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Directed graphs and variable selection in large vector autoregressive models

Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - In: Journal of Time Series Analysis 44 (2022) 2, pp. 223-246

We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so‐called strongly connected components. Using this graphical representation, we consider the problem of variable choice. We use the relations among...

Persistent link: https://www.econbiz.de/10014503621

National culture and firm financial performance: A mediating role of firm financing decision

Farooq, Umar; Ahmed, Jaleel; Ashfaq, Khurram; Khan, … - In: Cogent Business & Management 7 (2020) 1, pp. 1-21

This study unfolds the role of national culture in determining the firm financial performance through channel of corporate financial policy. Sample size consists of 7623 non-financial sector firms from 13 Asian economies and fixed-effect model applies to estimates the regression. As the findings...

Persistent link: https://www.econbiz.de/10012657314

Post-COVID-19 Asia will grow strongly in 2021 but structural problems continue to pile up

Herrero, Alicia Garcia - In: European Journal of Economics and Economic Policies: … 18 (2021) 2, pp. 240-258

2020 was a terrible year for Asia but for some countries less than for others. Countries recovered divergently with some managing to grow positively notwithstanding the pandemic, namely mainland China, Taiwan, and Vietnam. The rest of Asia had a hard time, facing problems such as current-account...

Persistent link: https://www.econbiz.de/10014363419

Some Notes on Overshooting

Homburg, Stefan - In: Zeitschrift für Wirtschafts- und Sozialwissenschaften 109 (1989) 3, pp. 443-447

"overshooting" in the Dornbusch sense. We proposed to use the interest differential between to countries as a direct and reliable … measure of the extend of overshooting. Observing that differential immediately reveals that the past appreciation of the … dollar against the mark has hardly anything to do with overshooting. …

Persistent link: https://www.econbiz.de/10010332568

Ursachen und Konsequenzen der steigenden Nahrungsmittelpreise

Erber, Georg; Petrick, Martin; von Schlippenbach, Vanessa - In: DIW Wochenbericht 75 (2008) 26, pp. 357-363

Seit Mitte 2007 sind die Preise für Grundnahrungsmittel wie Reis, Mais und Weizen bei international gehandelten Sorten dramatisch gestiegen. In welchem Umfang zu dieser Entwicklung Spekulationen an den Rohstoffmärkten beigetragen haben, lässt sich nicht beziffern. Unabhängig davon setzt eine...

Persistent link: https://www.econbiz.de/10011601842

Statistical identification in panel structural vector autoregressive models based on independence criteria

Herwartz, Helmut; Wang, Shu - In: Journal of Applied Econometrics 39 (2024) 4, pp. 620-639

This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled level. We demonstrate robustness of the method under cross‐sectional correlation and heterogeneity through simulation...

Persistent link: https://www.econbiz.de/10015191356

Abenomics: From the "Great Stagnation" to the "Three-Arrows Strategy"

Grabowiecki, Jerzy - In: International Journal of Management and Economics 55 (2019) 3, pp. 201-211

This article addresses Japan's economy, its new economic policy package, which is known as Abenomics. The centerpiece of Abenomics has been the three "economic arrows" targeted at aggressive monetary policy, flexible fiscal policy, and growth strategy. This article focuses on Abenomics and shows...

Persistent link: https://www.econbiz.de/10015192064

The long-run effects of the Fed's monetary policy on the dynamics among major asset classes

Miao, Jia - In: International Journal of Management and Economics 51 (2016) 1, pp. 9-19

It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of...

Persistent link: https://www.econbiz.de/10015192068

Measuring nominal and real convergence of selected CEE countries by the Taylor rule

Böing, Tobias; Stadtmann, Georg; Sydykova, Meerim - In: International Journal of Management and Economics 52 (2016) 1, pp. 9-22

We propose using a simple Taylor rule to evaluate business cycle convergence of the Czech Republic, Hungary, and Poland with the Eurozone. Our findings indicate an ongoing convergence of those CEE countries to the Eurozone, but with instabilities and heterogeneity between the countries....

Persistent link: https://www.econbiz.de/10015192161

Estimating monetary conditions index for selected countries in the ECOWAS region

Diallo, Ibrahima; Konté, Mamadou Abdoulaye - In: West African Journal of Monetary and Economic Integration 22 (2022) 1, pp. 1-30

Monetary conditions index (MCI) has become an important indicator of monetary policy performance since its introduction by Bank of Canada in the 1990s. This is so, as the index allows central banks to gauge monetary policy stance and effectiveness. This paper builds an MCI for the seven (7)...

Persistent link: https://www.econbiz.de/10015197057