International macroe.. - Free

SUBJECT INDEX 367Swap transactions, 3TTarget zone, eventual collapse,318Technical change, deterministic,139Technological growthBiased, 216Unbiased, 216Technology shock, 140Termsoftrade,277,280,300Tranquil peg, 7Transversality condition, 86Trend-cycle components decomposition,138Triangular arbitrage, 3Triangular structure of exogenousshocks, 246Trigonometric relations, 6971Turbulent peg, 7UUncovered interest parity, 9—11Deviations from , 162—172Fama decomposition, 167—170Hansen-Hodrick tests, 164—165Monetary model, 85Uniform distribution from a tob, 23Unit rootAnalyses of time series, 40—67Univariate test procedures,44—50Dickey—Fuller test, 45Augmented Dickey-Fuller test,46Finite sample power, Dickey-Fuller test, 52Bhargava framework, 44—45Testing for PPP, 217—222Panel data, 51—63Cross-sectional dependence,53, 58Im-Pesaran-Shin test, 60,225Levin—Lin test, 52—57, 223Maddala—Wu test, 61—62,224Potential pitfalls, 62Testing for PPP, 222Size distortion, Levin-Lintest, 56Size distortion, tests of PPP,226VVariance ratio statistic, 50, 221Vector autoregressionUnrestricted, 24—34Asymptotic distribution ofcoefficient vector, 25Cooley—Leroy critique, 31—34Decomposition of forecasterrorvariance, 29Eichenbaum-Evans 5 variableVAR, 249—250