Stochastic modeling and analysis of the open economy applying dynamic econometric tools: structural vector autoregressions and structural vector error correction models

Analyse: This dissertation identifies the sources of aggregate fluctuations in the Swiss economy, using a dynamic stochastic model under rational expectations with neoclassical properties in the long-run and Keynesian ones in the short-run.
The econometric methodology uses, first, a structural vector autoregression and, second, a structural vector error correction model, and in contrast to the existing literature represents foreign variables as exogenous to the system.
By imposing identifying restrictions and cointegration constraints, respectively, on an estimed vector autoregression, fluctuations in Swiss output can be traced to aggregate supply and aggregate demand as well as foreign shocks.
Using data for Swiss economy since 1973, the results obtained provide evidence that foreign, aggregate demand, and exchange rate disturbances have been the most important sources of business cycle fluctuations.
The conclusion is that it is paramount for the open economy analysis to include foreign exogenous variables in the estimation procedure.


Publication infos:
Genève, [s.n.], 1995
Publication year:
1995
Number of pages:
119 p.
PhD Director(s):
Directeur de thèse: Professeur Hans Genberg
Call number:
HEITH 534



 Record created 2011-06-03, last modified 2019-09-30


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