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POLİTİKA BELİRSİZLİKLERİ VE JEOPOLİTİK RİSK İLE YATIRIMCI DUYARLILIĞI VE RİSKTEN KAÇINMA ÜZERİNE BİR ARAŞTIRMA: TVP-VAR YAKLAŞIMI

Ekev Akademi Dergisi
Bu çalışmada, ekonomi, para, ticaret, petrol ve iklim politikası belirsizlikleri, jeopolitik riskler, yatırımcı duyarlılığı ve riskten kaçınma arasındaki dinamik ilişkiler Ocak 1997-Aralık 2023 dönemi aylık verileri için zamanla değişen parametre vektör ...
Elif Hilal Nazlıoğlu, Aslan Aydoğdu
semanticscholar   +1 more source

MONETARY POLICY TRANSMISSION MECHANISM AND TVP-VAR MODEL [PDF]

Network Intelligence Studies, 2013
The transmission of monetary policy to the economy is a subject of major importance for central banks because, by using these measures, central banks can achieve their purpose of ensuring price stability without neglecting the objective of sustainable economic growth.
openaire  

The Effects of Fiscal Policy on Emerging Economies. A TVP- VAR Approach [PDF]

South-Eastern Europe Journal of Economics, 2015
This study seeks to analyze the effects of government expenditure shock and tax revenue shock on economic activity by applying a time-varying parameter vector autoregressive methodology. The advantage of this approach is that it allows for fiscal policy shocks to vary over time according to the changes in the economic activity and permits us to capture
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Dependence and risk spillover effects between clean energy stocks and related assets——an empirical study based on asymmetric W-TVP-VAR model

Applied Economics
With the escalation of global climate change and deepening financial market integration, the interdependence between traditional and emerging markets has significantly increased.
Jue Hou, Pucong Wang, Sumuya Borjigin
semanticscholar   +1 more source

Metaverse Token Piyasasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması

2023
In this study, the volatility spillover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Token, for the period 12.14.2021-10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-
Gülcan, Nazlıgül, Mumcu Küçükçaylı, Fatma   +1 more
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The Role of Oil Revenue Shocks in Iranian Economy, A TVP- VAR Approach

2013
In this paper, we analyze the effects of oil revenue shocks on different sectors of the Iranian economy. We use quarterly data of the Iranian economy from 1988:2 to 2011:1 to analyze a time-varying parameter VAR model with the Bayesian method. The results show that in the late 1980s and early 1990s, the positive effects of oil revenue were mostly ...
Mehrara, Mohsen, Jabalameli, Farkhondeh, Mojab, Ramin   +2 more
openaire   +1 more source

Which futures should be targeted in the Chinese stock futures market? —A TVP-VAR-DCA-rv approach

Applied Economics Letters
This study investigates volatility spillovers in the Chinese stock futures market. By developing a TVP-VAR-DCA-RV approach with various components of realized volatility, we analyse the dynamic interactions among financial index futures and explore their
Yu-Guang Xie, Hao Wang, Junpeng Di
semanticscholar   +1 more source

Exploring spillover dynamics between cryptocurrencies, stablecoins and Islamic stocks during crisis: TVP–VAR approach

Journal of Islamic Accounting and Business Research
This study aims to examine the spillover effects between cryptocurrencies, stablecoins and Islamic stock indices, focusing on their interactions during crises.
Ahmad Al Izham Izadin, Rosylin Mohd. Yusof   +1 more
semanticscholar   +1 more source

Relationship Between Climate Policy Uncertainty and Agriculture and Food Market Indices: TVP VAR Approach

Nişantaşı Üniversitesi Sosyal Bilimler dergisi
Climate change significantly affects the availability, accessibility, quality and stability of food in the world. Climate change has the power to affect relevant companies, investors and policy-makers by putting pressure on agricultural production and ...
Samet Gürsoy, Mesut Doğan, F. Zeren, İ. Ekşi̇   +3 more
semanticscholar   +1 more source

Tail Risk Spillovers in Stock Markets Between G7 and BRICS: New Evidence from CAViaR and TVP-VAR Connectedness Approach

Emerging markets finance & trade
This study examines the tail risk spillover effects of G7 and BRICS stock markets by employing the onditional Autoregressive Value-at-Risk (CAViaR) model and the time-varying parameter vector autoregression (TVP-VAR) connectedness approach and further ...
Shao-Bo Long, Jing Hao, Qing-Yu Zhou
semanticscholar   +1 more source