Modeling and forecasting macroeconomic time series using VAR, VEC and BVAR models: some evidence from U.S cointegrated systems

Djebali, Abdallah (Institut Supérieur de Gestion de Tunis) ; Trabelsi, Abdelwahed (Institut Supérieur de Gestion de Tunis)

Abstract: Recent changes within U.S economy show that manufacturer capacity utilization index explains better than unemployment rate the inflation level. we attempt in this study to exploit this report in order to determine cointegration relations between US macroeconomic time series. Using VECM, BVAR, and VAR as an unrestricted multivariate model, we aim to clarify some hidden relations between US time series and to determine which statistical model allows us to forecast with accuracy future patterns of these variables especially inflation and unemployment rate. Empirical study shows that federal funds rate leads the US economic activity and that manufactuer capacity utilization index is the cross between what decision makers want and the economic reality.

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Note: Mast. (Marketing)—Institut Supérieur de Gestion de Tunis, Tunis, 2004
Note de localisation: CNUDST (TUN01)
Code de rangement: U23355

The record appears in these collections:
Thesis & Reports > Master

 Record created 2021-02-18, last modified 2021-02-22

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