بررسی سرریزی بازدهی در سه بازار ارز، رمز ارز و بورس تهران با به کار گیری مدل خود رگرسیون برداری با پارامترهای متغیر طی زمان (TVP-VAR) [PDF]
پژوهشهای راهبردی بودجه و مالیهاین پژوهش به بررسی رفتار تعاملی و اثر سرریزی بین بازارهای سه گانه ارز، بورس اوراق بهادار و رمزارز مبتنی بر تجزیه واریانس مرتبط با یک مدل خود رگرسیون برداری با پارامترهای متغیر طی زمان (TVP-VAR) به صورت روزانه از1390 تا 1401 میپردازد و لذا امکان ارائه ...
شیما جواهری +2 more
doaj
SAGE OpenFinancial integration creates complexities in risk transmission across commodities, currencies and equities, fuelled by non-immediate information systems, with implications for commodity-dependent nations during crises.
John Kingsley Woode +4 more
doaj +1 more source
The Dynamic Linkage Among Bitcoin, Clean Energy and Stock Market: Evidence by TVP-VAR
, 2022 Attarzadeh A, Balcilar M.
europepmc +1 more source
Financial shocks and the real economy in a nonlinear world: from theory to estimation [PDF]
, 2015 Silvestrini, Andrea, Zaghini, Andrea
core +1 more source
Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables [PDF]
Macroeconomists working with multivariate models typically face uncertainty over which (if any) of their variables have long run steady states which are subject to breaks. Furthermore, the nature of the break process is often unknown.
Gary Koop, Joshua Chan
core
Exchange Rate and Price Dynamics at the Zero Lower Bound [PDF]
, 2013 In this paper, we analyse nominal exchange rate and price dynamics after risk shocks with short-term interest rates constrained by the zero lower bound (ZLB).
Bäurle, Gregor, Kaufmann, Daniel
core
The credit channel during times of financial stress: A time varying VAR analysis
, 2016 This paper investigates in the contribution of financial stress to gdp and price developments as well as in the strength of the credit channel, as part of the monetary policy transmission mechanism, especially in times of high financial stress. Therefore,
Dany, Geraldine
core
Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy. [PDF]
Entropy (Basel)Zou Y, Chen Q, Han J, Xiao M.
europepmc +1 more source
Time-Varying Effects of Oil Supply Shocks on the U.S. Economy [PDF]
We use vector autoregressions with drifting coefficients and stochastic volatility to investigate how the dynamic effects of oil supply shocks on the U.S. economy have changed over time.
Christiane Baumeister, Gert Peersman
core
Jeopoli̇ti̇k Ri̇skler Para Poli̇ti̇kalarını Etki̇ler Mi? TVP-VAR Yöntemi̇ ile Türki̇ye'den Kanıtlar
This study aims to fill gap in the literature by focusing on the interaction between Türkiye's geopolitical risks and monetary policy. For this purpose, the study examines how the impact of geopolitical risks on economic indicators such as the credit market, money supply, and exchange rates has changed over time, using monthly data from February 2012 ...
Şeyranlıoğlu, Onur +5 more
openaire +2 more sources