The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

The international capital flows are intensifying due to the deepening of globalization and diversification of portfolios in international capital markets. These factors have contributed to the increased integration of international financial markets. A VAR model is carried out to analyze how a...

During the Great Moderation, borrowing by the U.S. nonfinancial sector structurally exceeded GDP growth. Using flow-of-fund data, we test the hypothesis that this measure of debt buildup was leading to lower output volatility. We estimate univariate GARCH models in order to obtain estimates for...

Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they can avoid the use of a single variable...

Considering the importance of military expenditures on political and economical success of a government, this empirical study analyzes the relations between political stability, economic growth and military expenditures. Based on the theoretical model developed by Blomberg (1996), the vector...

This paper critically examines the dynamic interaction between monetary policy tools in stimulating economic growth, as well as stabilizing the economy from external shocks in Nigeria. The paper considered key monetary time series variables and real growth of output in formulating Vector...

This paper examines the effects of monetary policy in Pakistan economy using a data rich environment. We used the Factor Augmented Vector Autoregressive (FAVAR) methodology, which contains 115 monthly variables for the period 1992:01 to 2010:12. We compare the results of VAR and FAVAR model and...

Using US data for the period 1959-2007, we identify sectoral productivity shocks and capital investment-specific shocks by employing a Vector Autoregression whose shock structure is disciplined by a general equilibrium model. Controlling for real and nominal factors, we find that capital...

Using sample data from 1960 to 2006, GDP forecasts upto 2050 has been prepared for the Australian economy using the VAR methodology.

This paper investigates the relationship between changes in oil prices and the UK’s manufacturing and services sector performances. Only a few studies have been conducted at the sector level: the goal of this paper is to contribute in that direction. After presenting review of existing...