Explaining Cointegration Analysis: Part II.
|Abstract||We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic terms, and to the determination of the number of cointegration vectors. The analysis is illustrated by empirical examples.|
|Creator||David F Hendry; Katarina Juselius;|
Currency boards and currency Crises.
|Abstract||This paper demonstrates how a currency board can become vulnerable to a crisis in which the policymaker is forced to devalue. The model is built from two blocks: first, incomplete information about the devaluation cost faced by the policymaker; and second, unemployment persistence. Incomplete information can result in multiple equilibria. In one class of equilibrium the policymaker has a credibility problem and maintaining the currency board is c ... [truncated at 450 characters in length]|