This paper presents an exchange rate model for the Euro exchange rates of four major currencies, namely the US dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on ...

This note estimates the neutral rate for New Zealand using a Vector Error Correction Model (VECM). The neutral interest rate is the rate of interest at which monetary ...

We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We ...

This paper seeks to quantify the mutual interactions of electricity, gas and carbon prices in the UK using a structural, co-integrated vector error-correction model, a methodology introduced by, among ...