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Vector Autoregressions and Reality [PDF]
Journal of Business & Economic Statistics, 1987 This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector autoregressions. It suggests that previous authors have failed to provide confidence intervals for variance decompositions and impulse response functions. Two methods of computing such confidence intervals are developed:
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Are life insurance futures a safe haven during COVID-19?
Financial Innovation, 2023 This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.
Kuan-Min Wang, Yuan-Ming Lee
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Buletin Ekonomi Moneter dan Perbankan, 2006 The paper analyzes the monetary policy behavior by developing a long-run structural macroeconometric model; the Structural Cointegrating Vector Autoregression. The model is empirically proposed by Garratt et. al.
Solikin M. Juhro
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Uncertainty and demand for business loans: A study of selected countries in the euro area [PDF]
Panoeconomicus, 2023 This paper studies the effect of uncertainty shocks on the demand for business loans in individual euro area countries. The results of Bayesian vector autoregression (VAR) model impulse response functions show that in some countries the overall demand ...
Dajčman Silvo
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Inflation Forecasting: The Practice of Using Synthetic Procedures
Мир новой экономики, 2019 The article contains a review of inflation forecasting models, including the most popular class of models as one-factor models: random walk, direct autoregression, recursive autoregression, stochastic volatility with an unobserved component and of the ...
E. V. Balatskiy, M. A. Yurevich
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Lecturas de Economía, 2016 We analyze the effect of global financial conditions of developed and emerging economies on economic activity in Colombia. To accomplish this task, we estimate financial conditions indices for the stock markets of developed and emerging countries using ...
Stephanía Mosquera +2 more
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Prior Selection for Vector Autoregressions [PDF]
Review of Economics and Statistics, 2012 Vector autoregressions (VARs) are ∞exible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-ofsample forecasts, particularly for models with many variables.
Giannone, Domenico +2 more
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Reverse Repurchase Rate on Selected Monetary Policy Indicators: A Vector Autoregression
International Journal of Academe and Industry Research, 2022 This study evaluated the effectiveness of the reverse repurchase (RRP) rate as the main monetary policy instrument of the Bangko Sentral ng Pilipinas in affecting selected monetary policy indicators, particularly output gap, inflation, and nominal ...
Martin Roy B. Base
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Bayesian compressed vector autoregressions [PDF]
Journal of Econometrics, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Koop, Gary +2 more
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