Title of article
Computation of the Beveridge–Nelson decomposition in the case of cointegrated systems with I(0) variables
Author/Authors
Arielle Beyaert، نويسنده , , Alfonso J. Quesada Medina، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
7
From page
283
To page
289
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.
Keywords
Real exchange rate , Beveridge–Nelson decomposition , VEC models
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
434828
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