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Spillover dynamics across price inflation and selected agricultural commodity prices
Balcilar, Mehmet; Bekun, Festus Victor - In: Journal of economic structures : JES; the official … 9 (2020) 2, pp. 1-17
This article contributes to the existing empirical literature by examining the spillovers across price inflation and … agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast … prices and inflation. Further empirical findings shows that inflation, sorghum, soybeans, and wheat were net receivers while …
Persistent link: https://www.econbiz.de/10012256021
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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Global food prices and business cycle dynamics in an emerging market economy
Holtemöller, Oliver; Mallick, Sushanta Kumar - 2015
This paper investigates a perception in the political debates as to what extent poor countries are affected by price movements in the global commodity markets. To test this perception, we use the case of India to establish in a standard SVAR model that global food prices influence aggregate...
Persistent link: https://www.econbiz.de/10011336943
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Effects of crude oil prices on copper and maize prices
Kaulu, Byrne - In: Future Business Journal 7 (2021), pp. 1-15
This study explains the effects of crude oil prices on copper and maize prices. Vector autoregressive and vector error correction models are used to study the relationship between oil prices and prices of copper and maize. The commodity price data used consist of average monthly prices of each...
Persistent link: https://www.econbiz.de/10012668157
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...
Persistent link: https://www.econbiz.de/10012037315
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Identifying key macroeconomic shocks to Canadian GDP
Sayeed, Jamil - 2020
This paper seeks to identify the largest two shocks that can explain the movement in Canadian GDP for the period 1981Q1 to 2011Q4. I employ a very flexible identification method proposed by Uhlig (2003) that allows us to identify the key shocks from the time series data without imposing any...
Persistent link: https://www.econbiz.de/10012437729
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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
correction methodology, the paper found the exchange rate pass-through into Nigeria's CPI inflation to be incomplete. The long … prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error … Nigeria. …
Persistent link: https://www.econbiz.de/10011460225
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Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - 2012
Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting...
Persistent link: https://www.econbiz.de/10009579219
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Energy consumption, income and price interactions in Saudi Arabian economy : a vector autoregression analysis
Ibrahim, Mohamed Abbas - In: Advances in management & applied economics 1 (2011) 2, pp. 1-21
This paper presents an empirical analysis of the interactions among energy consumption, real income and energy price in Saudi Arabia using annual data from 1982 to 2007. We analyzed the dynamic interaction by applying widely used time series analysis techniques such as unit root tests, Vector...
Persistent link: https://www.econbiz.de/10009376715