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Computation of the Beveridge–Nelson decomposition in the case of cointegrated systems withI(0) variables

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
72
Issue
3
Identifiers
DOI: 10.1016/s0165-1765(01)00455-4
Keywords
  • Beveridge–Nelson Decomposition
  • Vec Models
  • Real Exchange Rate

Abstract

Abstract This paper shows how the result of Ariño and Newbold [Economics Letters, 61 (1998) 37] for the multivariate BN decomposition in the cointegrated case can be extended when I(0) variables are considered in the VEC model. An application of the extended procedure to the Spanish peseta/French franc real exchange rate is also provided.

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