Empirical studies of equilibrium-correction dynamics and financial market linkages in the macroeconomy
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structural vector error-correction model of the US economy. We use graph theory methods to determine the instantaneous causal structure of the system from the data thus, overcoming the common problem of maki...
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University of Kent
2015
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.682136 |