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This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and cointegration as well as unrestricted VAR specifications in levels. Our main finding is that the impulse response estimators obtained from the levels specification tend to be most robust when the magnitude of the roots is not known. The pretest specification works well only when the restrictions imposed by the model are satisfied. Its performance deteriorates even for small deviations from the exact unit root for one or more model variables. We illustrate the practical relevance of our results through simulation examples and an empirical application.

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration between trades on price changes. Larger trade size induces greater price revision and return volatility, and higher trading intensity is associated with a greater price impact of trades, a faster price adjustment to new information and higher volatility. Higher informed trading and lower liquidity contribute to larger bid–ask spreads off the regular daytime trading period.

This study first calculates a profit rate for China’s economy over the period 1952–2014; the rate shows a downward trend in the long term but also exhibits cyclical fluctuations. Then, structural vector autoregressive models are used to examine the Chinese economic structure and, thanks to impulse response functions, the role of the profit rate in investment, capital accumulation, and GDP growth rates. Then, based on a priori constraints relative to this structure, the study tests whether these assumptions are verified over the period studied in the context of the transformations of China. The impulse response functions are further examined by using Bayesian analysis. Finally, the authors conclude that the period from 1952 to 2014 should be divided into several sub-periods with distinct structural characteristics.

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modeling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study focuses on the latter device. Some possible setups for identification via heteroskedasticity are reviewed and their potential and limitations are discussed. Two detailed examples are considered to illustrate the approach.

By the end of this chapter, you should be able to demonstrate an understanding of:

The way in which consumers use mobile devices to engage with fashion retailers online.

What external and internal stimuli can be used to engage with consumers and encourage online interaction?

The lens in with the Stimulus–Organism–Response (SOR) model is applied to understand consumer behaviour.

How marketing can used both to trigger consumption activities and to encourage more sustainable behaviours?

This study investigates the relationship between the inflation targeting (IT) framework and the exchange rate pass-through (ERPT) to consumer prices in the emerging ASEAN economies (i.e., Indonesia, the Philippines, and Thailand) using a vector autoregressive (VAR) model with monthly data covering the sample period from January 1990 to July 2020. The empirical analysis is divided into two subperiods – pre-IT and post-IT periods. The impulse response analysis identified the existence of the ERPT during the pre-IT period and the loss of the ERPT during the post-IT period in all sample economies. The study speculated that the loss of the ERPT is attributable to the conformity to the Taylor principle in the IT framework in all sample economies.

The Laplace-type estimator (LTE) is a simulation-based alternative to the classical extremum estimator that has gained popularity in applied research. We show that even though the estimator has desirable asymptotic properties, in small samples the point estimate provided by LTE may not necessarily converge to the extremum of the sample objective function. Furthermore, we suggest a simple test to verify if the estimator converges. We illustrate these results by estimating a prototype dynamic stochastic general equilibrium model widely used in macroeconomics research.

Recent corporate scandals have led to legislative and regulatory responses that significantly increase the monitoring costs and other burdens of becoming or remaining a public corporation. As a result, there has been a substantial increase in going-private transactions, particularly among smaller public companies. Acquisitions and minority equity positions that allow large corporations to join with smaller companies have also increased. The pressures to go private are not entirely new, however. This chapter offers evidence that the current wave of post-Sarbanes–Oxley (SOX) restructuring via private equity firms is not a radical shift, but a continuation of already-established relationships between drops in the broad index of publicly traded equities, and subsequent increases in going-private activity (with evidence extending back more than two decades). When publicly traded equity falls, two things make major contribution to an increase in going-private transactions:•With equity prices down, it becomes cheaper to buy back the stock.•For investors with cash reserves holding for the arrival of new opportunities, taking a company private at reduced cost offers an attractive opportunity.

The evidence also suggests, though, that the passage of SOX is associated with an increased intensity in this longer-standing relationship (in other words, SOX has strengthened the older trend).