Showing 1 - 10 of 17
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
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
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
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
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
In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...
Persistent link: https://www.econbiz.de/10009445191
, preço doméstico e taxa de câmbio utilizando a metodologia VAR, no período de janeiro de 1996 a março de 2007. As séries … – VAR em nível. A decomposição davariância dos erros de previsão indicou que após choque não antecipado sobre as variáveis …, domestic price and exchange rate using the methodology VAR, in the period of January of 1996 to March of 2007. The studied …
Persistent link: https://www.econbiz.de/10009445200
within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission …
Persistent link: https://www.econbiz.de/10009477381
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
the implications of the model through a Structural Vector Auto Regression (VAR) that separates non-OPEC and OPEC …
Persistent link: https://www.econbiz.de/10012523844