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Financial development and the shadow economy: A panel VAR analysis
Economic Modelling, 2016This paper examines the dynamic relationship between financial development and the shadow economy using data for 161 countries over the period 1960–2009. Specifically, we use a panel vector autoregression model to construct impulse response functions that illustrate the time path of one variable (e.g., the shadow economy) following an orthogonal shock ...
Aziz N. Berdiev, James W. Saunoris
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, 2000 The Varying Coefficient Bayesian Panel VAR Model
SSRN Electronic Journal, 2016Interacted panel VAR (IPVAR) models allow coefficients to vary as a deterministic function of observable country characteristics. The varying coefficient Bayesian panel VAR generalises this to the stochastic case. As an application of this framework, I examine if the impact of commodity price shocks on consumption and the CPI varies with the degree of ...
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Using panel VAR to analyze international knowledge spillovers
Review of International Economics, 2019AbstractTechnology diffusion often plays a critical role in models of trade and economic growth. Most existing empirical tests for international technology spillovers suggest some role for spillovers in explaining productivity growth. It has been relatively difficult, however, to identify separate roles for the direct and indirect channels of knowledge
Nune Hovhannisyan, Norman Sedgley
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The dynamics of exchange rate volatility: A panel VAR approach
Journal of International Financial Markets, Institutions and Money, 2014Abstract This paper employs a panel vector autoregressive model (PVAR) to study the dynamics of the overall exchange rate volatility. PVAR estimation results, based on panel data for 29 economies, are used in simulating impulse response functions. Since economic shocks may affect high-frequency and low-frequency components of volatility differently ...
Grossmann, Axel +2 more
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Income inequality and economic growth: a panel VAR approach
Empirical Economics, 2014The paper uses a new and improved comprehensive dataset on inequality to examine the effects of inequality on per capita income and the effects of per capita income on income inequality. The use of such a comprehensive cross-state panel allows for the estimation of the dynamic responses of inequality and per capita income using panel vector ...
Bebonchu Atems, Jason Jones
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A Panel VAR Analysis of the Shadow Economy in Europe and MENA
2016The objective of this chapter is to analyze empirically the potential dynamics of the relationship among the size of the shadow economy, fiscal burden and the official economy. The empirical analysis is based on the size estimates of the shadow economy in 17 developed and 11 transition economies of Europe for the period 1999-2013 and in 16 economies of
Tarkan Çavuşoğlu, Debi Konukçu Önal
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2017
In this paper, we adopt a panel vector autoregressive (PVAR) approach to estimating and forecasting inflation dynamics in four different sectors—industry, services, construction and agriculture—across the euro area and its four largest member states: France, Germany, Italy and Spain.
Dees, Stephane, Guntner, Jochen
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In this paper, we adopt a panel vector autoregressive (PVAR) approach to estimating and forecasting inflation dynamics in four different sectors—industry, services, construction and agriculture—across the euro area and its four largest member states: France, Germany, Italy and Spain.
Dees, Stephane, Guntner, Jochen
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