Structural Vector Autoregressive Model
Shadow Banking, Monetary Policy, and Confidence Effects in China: Empirical Research Using a Structural Vector Autoregressive Model
... a structural vector autoregressive model to investigate the impacts of monetary policies and confidence in the economy with a spe- cial parallel financial ...
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A structural vector autoregressive model of technical efficiency and delays with an application to Chinese airlines
... SVAR model for technical efficiency and delays in the ambit of the Chinese airline ...stochastic autoregressive models (Yu, 2004; Yu, 2010; Lozano and Gutierrez, 2011; Lozano et ...
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The Effects of Oil Price Shocks on Discretionary Fiscal Policy in Selected OPEC Countries: Panel Structural Vector Autoregressive
... Regarding economic growth, it can be claimed that all of the present variables in the model affect this variable. Mardokhi (1999), Komijani and Alavi (1999), and Fallahi et al. (2012) evaluated the impact of the ...
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Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
... As empirical illustration, we analyse a set of quarterly time series data from Schreiber (2015), who attained an econometric system for the exchange rate and bilateral trade between the UK and Germany. She decomposed the ...
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Structural Vector Autoregressive (SVAR) Analysis of Maize Prices and Extreme Weather Shocks
... SVAR model with the structural analysis obtained through Cholesky decomposition ...the model, they used normalization, recursion and identified the model through ...
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The price puzzle and monetary policy transmission mechanism in Pakistan: Structural vector autoregressive approach
... A structural model (SVAR) in which non- recursive structures are allowed and specifies a set of restrictions only on contemporaneous structural ...
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The industrial impact of monetary shocks during the inflation targeting era in Australia
... In this article we analyse the industrial impact of monetary shocks since inflation targeting has been introduced in Australia (1990). These impacts are quantified by constructing a structural vector ...
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THE EFFECT OF OIL PRICE ON UNITED ARAB EMIRATES GOODS TRADE DEFICIT WITH THE UNITED STATES
... of structural breaks. On the contrary, if we ignore the structural breaks, these two variables are stationary at the first ...the structural breaks for the three variables are statistically ...a ...
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Forecasting tourist arrivals to Turkey
... series model in the forecasting tourist arrivals to ...the autoregressive model (AR) was capable of producing valid modeling of tourist arrivals to ...SARIMA model, support vector ...
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Bayesian analysis of cointegrated vector autoregressive models
... In this chapter we deal with testing for multiple structural breaks in a vector error correction model as a problem of model selection and approximate the Bayes factors by Schwarz's Baye[r] ...
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Deficit Financing and Inflation in Bangladesh: A Vector Autoregressive Analysis
... Because of the significant impact that volatile international commodity prices have had on domestic price increases in recent times, an open economy variable is included as an attempt to capture these effects (Rahman et ...
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Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
... In the paper, a general strategy for large-scale modeling of macroeconomic and financial data, set within the factor vector autoregressive model (F-VAR) framework is introduced. The proposed approach ...
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Time Series Analysis and Forecast of GDP in Ethiopia: Evidence from Ethiopian Data
... and Vector Error Correction (VEC) Models are the statistical methods were used in this ...The vector autoregressive (VAR) model is employed for ...
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Art Market vs. Financial Markets
... (exponential-quadratic) model with structural breaks, as well as through a Structural Vector Error Correction (SVEC) model, we show that, contrary to many opinions in the literature, ...
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The Effect of Macroeconomic Variables on the Capital Structure Decisions of Indian Firms: A Vector Error Correction Model/ Vector Autoregressive Approach
... This paper sheds light on how the macroeconomic variables affect the capital structure decisions in context to the equity market timing theory, for the firms of an emerging economy - India. The analysis is done through ...
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EMPIRICAL INVESTIGATION OF RELATIONSHIP BETWEEN STOCK MARKET AND FOREIGN EXCHANGE RATE: A STUDY OF INDIA
... an autoregressive statistical model of a time series, the autoregressive parameter is ...regression model are not stationary, then it can be shown that the standard assumptions for asymptotic ...
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International Capital Mobility and Saving Investment Nexus in Nigeria: Revisiting Feldstein Horioka Hypothesis
... Some other studies have exclusively focused on developing and Asian countries. Sinha (2002) studying 12 Asian countries found that saving and investment rates were co-integrated only in three countries without accounting ...
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Inflation Convergence In East African Countries
... Table 6 shows that both domestic and foreign factors have been important drivers of inflation in the five East African countries. Domestic factors refer to the impact on domestic inflation of domestic shocks. Foreign ...
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PC VAR Estimation of Vector Autoregressive Models
... of vector autoregressive models (VAR) is ...a vector time series, and the recovery of the implied unrestricted VAR parameter estimates by solving a set of lin- ear ...
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Entrepreneurship, growth and unemployment: A panel VAR approach
... A first review of the data indicates the key variables included in the model. The variable through which we approximate the notion of entrepreneurship is the number of business owners in the private sector, to ...
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