Results 21 to 30 of about 1,911,399 (201)

Prior Selection for Panel Vector Autoregressions [PDF]

SSRN Electronic Journal, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +5 more sources

Bank risk aversion and the risk-taking channel of monetary policy in the euro area [PDF]

Panoeconomicus, 2017
The financial crisis has provoked economic policy interest and academic research on the functioning and empirical verification of the risktaking channel of monetary policy.
Dajcman Silvo
doaj   +1 more source

KOMPETISI DAN STABILITAS PERBANKAN DI INDONESIA Suatu Pendekatan Analisis Panel Vector Autoregression

Jurnal Manajemen, 2017
Banking fragility phenomenon  in the world as well as in Indonesia whip out some interesting issues to be investigated. The objective of this study is to investigate the dynamic causality relationship between competitionand stability of bank in Indonesia.
Intan Apriadi, Roy Sembel, Perdana Wahyu Santosa, Muhammad Firdaus   +3 more
doaj   +1 more source

Oil price changes and stock returns: Fresh evidence from oil exporting and oil importing countries

Cogent Economics & Finance, 2022
The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector
Mohd Atif, Mustafa Raza Rabbani, Hana Bawazir, Iqbal Thonse Hawaldar, Daouia Chebab, Sitara Karim, Amani AlAbbas   +6 more
doaj   +1 more source

Financial Development and Energy Consumption in Sub-Saharan Africa: Evidence From Panel Vector Error Correction Model

SAGE Open, 2020
This study examines the nexus between financial development and energy consumption/use in Sub-Saharan Africa (SSA) using a panel vector error correction model (VECM), cointegration, and Granger causality tests over the period ranging from 1975 to 2017 ...
Chigozie Nelson Nkalu, Samuel Chinwero Ugwu, Fredrick O. Asogwa, Mwuese Patricia Kuma, Queen O. Onyeke   +4 more
doaj   +1 more source

Asymptotic distributions of impulse response functions in short panel vector autoregressions [PDF]

Journal of Econometrics, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cao, Bolong, Sun, Yixiao
openaire   +1 more source

Vector autoregression estimates.

, 2023
Vector autoregression estimates.
Yuriy Bilan (11191594), Beata Gavurova (10960588), Olha Kuzmenko (14485787), Evgenia Bondarenko (14485790), Hanna Yarovenko (14485793)   +4 more
core   +2 more sources

Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis [PDF]

Social Sciences, 2013
The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros) and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty.
Florence Bouvet, Ryan Brady, Sharmila King   +2 more
openaire   +2 more sources

Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure

Econometrics, 2022
This paper improves the existing literature on the shrinkage of high dimensional model and parameter spaces through Bayesian priors and Markov Chains algorithms.
Antonio Pacifico
doaj   +1 more source

Penalized estimation of panel vector autoregressive models: A panel LASSO approach

International Journal of Forecasting, 2023
This paper proposes LASSO estimation specific for panel vector autoregressive (PVAR) models. The penalty term allows for shrinkage for different lags, for shrinkage towards homogeneous coefficients across panel units, for penalization of lags of variables belonging to another cross-sectional unit, and for varying penalization across equations.
openaire   +1 more source