Purpose – In all existing theoretical papers on causality it is assumed that the lag length is known a priori. However, in applied research the lag length has to be selected before testing for causality. The purpose of this paper is to suggest that in investigating the effectiveness of various...

This paper tries to examine the impact of the fiscal policy on volatility inflation in Romania. Starting from previously studies which demonstrates a correlation between the fiscal measures and inflation this study is testing this impact on the economic crises context. For realizing this study...

This paper aims is to examine and verify the appropriateness and usefulness in practical use of models for calculating VaR. It presents a case study applied to a theoretical bank portfolio in order to the identification and protection against market risk, while determining capital requirements....

The main goal of this research is to improve the degree of accuracy for inflation rate forecasts in Romania. The inflation was forecasted using a vectorial-autoregressive model. According to Granger test for causality, the relationship between the two variables is reciprocal. The inflation rate...

Purpose – The purpose of this paper is to investigate the effects of macroeconomic factors on secured and unsecured household loans from UK banks. Design/methodology/approach – The approach uses Vector auto-regression models to test the relationship between macroeconomic factors such as...

This note gives a few practical guidelines for cointegration analysis. The focus is on testing the cointegration rank in a VAR model and on how an intercept and a trend should be incorporated in the model. Only two cases appear relevant for most economic data.

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...

The paper discusses the influence of foreign direct investment on the economic situation of Poland with a special attention to: GDP, export, import, research and development expenditure and unemployment. In order to fulfill objectives of this research this paper uses the VECM methodology. The...

This paper addresses the issue of whether and by how much public investment or public capital can enhance economic performance. In comparison with the literature on the subject, we apply many different methodologies to answer these questions. A VAR model (for France, Italy, Germany, the UK and...

Oil revenues play an important role in the political economy of Iran. On average, 60% of the Iranian government revenues and 90% of export revenues originate from oil and gas resources. Current international sanctions on Iran have mainly targeted the oil production capacity of Iran and its...