SVAR model
Sources of Exchange Rate Fluctuation in Vietnam: An Application of the SVAR Model
... long-run SVAR model, pioneered by Blanchard and Quah (1989), this study examines how the real and nominal shocks impact the nominal and real exchange rate (USD/VND) in ...
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Sources of exchange rate fluctuation in Vietnam: an application of the SVAR model
... Blanchard and Quah (1989) develop the long-run restriction to obtain a structural vector autoregression (SVAR) model from the vector autoregressive (VAR) model in standard form. Moreover, a series ...
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The relative effectiveness of Monetary and Fiscal Policies on growth: what does long run SVAR model tell us?
... This paper studies empirically the relative effectiveness of monetary and fiscal policies on growth. Unlike many previous papers which have focused, to a large extent, on the effect of monetary or fiscal policies ...
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The Impact of Private Investment in Public Expenditure on Economic Growth in Jiangxi Province—Empirical Analysis Based on State Space Model and SVAR Model
... Abstract. In order to study the impact of public spending on private investment and its role in economic growth in Jiangxi Province, the article first analyzes the relationship between them theoretically, then analyzes ...
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Time varying Fiscal Multipliers Identified by Systematic Component: A Bayesian Approach to TVP SVAR model
... Proxy SVAR approach, can be characterized by the different type of the restrictions on the systematic component of fiscal policy represented as the rules relating policy instruments ...
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Economic effects of oil and food price shocks in Asia and Pacific countries: an application of SVAR model
... The econometric methods used in this study are as follows. This study covers almost 30 years quarterly data ranges from 1980 to 2010. In this long span of time many structural changes happened in the countries covered by ...
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A Singaporean Study on Macroeconomic Variables Impacting Stock Returns
... their SVAR Model to obtain a more informed insight into how macroeconomic variables impacted the different sectoral indices, which in turn impacted the overall Jakarta Composite ...an SVAR ...
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Exploring the effects of financial and fiscal vulnerabilities on G7 economies : evidence from SVAR analysis
... a SVAR model in order to estimate the effects of both financial and fiscal stress on four key macroeconomic variables; real GDP growth, inflation, short-term interest rates and nominal effective exchange ...
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The power of fiscal multipliers in Croatia
... (SVAR) model as proposed by Blanchard and Perotti (2002) is used to estimate the overall sign and size of a government spending and tax shock on output, private consumption and private ...the SVAR ...
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
... switching model which takes into account changes in the dynamic of estimated realised ...T-SVAR model, we investigate the trading activity and volatility relation of energy futures contacts and find ...
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Economy, Environment and Government: Study on the Path of Supply Side Reform Forced by the Fog Haze
... Unbalanced development in term as industrial structure and the efficiency use of energy have aggravated environmental pollution to different degrees resulting in the increase of range, time and degree of fog-haze. This, ...
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Essays on Economic and Policy Time Variations in Small Open Economies
... (SVAR) model. Consistent with the conventional time invariant SVAR model, the time varying SVAR provides a multivariate model through which the propagation of an exogenous change ...
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Oil Price Shocks and Uncertainty: How stable is their relationship over time?
... the SVAR model, reveal that oil supply shocks do not exercise any significant impact on uncertainty ...TVP-VAR model we show that impulse responses of the uncertainty indices to the three oil price ...
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Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments
... Section A.12 complements the empirical results reported in Section 8 of the paper along several directions. Section A.12.1 documents the construction of the supply oil shock used as external instrument in the baseline ...
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Measuring the effects of monetary policy in Pakistan: A factor augmented vector autoregressive approach
... and SVAR and conclude that transmission mechanism is much faster in case of consumer price index as compared to industrial production ...VAR model to estimate the impact of monetary policy on inflation and ...
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How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?
... (SVAR) model using monthly data from 2002:M1 to 2013:M4 for Indonesia, Malaysia, and Thailand shows that poor influence of monetary policies on monetary policy transmission channels (namely, interest rate, ...
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The use of SVAR analysis in determining the effects of fiscal shocks in Croatia
... SVEC model, while in this paper a structural VAR model will be ...our SVAR model, where monetary policy is not included, but on the other hand the distinction of govern- ment revenues and ...
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The effect of crude oil price change and volatility on Nigerian economy
... (SVAR) model to monthly data series from January 1970 to May 2011, impulse response functions are calculated to see the influences among the crude oil price, Nigeria ’ s exchange rate, money supply (M2), ...
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A structural vector autoregressive model of technical efficiency and delays with an application to Chinese airlines
... Therefore, this paper builds upon the existing body of knowledge by presenting a novel SVAR model for technical efficiency and delays in the ambit of the Chinese airline industry. Not only is China one of ...
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Investigation of asymmetric impulse responses between average consumption propensity and average food consumption propensity of household in Korea
... (SVAR) model, ACP and AFCP are analysed to have asymmetric responses to negative and positive shocks, regardless of whether the shock is imposed on the own or on the other ...
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