Narrow search
Showing 1 - 10 of 17
Cover Image
The evolution of regional economic interlinkages in Europe
Gadea Rivas, María Dolores; Gómez Loscos, Ana; Leiva … - 2017
En este trabajo se analiza la dinámica de propagación de las perturbaciones de los ciclos económicos regionales en Europa y se identifican sus principales factores subyacentes. Asimismo, se propone un nuevo método para medir la sincronización variable en el tiempo en muestras pequeñas, que...
Persistent link: https://www.econbiz.de/10012530543
Cover Image
Underlying inflation and asymetric risks
Le Bihan, Hervé; Leiva León, Danilo; Pacce, Matías José
Se propone una nueva medida de la inflación subyacente que informa, en tiempo real, sobre los riesgos asimétricos en las previsiones de inflación. Las asimetrías son generadas por no linealidades inducidas por la actividad económica. El nuevo indicador se basa en un modelo multivariante de...
Persistent link: https://www.econbiz.de/10014331205
Cover Image
Who Provides Information Matters: The Role of Source Credibility on US Consumers’ Beef Brand Choices
Dentoni, Domenico; Tonsor, Glynn T.; Calantone, Roger J.; … - 2011
information through these quality signals and consumer choices. In this paper, we explore 1) whether the credibility of an … representative sample of 460 US consumers and analyzed through structural equation modeling. The results show that credibility …
Persistent link: https://www.econbiz.de/10009444571
Cover Image
The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate
Ivrendi, Mehmet - 2005
the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q …
Persistent link: https://www.econbiz.de/10009431226
Cover Image
Robust Inference with Quantile Regression in Stochastic Volatility Models withapplication to Value at Risk calculation
Saha, Paramita - 2008
at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is … existing Nonlinear Filtering (NF) scheme.This approach is used in likelihood and VaR computations. This algorithm provides …
Persistent link: https://www.econbiz.de/10009431241
Cover Image
Trade Linkages and Output-Multiplier Effects: A Structural VAR
Abeysinghe, Tilak; Forbes, Kristin J. - 2002
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …
Persistent link: https://www.econbiz.de/10009433020
Cover Image
The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - 2007
This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...
Persistent link: https://www.econbiz.de/10009459041
Cover Image
The Effects of Monetary Policy in the Czech Republic: An Empirical Study
Borys, Magdalena M.; Horvath, Roman - 2008
within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission …
Persistent link: https://www.econbiz.de/10009477381
Cover Image
The global impact of the Russian financial crisis: evidence using granger causality and impulse reponses in a VAR model
Khalid, Ahmed; Rajaguru, Gulasekaran - 2007
construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we …
Persistent link: https://www.econbiz.de/10009441618
Cover Image
Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model
Khalid, Ahmed M; Kawai, Masahiro - 2003
currency, stock and money markets, respectively. We use a sample of nine East Asian countries, including Japan, construct a VAR …
Persistent link: https://www.econbiz.de/10009441798