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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
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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
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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
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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
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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
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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
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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
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Strategic interactions and price dynamics in the global oil market
Alonso Álvarez, Irma; Di Nino, Virginia; Venditti, Fabrizio
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
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Fiscal expenditure spillovers in the euro area: An empirical and model-based assessment
Alloza Frutos, Mario; Ferdinandusse, Marien; Jacquinot, … - 2020
Este documento describe los principales canales de transmisión de los efectos desbordamiento (spillovers) de las políticas fiscales nacionales a otros países de la zona del euro y analiza su magnitud utilizando diferentes modelos. En el contexto de la Unión Económica y Monetaria (UEM), los...
Persistent link: https://www.econbiz.de/10012524802
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Immigration and the macroeconomy : some new empirical evidence
Furlanetto, Francesco; Robstad, Ørjan - 2017
Proponemos un nuevo esquema de identificación VAR que nos permite separar perturbaciones migratorias de otras … propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks …
Persistent link: https://www.econbiz.de/10012530555