Results 11 to 20 of about 869 (166)
Impact of Some Overseas Monetary Variables on Indonesia: SVAR Approach
ECONOMICS, 2017 This study aims to investigate how the influence of monetary variables from abroad to Indonesia’s monetary conditions. This study uses exchange rate variables, interest rates of U.S. central banks, world oil prices and interest rates of Indonesian banks.
Subagyo Ahmad, Witjaksono Armanto
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svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis
Journal of Statistical Software, 2021 Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back to an interplay of orthogonal structural shocks. Under Gaussianity the structural parameters are unidentified
Alexander Lange +3 more
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Exchange Rate Devaluation, Interest Rate Volatility, and Investment Growth: ECOWAS Evidence
Sriwijaya International Journal of Dynamic Economics and Business, 2022 There are monetary policies and shocks that emanates from adjustments over identified periods that could sway growth rates of investment. The study aimed at determining effect of exchange rate devaluation and interest rate volatility on investment ...
David Umoru, Rafat Hussaini
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Forecasting Mortality Rates with a Two-Step LASSO Based Vector Autoregressive Model
Risks, 2022 This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the VAR framework, recent studies have developed a spatial–temporal autoregressive (STAR) model, in which age-specific mortality rates are
Thilini Dulanjali Kularatne +2 more
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Identification of monetary policy in SVAR models: a data-oriented perspective [PDF]
Empirical Economics, 2012 In the literature using short-run timing restrictions to identify monetary policy shocks in vector-auto-regressions (VAR) there is a debate on whether (i) contemporaneous real activity and prices or (ii) only data typically observed with high frequency should be assumed to be in the information set of the central bank when the interest rate decision is
FRAGETTA, MATTEO, Giovanni Melina
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Jurnal Economia, 2018 Abstrak: Kejutan Transmisi Kebijakan Moneter dan Variabel Makro Ekonomi di Indonesia: Suatu Pendekatan Structural Vector Autoregression. Tujuan dari tulisan ini adalah untuk mengetahui berapa besar guncangan transmisi kebijakan moneter mempengaruhi ...
Rizal Rahman H. Teapon +1 more
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The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability
Journal of Probability and Statistics, 2020 A risk measure commonly used in financial risk management, namely, Value-at-Risk (VaR), is studied. In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to the nominal. To do so, we
Khreshna Syuhada
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THE EFFECTS OF FISCAL POLICY SHOCKS IN SVAR MODELS: A GRAPHICAL MODELLING APPROACH [PDF]
Scottish Journal of Political Economy, 2011 ABSTRACTWe apply graphical modelling (GM) theory to identify fiscal policy shocks in SVAR models of the US economy. Unlike other econometric approaches – which achieve identification by relying on potentially contentious a priori assumptions – GM is a data based tool.
FRAGETTA, MATTEO, Giovanni Melina
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Investigating the Relationship between Credit Cycles and Business Cycles in Iranian Economy [PDF]
پژوهشهای اقتصادی, 2020 Macroeconomic policy makers and planners always use different tools to achieve economic goals. Credit control is one of these tools. The boom and recession of the financial sector of the economy are called the credit cycle, and of the real sector is ...
Ahad Seifi Koshki +2 more
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The effects of fiscal shocks in svar models: a graphical modelling approach [PDF]
, 2010 We apply graphical modelling theory to identify scal policy shocks in SVAR models of the US economy. Unlike other econometric ap- proaches which achieve identi cation by relying on potentially con- tentious a priori assumptions graphical modelling is a data based tool. Our results are in line with Keynesian theoretical models, being also quantitatively
Fragetta, Matteo, Melina, Giovanni
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