Structural Vector Autoregression Model
The Endogeneity of Oil Price Shocks and Their Effects on Indonesia: A Structural Vector Autoregression Model
... A Structural Vector Autoregression ...A structural Vector Autoregression (SVAR) model was constructed extending Kilian (2009) model by employing several lags ...
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A Structural Vector Autoregression Model of Monetary Policy in Australia
... This arises because of the interdependence of the interest rate, money aggregate and the nominal exchange rate and the fact that the coefficients are estimated with error. The contraction of monetary policy has the ...
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Estimation of a Structural Vector Autoregression Model Using Non-Gaussianity
... of structural vector autoregressive (SVAR) models popular in econometric theory, in which numerous attempts have been made for its estimation, see, for example, Swanson and Granger (1997), Demiralp and ...
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An analysis for new institutionality in science, technology and innovation in Colombia using a structural vector autoregression model
... the structural and cyclical factors of science, technology and innovation (STI) and to characterize shocks that lead to permanent changes in STIA and R&D investments in ...
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Monetary transmission mechanism in Vietnam after the Asian financial crisis (1999-2006) : a structural vector autoregression model
... the model. However, the structural vector autoregressive model with a recursive assumption seems not to reflect properly the monetary transmission process in this ...a structural ...
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Do Credit Channel and Interest Rate Channel Play Important Role in Monetary Transmission Mechanism in Indonesia?: A Structural Vector Autoregression Model
... employing Structural Vector Autoregression (SVAR) ...The model is then solved by implementing forecasting error variance decomposition to investigate the contribution of each variables to both ...
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Monetary policy model of Tajikistan: a structural vector autoregression approach
... Initially I use reduced form VAR, the short-run and the long-run restriction of SVAR models, to evaluate inflation targeting and the response of real sector prices and GDP to monetary an[r] ...
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Factor Proportions Wages in a Structural Vector Autoregression
... a structural vector auto ...This model with only capital and labor inputs is inconsistent with the evidence leading to the addition of energy ...
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GMM Estimation of Non-Gaussian Structural Vector Autoregression
... ously put forth in the statistical identification literature. First, in contrast to the maximum likelihood (ML) estimator of Lanne et al. (2017), there is no need to specify an explicit non-Gaussian distribution. While ...
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Noncausal vector autoregression
... noncausal vector autoregressive (VAR) model for non-Gaussian time ...VAR model may yield suboptimal forecasts and misleading economic ...which structural economic shocks cannot be recovered ...
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Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis
... To study the effect of a fiscal shock within a vector Autoregression, we have to place restrictions on the model in order to assign economic interpretations on the estimated impulse responses. There ...
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Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression
... identification (cf. the corresponding results of Inoue and Kilian, 2013 based on sign and recursive restrictions). In Table 1, we report the relative contributions of the monetary policy shock to the forecast error ...
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Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis
... the model without debt feedback is not taking into account that a deficit financed fiscal expansion implies increase in the debt to GDP ratio, which in the future has to be met by rise in the surpluses if the ...
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Monetary Policy and Time Varying Parameter Vector Autoregression Model
... Empirical Model 2.1. Vector autoregressive models and Bayesian inference The structural vector autoregressive (SVAR) approach has been largely used since it was initially implemented by ...
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FEASIBILITY OF THE PROPOSED MONETARY UNION IN EAST AFRICAN COMMUNITY: STRUCTURAL VECTOR AUTOREGRESSION APPROACH
... Abstract Theory of Optimum Currency Area (OCA) being the most instructive construct in establishment of a monetary union, has listed criteria to be fulfilled prior to establishment of monetary union. This study examined ...
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Vector autoregression with varied frequency data
... The structural VAR model has been fruitfully applied in macroeconomics to unveil the dynamic paths of economic variables responding to nominal or real ...VAR model and invert to its moving aver- age ...
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Regime-dependent impulse response functions in a Markov-switching vector autoregression model
... Markov-switching vector autoregression ...the model GHSHQGHQW on the ...a model of the ...that structural changes within the US economy have taken ...
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Identifying Aggregate Demand and Aggregate Supply Components of Inflation Rate: A Structural Vector Autoregression Analysis for Japan
... i.e., an AD shock has no long-run impact on the level of output. Dynamic properties of the estimated model are shown to be generally consistent with the predictions of the conventional AS-AD framework. The main ...
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Effect of Exchange Rate, Foreign Direct Investment and Portfolio Investment on the Indonesian Economy: A Structural Cointegrating Vector Autoregression Approach
... In the context of the current economic and financial globalization, it requires empirical study basing on the principles of the New Neoclassical Synthesis (NNS) and NCM in the development of macroeconomics models in ...
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A vector autoregression approach to the effects of monetary policy in South Africa
... The structural vector error correction model (SVECM) is another form of SVAR useful when analyzing the speeds of adjustment to equilibrium, and recognizes the existence of cointegration between ...
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