structural VAR
Exchange Rate Pass Through in a Small Open Economy: A Structural VAR Approach
... a structural VAR model with block exogene- ity feature, which assumes that small open economies such as Turkey have no impact on the external macroeconomic variables but are under exposure of these ...the ...
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Relative price skewness and inflation: a structural VAR framework
... This study aimed at using implications of two-sided (S,s) pricing models to learn about idiosyncratic determinants of aggregate inflation dynamics in the short run. Based on two distinct identification assumptions, both ...
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Vulnerability of Southern Mediterranean Countries to Exogenous Shocks: Structural VAR Approach
... rates. Structural VAR model for Southern Mediterranean Countries Before estimating VAR model, we must first determine the order of integration of series and the possible presence of co-integration ...
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Is there a crowding out effect in the Moroccan context ? Evidence from structural VAR Analysis
... the structural VAR modeling must include some fiscal variables that occur with annual frequency which is limiting in term of the number of obser- ...
13
Monetary policy and the real economy: A structural VAR approach for Sri Lanka
... This paper attempts to identify the monetary policy indicator that better explains the Sri Lankan monetary policy transmission mechanism. This study also estimates how shocks stemming from foreign monetary policy and/or ...
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Oil Price Shocks and Monetary Policy Aggregates in Nigeria: A Structural VAR Approach
... their structural VAR mod- els of Canada and Australia ...of structural equations- one block represents the international economy and the other block of structural equations represents the ...
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A structural VAR model of the New Zealand business cycle
... the structural VAR models of Sims (1980), Bernanke and Blinder (1992) and Dungey and Pagan (2000), departures from trend are viewed as ...the structural VAR model developed in this ...
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Monetary Policy Effects in Output and Prices: Evidence for the Dominican Republic using a Structural VAR approach
... Once the VAR is estimated, we proceed to estimate the structural VAR, considering the identified restrictions proposed in section IV. The results are presented in the form of impulse- response ...
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Monetary policy and stock valuation: structural VAR identification and size effects
... frequency data should help to alleviate the simultaneity bias (Kurov and Gu, 2016), but as Bjornland and Leitemo (2009) point out, this implies that we can only analyse how asset prices are associated with particular ...
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On The Feasibility of a Common Currency in West Africa: Evidence from a Multivariate Structural VAR
... In this study, we have committed ourselves to an evaluation of the feasibility of the proposed common currency in West Africa as the region is moving inexorably towards closer monetary cooperation. A multivariate ...
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Analysis of renewable and nonrenewable energy consumption, real GDP and CO2 emissions: A structural VAR approach in Romania
... Impulse responses of our structural VAR portray a positive correlation between the real GDP of Romania and energy consumption. The present study employs the annual data covering the period 1980-2008, and ...
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Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand
... This paper examines the impacts of shocks to asset prices and real effective exchange rate on the current account in Thailand during 2008Q1 and 2016Q2. The structural VAR model with short-run restrictions ...
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Renewable and nonrenewable energy consumption, real GDP and CO2 emissions nexus: a structural VAR approach in Pakistan
... the structural VAR (Sims, 1986; Bernanke, 1986; Blanchard and Watson, ...a structural VAR model; their work was also based on theoretical basis rather than some adhoc ...orthogonal ...
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Macroeconomic Shocks and Malaysian Tourism Industry: Evidence from a Structural VAR Model
... a structural vector autoregression (SVAR) model to investigate the macroeconomic shocks on Malaysian tourism industry, especially how the economy dynamically responds to oil price shocks, exchange rates, changes ...
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Macroeconomic effects of fiscal policy shocks in Morocco : A linear structural VAR analysis
... a structural autoregressive vector (VAR) of five variables is estimated and identified using the recursive approach and Blanchard and Perotti’s approach ...
13
Public Debt, Domestic Investment And Foreign Direct Investment In Nigeria: A Structural Var Approach (1981-2015)
... Figure 7 shows the structural response of FDI to expansionary shock in lending interest rate. FDI rises initially, then falls quickly and significantly within the first two periods (years) due to expansionary ...
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Analyze the Effect of Oil Shocks on the U.S. Economy in a Time-Varying-Parameter Structural VAR Framework.
... the structural impulse response shocks before the War and after the War is ...the structural impulse response of oil-specific demand shock to oil production became even smaller after war ended, which means ...
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Financial development, bank savings mobilization and economic performance in Ghana: evidence from a multivariate structural VAR
... This paper examines the implications of financial development for commercial bank savings mobilisation and economic performance in Ghana since the pursuit of financial reforms programme in September 1987. To achieve this ...
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Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan
... For future extension, I plan to use Implied Volatility Index (VIX) in lieu of GARCH volatility because implied volatility is the market volatility derived from Black-Scholes options pricing model. Taiwan has its own VIX ...
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Global liquidity glut or global savings glut? A structural VAR approach
... of structural shocks on a number of variables of interest, namely the current account as a measure of external imbalances and long-term interest rates and equity prices as a measure of financial ...the ...
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