-286
    • Hamilton, J.D.1    Herrera, A.M.2
  • 18
    • 0010942106 scopus 로고
    • 'Formulating and estimating linear rational expectations models'
    • Hansen, L. P. and Sargent, T. J. (1980). 'Formulating and estimating linear rational expectations models', Journal of Economic Dynamics and Control, Vol. 2, pp. 7-46.
    • (1980) Journal of Economic Dynamics and Control , vol.2 , pp. 7-46
    • Hansen, L.P.1    Sargent, T.J.2
  • 19
    • 15344346877 scopus 로고    scopus 로고
    • 'Monetary policy transmission mechanisms and currency unions - a vector error-correction approach to a trans-Tasman currency union'
    • Haug, A. A., Karagedikli, O. and Ranchhod, S. (2005). 'Monetary policy transmission mechanisms and currency unions - a vector error-correction approach to a trans-Tasman currency union', Journal of Policy Modeling, Vol. 27, pp. 55-74.
    • (2005) Journal of Policy Modeling , vol.27 , pp. 55-74
    • Haug, A.A.1    Karagedikli, O.2    Ranchhod, S.3
  • 20
    • 33747871438 scopus 로고
    • 'Robustifying forecasts from equilibrium-correction systems'
    • Hendry, D. F. (1976). 'Robustifying forecasts from equilibrium-correction systems', Journal of Econometrics, Vol. 135, pp. 399-426.
    • (1976) Journal of Econometrics , vol.135 , pp. 399-426
    • Hendry, D.F.1
  • 21
    • 0037821224 scopus 로고    scopus 로고
    • 'Multistep prediction in autoregressive processes'
    • Ing, C.-K. (2003). 'Multistep prediction in autoregressive processes', Econometrics Theory, Vol. 19, pp. 254-279.
    • (2003) Econometrics Theory , vol.19 , pp. 254-279
    • Ing, C.-K.1
  • 22
    • 33846036795 scopus 로고    scopus 로고
    • 'A practitioner's guide to lag order selection for VAR impulse response analysis'
    • Ivanov, V. and Kilian, L. (2005). 'A practitioner's guide to lag order selection for VAR impulse response analysis', Studies in Nonlinear Dynamics and Econometrics, Vol. 14, pp. 1-34.
    • (2005) Studies in Nonlinear Dynamics and Econometrics , vol.14 , pp. 1-34
    • Ivanov, V.1    Kilian, L.2
  • 23
    • 20444410849 scopus 로고    scopus 로고
    • 'Estimation and inference of impulse responses by local projections'
    • Jordà, O. (2005). 'Estimation and inference of impulse responses by local projections', American Economic Review, Vol. 95, pp. 161-182.
    • (2005) American Economic Review , vol.95 , pp. 161-182
    • Jordà, O.1
  • 24
    • 33845289380 scopus 로고    scopus 로고
    • 'Making a match: combining theory and evidence in policy-oriented macroeconomic modelling'
    • Kapetanios, G., Pagan, A. and Scott, A. (2007). 'Making a match: combining theory and evidence in policy-oriented macroeconomic modelling', Journal of Econometrics, Vol. 136, pp. 565-594.
    • (2007) Journal of Econometrics , vol.136 , pp. 565-594
    • Kapetanios, G.1    Pagan, A.2    Scott, A.3
  • 25
    • 64149131955 scopus 로고    scopus 로고
    • 'Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market'
    • Kilian, L. (2009). 'Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market', American Economic Review, Vol. 99, pp. 1053-1069.
    • (2009) American Economic Review , vol.99 , pp. 1053-1069
    • Kilian, L.1
  • 26
    • 0005674560 scopus 로고    scopus 로고
    • 'Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach'
    • Kim, S. and Roubini, N. (2000). 'Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach', Journal of Monetary Economics, Vol. 45, pp. 561-586.
    • (2000) Journal of Monetary Economics , vol.45 , pp. 561-586
    • Kim, S.1    Roubini, N.2
  • 27
    • 0001353625 scopus 로고    scopus 로고
    • 'Impulse response analysis in nonlinear multivariate models'
    • Koop, G., Pesaran, H. M. and Potter, S. M. (1996). 'Impulse response analysis in nonlinear multivariate models', Journal of Econometrics, Vol. 74, pp. 119-147.
    • (1996) Journal of Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, H.M.2    Potter, S.M.3
  • 28
    • 21444437852 scopus 로고    scopus 로고
    • 'Co-integration constraint and forecasting: an empirical examination'
    • Lin, J.-L. and Tsay, R. S. (1996). 'Co-integration constraint and forecasting: an empirical examination', Journal of Applied Econometrics, Vol. 11, pp. 519-538.
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 519-538
    • Lin, J.-L.1    Tsay, R.S.2
  • 29
    • 0000318562 scopus 로고
    • 'The dynamic effects of aggregate demand and supply disturbances: comment'
    • Lippi, M. and Reichlin, L. (1993). 'The dynamic effects of aggregate demand and supply disturbances: comment', American Economic Review, Vol. 83, pp. 644-652.
    • (1993) American Economic Review , vol.83 , pp. 644-652
    • Lippi, M.1    Reichlin, L.2
  • 30
    • 84860432453 scopus 로고    scopus 로고
    • 'A simple, structural and empirical model of the Antipodean transmission mechanism'
    • Lubik, T. (2006). 'A simple, structural and empirical model of the Antipodean transmission mechanism', New Zealand Economic Papers, Vol. 40, pp. 91-126.
    • (2006) New Zealand Economic Papers , vol.40 , pp. 91-126
    • Lubik, T.1
  • 31
    • 33646830333 scopus 로고    scopus 로고
    • A Bayesian look at new open economy macroeconomics
    • Lubik, T. and Schorfheide, F. (2005). 'A Bayesian look at new open economy macroeconomics', NBER Macroeconomics Annual, Vol. 20, pp. 313-366.
    • (2005) NBER Macroeconomics Annual , vol.20 , pp. 313-366
    • Lubik, T.1    Schorfheide, F.2
  • 32
    • 34247361666 scopus 로고    scopus 로고
    • 'Do central banks respond to exchange rate movements? A structural investigation'
    • Lubik, T. and Schorfheide, F. (2007). 'Do central banks respond to exchange rate movements? A structural investigation', Journal of Monetary Economics, Vol. 54, pp. 1069-1087.
    • (2007) Journal of Monetary Economics , vol.54 , pp. 1069-1087
    • Lubik, T.1    Schorfheide, F.2
  • 33
    • 33747879841 scopus 로고    scopus 로고
    • 'A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series'
    • Marcellino, M., Stock, J. H. and Watson, M. W. (2006). 'A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series', Journal of Econometrics, Vol. 135, pp. 499-526.
    • (2006) Journal of Econometrics , vol.135 , pp. 499-526
    • Marcellino, M.1    Stock, J.H.2    Watson, M.W.3
  • 34
    • 84926967698 scopus 로고    scopus 로고
    • Monetary policy transmission in the euro area
    • Angeloni I., Kashyap A. and Mojon B. (eds), chap. 1, Cambridge University Press, Cambridge
    • Mojon, B. and Peersman, G. (2003). 'Monetary policy transmission in the euro area', in Angeloni I., Kashyap A. and Mojon B. (eds), Monetary Policy Transmission in the Euro Area, chap. 1, Cambridge University Press, Cambridge, pp. 56-74.
    • (2003) Monetary Policy Transmission in the Euro Area , pp. 56-74
    • Mojon, B.1    Peersman, G.2
  • 35
    • 84927053460 scopus 로고    scopus 로고
    • The monetary transmission mechanism in the euro area: more evidence from VAR analysis
    • Angeloni I., Kashyap A. and Mojon B. (eds), chap. 2, Cambridge University Press, Cambridge
    • Peersman, G. and Smets, F. (2003). 'The monetary transmission mechanism in the euro area: more evidence from VAR analysis', in Angeloni I., Kashyap A. and Mojon B. (eds), Monetary Policy Transmission in the Euro Area, chap. 2, Cambridge University Press, Cambridge, pp. 36-55.
    • (2003) Monetary Policy Transmission in the Euro Area , pp. 36-55
    • Peersman, G.1    Smets, F.2
  • 36
    • 0032219575 scopus 로고
    • 'Generalised impulse response analysis in linear multivariate models'
    • Pesaran, M. H. and Shin, Y. (1988). 'Generalised impulse response analysis in linear multivariate models', Economics Letters, Vol. 58, pp. 17-29.
    • (1988) Economics Letters , vol.58 , pp. 17-29
    • Pesaran, M.H.1    Shin, Y.2
  • 37
    • 33846042144 scopus 로고    scopus 로고
    • 'Small sample confidence intervals for multivariate IRFs at long horizons'
    • Pesavento, E. and Rossi, B. (2006). 'Small sample confidence intervals for multivariate IRFs at long horizons', Journal of Applied Econometrics, Vol. 21, pp. 1135-1155.
    • (2006) Journal of Applied Econometrics , vol.21 , pp. 1135-1155
    • Pesavento, E.1    Rossi, B.2
  • 38
    • 0002085449 scopus 로고
    • 'Impulse response and forecast error variance asymptotics in nonstationary VARs'
    • Phillips, P. C. B. (1988). 'Impulse response and forecast error variance asymptotics in nonstationary VARs', Journal of Econometrics, Vol. 83, pp. 21-56.
    • (1988) Journal of Econometrics , vol.83 , pp. 21-56
    • Phillips, P.C.B.1
  • 40
    • 0002814040 scopus 로고
    • 'Effects of model misspecification on tests for unit roots in macroeconomic data'
    • Schwert, G. W. (1987). 'Effects of model misspecification on tests for unit roots in macroeconomic data', Journal of Monetary Economics, Vol. 20, pp. 73-103.
    • (1987) Journal of Monetary Economics , vol.20 , pp. 73-103
    • Schwert, G.W.1
  • 41
    • 44049115762 scopus 로고
    • 'Interpreting the macroeconomic time series facts'
    • Sims, C. A. (1992). 'Interpreting the macroeconomic time series facts', European Economic Review, Vol. 36, pp. 975-1000.
    • (1992) European Economic Review , vol.36 , pp. 975-1000
    • Sims, C.A.1
  • 42
    • 84860477704 scopus 로고    scopus 로고
    • Probability models for monetary policy decisions'. Mimeo, Princeton University.
    • Sims, C. A. (2003). 'Probability models for monetary policy decisions'. Mimeo, Princeton University.
    • (2003)
    • Sims, C.A.1
  • 43
    • 0000745315 scopus 로고
    • 'Inference in linear time series models with some unit roots'
    • Sims, C. A., Stock, J. H. and Watson, M. W. (1990). 'Inference in linear time series models with some unit roots', Econometrica, Vol. 58, pp. 113-144.
    • (1990) Econometrica , vol.58 , pp. 113-144
    • Sims, C.A.1    Stock, J.H.2    Watson, M.W.3
  • 44
    • 79957450413 scopus 로고    scopus 로고
    • 'GDP-12 - the Bank's measure of trading partner demand'
    • Smith, M. (2004). 'GDP-12 - the Bank's measure of trading partner demand', Reserve Bank of New Zealand Bulletin, Vol. 67, pp. 28-32.
    • (2004) Reserve Bank of New Zealand Bulletin , vol.67 , pp. 28-32
    • Smith, M.1
  • 45
    • 0012675693 scopus 로고    scopus 로고
    • A comparsion of linear and non-linear univariate models for forecasting macroeconomic time series
    • Engle R. F. and White H. L. (eds), Oxford University Press, Oxford
    • Stock, J. H. and Watson, M. W. (1999). 'A comparsion of linear and non-linear univariate models for forecasting macroeconomic time series', in Engle R. F. and White H. L. (eds), Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Oxford University Press, Oxford, pp. 1-44.
    • (1999) Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W. J. Granger , pp. 1-44
    • Stock, J.H.1    Watson, M.W.2
  • 47
    • 0040227297 scopus 로고
    • 'Multiple time series analysis and the final form of econometric models'
    • Wallis, K. F. (1977). 'Multiple time series analysis and the final form of econometric models', Econometrica, Vol. 45, pp. 1481-1497.
    • (1977) Econometrica , vol.45 , pp. 1481-1497
    • Wallis, K.F.1
  • 48
    • 0001708718 scopus 로고
    • 'Multi-step estimation and forecasting in dynamic models'
    • Weiss, A. A. (1991). 'Multi-step estimation and forecasting in dynamic models', Journal of Econometrics, Vol. 48, pp. 135-149.
    • (1991) Journal of Econometrics , vol.48 , pp. 135-149
    • Weiss, A.A.1
  • 49
    • 0002579829 scopus 로고
    • 'Time series analysis and simultaneous equation econometric models'
    • Zellner, A. and Palm, F. (1974). 'Time series analysis and simultaneous equation econometric models', Journal of Econometrics, Vol. 2, pp. 17-54.
    • (1974) Journal of Econometrics , vol.2 , pp. 17-54
    • Zellner, A.1    Palm, F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.