Journal articles: 'Forecast error variance decomposition'

1

McKenzie, Andrew M., Harold L. Goodwin, and Rita I. Carreira. "Alternative Model Selection Using Forecast Error Variance Decompositions in Wholesale Chicken Markets." Journal of Agricultural and Applied Economics 41, no. 1 (April 2009): 227–40. http://dx.doi.org/10.1017/s1074070800002650.

Full text

Abstract:

Although Vector Autoregressive models are commonly used to forecast prices, specification of these models remains an issue. Questions that arise include choice of variables and lag length. This article examines the use of Forecast Error Variance Decompositions to guide the econometrician's model specification. Forecasting performance of Variance Autoregressive models, generated from Forecast Error Variance Decompositions, is analyzed within wholesale chicken markets. Results show that the Forecast Error Variance Decomposition approach has the potential to provide superior model selections to traditional Granger Causality tests.

APA, Harvard, Vancouver, ISO, and other styles

2

Gorodnichenko, Yuriy, and Byoungchan Lee. "Forecast Error Variance Decompositions with Local Projections." Journal of Business & Economic Statistics 38, no. 4 (July 18, 2019): 921–33. http://dx.doi.org/10.1080/07350015.2019.1610661.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Lanne, Markku, and Henri Nyberg. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models." Oxford Bulletin of Economics and Statistics 78, no. 4 (January 26, 2016): 595–603. http://dx.doi.org/10.1111/obes.12125.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Staszewska-Bystrova, Anna. "Monte Carlo Analysis of Forecast Error Variance Decompositions under Alternative Model Identification Schemes." Acta Universitatis Lodziensis. Folia Oeconomica 5, no. 338 (September 28, 2018): 115–31. http://dx.doi.org/10.18778/0208-6018.338.07.

Full text

Abstract:

The goal of the paper is to investigate the estimation precision of forecast error variance decomposition (FEVD) based on stable structural vector autoregressive models identified using short‑run and long‑run restrictions. The analysis is performed by means of Monte Carlo experiments. It is demonstrated that for processes with roots close to one, selected FEVD parameters can be estimated more accurately using recursive restrictions on the long‑run multipliers than under recursive restrictions on the impact effects of shocks. This finding contributes to the discussion of pros and cons of using alternative identification schemes by providing counterexamples for the notion that short‑run identifying restrictions lead to smaller estimation errors than long‑run restrictions.

APA, Harvard, Vancouver, ISO, and other styles

5

God', N. A., and stime Osekhebhen Eigbiremolen. "Savings, investment and economic growth in Nigeria: a forecast error variance decomposition analysis." African J. of Economic and Sustainable Development 3, no. 2 (2014): 103. http://dx.doi.org/10.1504/ajesd.2014.064376.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Zapata, Juan, and Juan Ciro. "The communication effects on inflation forecast errors: Empirical evidence from Colombia." Panoeconomicus, no. 00 (2020): 16. http://dx.doi.org/10.2298/pan180101016z.

Full text

Abstract:

The purpose of this article is to explore the central bank's ability to management inflation forecast errors in Colombia. We present empirical evidence based on the Colombian experience with data from the period of 2008 to 2020. The communication channel selected for analysis is the press releases. The empirical evidence is divided into three steps: (i) regression analysis using an EGARCH model, (ii) use of VAR models, and (iii) variance decomposition analysis. The communications effects are significant for several months and that close to half of the forecast error variance can be explained by innovations in central bank communication. The results obtained allow monetary policymakers to develop more efficient strategies for anchoring expectations and strengthening the central bank credibility.

APA, Harvard, Vancouver, ISO, and other styles

7

Lee, King Fuei. "An Empirical Study of Dividend Payout and Future Earnings in Singapore." Review of Pacific Basin Financial Markets and Policies 13, no. 02 (June 2010): 267–86. http://dx.doi.org/10.1142/s0219091510001949.

Full text

Abstract:

The main purpose of this paper is to apply Johansen's vector error-correction model (VECM) to investigate the existence of the dividend signalling effect in the Singapore aggregate market through impulse response analysis, forecast error variance decomposition and Granger-causality test. Our findings show that a unit shock increase in dividend payout leads to a permanent increase in future earnings over time. These results imply that there exists informational/signalling content in dividend payout in the Singapore market over the long run. We further find that at least half of the forecast error variance in earnings can be accounted for by innovations in the dividend payout. In addition, the payout ratio is also shown to Granger-cause earnings in the Singapore market.

APA, Harvard, Vancouver, ISO, and other styles

8

Rena, Ravinder, and Albert V. Kamuinjo. "An Empirical Analysis of the Relationship Between Capital, Market Risks, and Liquidity Shocks in the Banking Industry." Studia Universitatis Babes-Bolyai Oeconomica 67, no. 2 (August 1, 2022): 67–83. http://dx.doi.org/10.2478/subboec-2022-0010.

Full text

Abstract:

Abstract This study explores the relation between capital, market risks and banks’ liquidity conditions. In estimating the SVAR regression model, Granger causality, impulse-response functions and forecast error variance decomposition were employed and used for estimation of the results. The data sample comprised of commercial banks over the 2009 to 2018 period. The empirical results showed that liquidity shocks are caused by a combination of structural shocks. The Granger causality, impulse-response functions and forecast error variance decomposition documented that sensitivity to market risk is the key factor affecting liquidity conditions in the banking sector in the long run. In addition, the empirical results showed that capital adequacy has minimal impact on liquidity conditions in the short run. The reforming rate to sensitivity to market risk policies, capital adequacy policies and liquidity policy measures can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks.

APA, Harvard, Vancouver, ISO, and other styles

9

Kamuinjo, Albert V., Ravinder Rena, and Andrew Maredza. "Impact of credit risk and profitability on liquidity shocks of Namibian banks: an application of the structural VAR model." Journal of Life Economics 8, no. 3 (July 31, 2021): 349–59. http://dx.doi.org/10.15637/jlecon.8.3.07.

Full text

Abstract:

The main purpose of this paper was to investigate the relationship between banks’ credit risk and profitability and liquidity shocks in Namibia for the period 2009 to 2018 using the SVAR model. In estimating the SVAR regression model, granger causality, impulse-response functions and forecast error variance decomposition were employed and evaluated. The sample consisted of Namibian commercial banks. By auditing liquidity data between 2009 and 2018, empirical results showed that liquidity risk is caused by a combination of structural shocks. The granger causality, impulse-response functions and forecast error variance decomposition documented that credit risk (non-performing loans) is key factor affecting liquidity conditions in Namibia in the medium to long run. In addition, the empirical results showed that quality earnings (ROA) have minimal impact on liquidity conditions in the short run. Reforming assets quality policies and earnings quality policies can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks in Namibia.

APA, Harvard, Vancouver, ISO, and other styles

10

Smith, Kenneth L., Joe Brocato, and Russell E. Dabbs. "Professional forecast error as a function of a variable forecast horizon: A decomposition analysis." International Journal of Forecasting 7, no. 2 (August 1991): 155–63. http://dx.doi.org/10.1016/0169-2070(91)90050-6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

11

Čechura, L., and L. Šobrová. "The price transmission in pork meat agri-food chain." Agricultural Economics (Zemědělská ekonomika) 54, No. 2 (February 22, 2008): 77–84. http://dx.doi.org/10.17221/272-agricecon.

Full text

Abstract:

The paper deals with the analysis of price transmission in pork meat agri-food chain. The analysis is aimed at the determination of the type of market structure in the chain based on the derived theoretical model and fitted reduced model of price transmission in the form of VECM. Then, impulse-response analysis and decomposition of variance of fitted VECM show the system’s reaction to innovations and the interaction between variables for longer forecast horizons. The results imply that processing stage may exercise oligopsonic power, i.e. the market structure has the type of oligopsony. Impulse-response analysis shows that the system approaches relatively fast the equilibrium and all responses are positive. Moreover, decomposition of variance informs about the increasing role of the wholesale price in the explanation of forecast error variance of agricultural price. Then, it follows from the obtained results (among other) that the pork meat agri-food chain may be characterised as demand-driven. The type of market structure implies that the agricultural support is in this case shared within the vertically related markets and thus is less efficient.

APA, Harvard, Vancouver, ISO, and other styles

12

Bigerna, Simona, Maria Chiara D’Errico, and Paolo Polinori. "Dynamic forecast error variance decomposition as risk management process for the Gulf Cooperation Council oil portfolios." Resources Policy 78 (September 2022): 102937. http://dx.doi.org/10.1016/j.resourpol.2022.102937.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Afza, Talat, Khalid Ahmed, and Muhammad Shahbaz. "Does Harberger–Laursen–Metzler (HLM) Exist in Pakistan? Cointegration, Causality and Forecast Error Variance Decomposition Tests." Global Business Review 17, no. 4 (July 21, 2016): 759–78. http://dx.doi.org/10.1177/0972150916645674.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

THOMPSON, ALEXI, and YAYA SISSOKO. "THE PRICE OF COCAINE AND THE COLOMBIAN PESO: AN EMPIRICAL INVESTIGATION." Global Economy Journal 19, no. 03 (September 2019): 1950015. http://dx.doi.org/10.1142/s2194565919500155.

Full text

Abstract:

While the underground economy is not explicitly included in the measure of (GDP), the cocaine trade has been a major source of revenue for Colombia. Using quarterly cocaine prices from 1982 to 2007 published by the Office of National Drug Control Policy, this paper uses vector error correction and forecast error variance decomposition methods to look at the relationship between cocaine prices and the peso/$ nominal exchange rate. Our results indicate cocaine prices affect the value of the Colombian peso, which leads to some interesting policy implications.

APA, Harvard, Vancouver, ISO, and other styles

15

Suhendra, Indra, and Cep Jandi Anwar. "The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach." Banks and Bank Systems 17, no. 1 (March 25, 2022): 104–14. http://dx.doi.org/10.21511/bbs.17(1).2022.09.

Full text

Abstract:

This paper aims to determine the effect of central bank monetary policy on financial asset prices in Indonesia from 1990 Q1 to 2020 Q4. Furthermore, this study measures the responses of three different asset prices: bond yield, stock price and exchange rate to central bank rate shocks using the structural vector autoregression model. The impulse response functions showed that tightening monetary policy in Indonesia appreciated the exchange rate in four periods, lowered stock prices in five periods, and increased bond yield in all periods. These results imply that an increase in monetary policy interest rate appreciates exchange rate, lowers the stock price, and reduces bond yield. The result of variance decomposition showed that the most dominant central bank rate prediction was in predicting forecast error variance of bond yield but the smallest in predicting forecast error variance of the exchange rate. These results corroborated the hypothesis that tightening monetary policy in Indonesia increases financial asset prices. It also highlighted the informational role of monetary policy interest rate in stabilizing financial asset prices.

APA, Harvard, Vancouver, ISO, and other styles

16

Aksoy, Yunus, and Tomasz Piskorski. "US domestic currency in forecast error variance decompositions of inflation and output." Economics Letters 86, no. 2 (February 2005): 265–71. http://dx.doi.org/10.1016/j.econlet.2004.06.020.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

Gupta, Rashmi, and Swati Shastri. "Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model." GATR Journal of Business and Economics Review (JBER) Vol. 5 (2) April-June 2020 5, no. 2 (September 30, 2020): 45–58. http://dx.doi.org/10.35609/jber.2020.5.2(1).

Full text

Abstract:

Objective – The objective of this study is to test direction of causality between components of public expenditure and economic growth in India. Methodology/Technique – The paper uses annual data for the period 1980-2015. To measure public expenditure, plan expenditure and non-plan expenditure are used. The econometric methodology employed is Vector Auto regression (VAR) model. Findings – First, the stationary properties of the data were tested using Augmented Dickey-Fuller (ADF) test, Dickey-Fuller (DF) test, and the Phillip-Perron (PP) test and found that variables were non-stationary in level, but stationary in first differences. Then, Johansen- Jueslius cointegration test was employed to test the long-run association among the variables and results suggest an absence of any long-run association between plan expenditure and non-plan expenditure and economic growth in India. The Granger Causality test suggests there is unidirectional causality running from economic growth and non-plan expenditure and plan expenditure and non-plan expenditure and absence of causality public expenditure and economic growth. Novelty – The results of the Forecast Error Variance Decompositions test indicated that innovations in the variables are mostly explained by their own shocks. The impulse responses of the economic growth, plan expenditure and non-plan expenditure with respect to identified shocks are consistent with the results of Variance Decomposition Analysis. Type of Paper: Empirical. JEL Classification: O4, O49, O53. Keywords: Plan Expenditure; Non-plan Expenditure; Economic Growth; Unit Root; Cointegration Test; Granger Causality Test; Forecast Error Variance Decomposition; Impulse Responses. Reference to this paper should be made as follows: Gupta, R; Shastri, S. 2020. Public Expenditure and Economic Growth in India: An Empirical Analysis Using Vector Autoregression (VAR) Model, J. Bus. Econ. Review 5(2) 45– 58 https://doi.org/10.35609/jber.2020.5.2(1)

APA, Harvard, Vancouver, ISO, and other styles

18

Shahbaz, Muhammad. "Does trade openness affect long run growth? Cointegration, causality and forecast error variance decomposition tests for Pakistan." Economic Modelling 29, no. 6 (November 2012): 2325–39. http://dx.doi.org/10.1016/j.econmod.2012.07.015.

Full text

APA, Harvard, Vancouver, ISO, and other styles

19

Grzesica, Dariusz. "The Decomposition Issue of a Time Series in the Forecasting Process." International conference KNOWLEDGE-BASED ORGANIZATION 23, no. 3 (June 27, 2017): 43–47. http://dx.doi.org/10.1515/kbo-2017-0154.

Full text

Abstract:

AbstractDecomposition of time series is the estimate and extraction of deterministic part of the series - trend, cyclical and seasonal fluctuations in the hope that the rest of the data, that is, theoretically, a random variable will be stationary random process. During the process of predicting the time series elements affects significantly on the determination of the future values, which are characterized by a low forecast error. Therefore, the purpose of this article is to identify the elements of the time series decomposition and to determine the extent to which they affect the forecasting process. Problems that often appear when you run the forecast and methods of building models and forecasts based on time series will be presented. Observations will be described on the basis of nonparametric time series modeling.

APA, Harvard, Vancouver, ISO, and other styles

20

Simin, Timothy. "The Poor Predictive Performance of Asset Pricing Models." Journal of Financial and Quantitative Analysis 43, no. 2 (June 2008): 355–80. http://dx.doi.org/10.1017/s0022109000003550.

Full text

Abstract:

AbstractThis paper examines time-series forecast errors of expected returns from conditional and unconditional asset pricing models for portfolio and individual firm equity returns. A new result that increases predictive precision concerning model specification and forecasting is introduced. Conditional versions of the models generally produce higher mean squared errors than unconditional versions for step ahead prediction. This holds for individual firm data when the instruments are firm specific. Mean square forecast error decompositions indicate that the asset pricing models produce relatively unbiased predictions, but the variance is severe enough to ruin the step ahead predictive ability beyond that of a constant benchmark.

APA, Harvard, Vancouver, ISO, and other styles

21

Kharismawan, Infan Nur, Rukun Santoso, and Budi Warsito. "ANALISIS DAMPAK SHOCK VOLUME PERDAGANGAN SAHAM PADA INDEKS HARGA SAHAM CONSUMER GOODS DENGAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)." Jurnal Gaussian 7, no. 2 (May 30, 2018): 153–63. http://dx.doi.org/10.14710/j.gauss.v7i2.26647.

Full text

Abstract:

The stock trading in the capital market will result daily volume of trading stock that impact on stock price. One of the indicators that describes the stock price movement is stock index. There are many types of stock index, one of them is consumer goods stock index. Stock index is a sensitive economic variable affected by shock and need a restriction to form its economic model. Based on that, Structural Vector Autoregressive (SVAR) is used to describe its economic model. SVAR is formed by a stable VAR, fulfilled white noise, k-variate normal distribution. The purpose of this study are to forecast data on each variables and analyze the impact of the shock through the descriptions of variance decomposition. VAR used as the basis for SVAR is VAR(8) whose the forming variable stationary at the first different degree. Performances of forecasting SVAR using MAPE (Mean Absolute Percentage Error) for in sample data are 13.87434% (volume of trading stock) and 0.87045% (consumer goods stock index) and for out sample data are 14.22964% (volume of trading stock) and 1.76054% (consumer goods stock index). Response of consumer goods stock index to the impact of the volume of trading stock shock shown by proportion of variance decomposition tends to increase, while the shock by itself has decreased until reach its equilibrium point. Keywords:cosumer goods stock index, SVAR, variance decomposition, volume of trading stock

APA, Harvard, Vancouver, ISO, and other styles

22

Arı, Yakup. "The comparison of range-based volatility estimators and an application of TVP-VARbased connectedness." Journal of Life Economics 9, no. 3 (August 7, 2022): 147–57. http://dx.doi.org/10.15637/jlecon.9.3.03.

Full text

Abstract:

This paper aims to show the application of range-based volatility in connectedness analysis. For this purpose, we compare the volatility estimators Parkinson, Yang-Zhang, Garman-Klass, Rogers-Satchell, and modified Garman- Klass by Yang and Zhang methods. As an example, we calculated the range-based stock prices’ volatility of four defense industry companies quoted in Borsa Istanbul. We compared the forecast performance of volatility against Heteroskedastic Root Mean Square Error statistics. We include the best performing volatility series in the spillover analysis. Instead of the Cholesky decomposition VAR and generalized VAR approaches used in the calculation of the Diebold-Yılmaz connectedness index, we apply the TVP-VAR-based connectedness approach. The comparison results show that Rogers-Satchell for ASELSAN, KATMERLER, and PAPIL, and Parkinson volatility estimator for OTOKAR have the smallest error, respectively. The empirical findings of TVP-VAR connectedness show that the average forecast error variance of the network is 34.35%.

APA, Harvard, Vancouver, ISO, and other styles

23

Hasra, Lusi Dyana, and Cut Putri Mellita Sari. "EFFECTS OF IMPORTS OF MAIN AND PROCESSED RAW MATERIALS FOR THE FOODS AND BEVERAGES INDUSTRY ON ECONOMIC GROWTH IN INDONESIA." Journal of Malikussaleh Public Economics 2, no. 1 (July 11, 2020): 23. http://dx.doi.org/10.29103/jmpe.v2i1.1682.

Full text

Abstract:

The purpose of this study is to analyze the relationship between Imports of Main Raw Materials and Processed Materials for Industry to Indonesian Economic Growth. This study uses secondary data in the year 1997-2015 obtained from BPS (Central Bureau of Statistics) Indonesia. Data are analyzed using Vector Autoregression (VAR) with Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). The results of the study indicated that there were Co-interrelations of each variable to the variable itself and other variables. Variable Imports of Primary Raw Materials had the most effective effect in the short run on Economic Growth, while the variable Imports of Processed Raw Materials had the most effective effect in the long run on Economic Growth.

APA, Harvard, Vancouver, ISO, and other styles

24

Michel, Yann, and Thomas Auligné. "Inhomogeneous Background Error Modeling and Estimation over Antarctica." Monthly Weather Review 138, no. 6 (June 1, 2010): 2229–52. http://dx.doi.org/10.1175/2009mwr3139.1.

Full text

Abstract:

Abstract The structure of the analysis increments in a variational data assimilation scheme is strongly driven by the formulation of the background error covariance matrix, especially in data-sparse areas such as the Antarctic region. The gridpoint background error modeling in this study makes use of regression-based balance operators between variables, empirical orthogonal function decomposition to define the vertical correlations, gridpoint variances, and high-order efficient recursive filters to impose horizontal correlations. A particularity is that the regression operators and the recursive filters have been made spatially inhomogeneous. The computation of the background error statistics is performed with the Weather Research and Forecast (WRF) model from a set of forecast differences. The mesoscale limited-area domains of interest cover Antarctica. Inhomogeneities of background errors are shown to be related to the particular orography and physics of the area. Differences seem particularly pronounced between ocean and land boundary layers.

APA, Harvard, Vancouver, ISO, and other styles

25

Hlongwane, Tshembhani M., and Johannes P. S. Sheefeni. "Examining the Effect of Financial Markets Shocks on Financial Stability in South Africa." International Journal of Economics and Financial Issues 12, no. 6 (November 23, 2022): 30–37. http://dx.doi.org/10.32479/ijefi.13452.

Full text

Abstract:

The paper analyzed the impact of financial market shocks on financial market stability. The goal was achieved by employing quarterly time-series data spanning from 2003:Q1 to 2020:Q4. The study used various econometric techniques such as stationarity, determining optimal lag length, cointegration analysis, estimating a vector error correction model, impulse response functions and forecast error variance decomposition. Following this, the long run relationship amongst the variables was established. The findings revealed that inflation has a negative impact on financial stability in both the short and long run. Lastly, it was only the shocks in economic activities that was found to have a significant impact on financial stability.

APA, Harvard, Vancouver, ISO, and other styles

26

이항용 and 이진. "Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities." Korea Spatial Planning Review 82, no. ll (September 2014): 3–15. http://dx.doi.org/10.15793/kspr.2014.82..001.

Full text

APA, Harvard, Vancouver, ISO, and other styles

27

David, Inácio, and Tenreiro Machado. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship." Mathematics 7, no. 9 (August 22, 2019): 774. http://dx.doi.org/10.3390/math7090774.

Full text

Abstract:

Brazil is an important player when it comes to biofuel and agricultural production. The knowledge of the price relationship between these markets has increasing importance. This paper adopts several tools, namely the Bai–Perron test of breakpoints, the Johansen cointegration test and the vector error correction model exploited by the orthogonal impulse response and the forecast error variance decomposition, for investigating the price transmission among the ethanol and the main Brazil’s agricultural commodities (sugar, cotton, arabica coffee, robusta coffee, live cattle, corn and soybean). The data series cover the period from January 2011 up to December 2018. The results suggest a stronger price transmission from the ethanol commodity to the agricultural commodities, rather than the opposite situation.

APA, Harvard, Vancouver, ISO, and other styles

28

Chen, Mei-Ling, Kai-Li Wang, Ya-Ching Sung, Fu-Lai Lin, and Wei-Chuan Yang. "The Dynamic Relationship between the Investment Behavior and the Morgan Stanley Taiwan Index: Foreign Institutional Investors' Decision Process." Review of Pacific Basin Financial Markets and Policies 10, no. 03 (September 2007): 389–413. http://dx.doi.org/10.1142/s0219091507001124.

Full text

Abstract:

This research employs VAR models, impulse response function, forecast error variance decomposition and bivariate GJR GARCH models, to explore the dynamic relationship between foreign investment and the MSCI Taiwan Index (MSCI–TWI). The estimations of the VAR, impulse-response functions and predicted error variance decomposition tests show that stronger feedback effects exist between net foreign investment and MSCI–TWI. In particular, our results demonstrate that the MSCI–TWI has the greatest influence over the decision-making processes of foreign investors. Also, we see that exchange rates exert a negative influence on both net foreign investment dollars and the MSCI–TWI. In addition, US–Taiwan interest rate difference has a positive influence on net foreign investment dollars and a negative influence on the MSCI–TWI. As for asymmetric own-volatility transmission, negative shocks in the MSCI–TWI tend to create greater volatility for itself in the following period than positive shocks. Our research indicates an asymmetric information transmission mechanism from net foreign investment to MSCI–TWI markets. Moreover, the estimated correlation coefficient shows that MSCI–TWI and net foreign investment dollar have a positive contemporaneous correlation.

APA, Harvard, Vancouver, ISO, and other styles

29

Palić, Irena, Sabina Hodžić, and Ksenija Dumičić. "Personal Income Taxation Determinants in Federation of Bosnia and Herzegovina." Business Systems Research Journal 10, no. 1 (April 1, 2019): 153–63. http://dx.doi.org/10.2478/bsrj-2019-0011.

Full text

Abstract:

Abstract Background: In recent years’ income inequality has been an economic issue. The primary instrument for redistributing income is personal income tax. However, based on economic theory income inequality concerns indicators such as wages, transfer payments, taxes, social security contributions, and geographical mobility. Objectives: The objective of this paper is to examine the impact of certain labor market indicators on personal income taxation in Federation of Bosnia and Herzegovina (FB&H). Methods/Approach: Since personal income taxation consists of a very broad definition and for the purpose of this research only, income from dependent (employment) activity is observed. The econometric analysis is conducted using error correction modeling, as well as forecast errors variance decomposition. Results: The error correction model is estimated, and the cointegrating equation indicates that monthly wage and number of employees statistically significantly positively affect personal income taxes in FB&H in the long-run. After two years, the selected labor market indicators explain a considerable part of forecasting error variance of personal income tax revenues. Conclusions: The implementation of reforms in the labor market and tax policies of the FB&H is suggested. In order to achieve necessary reforms, efficient governance and general stable political environment are required.

APA, Harvard, Vancouver, ISO, and other styles

30

Keller, Jan D., Andreas Hense, Luis Kornblueh, and Andreas Rhodin. "On the Orthogonalization of Bred Vectors." Weather and Forecasting 25, no. 4 (August 1, 2010): 1219–34. http://dx.doi.org/10.1175/2010waf2222334.1.

Full text

Abstract:

Abstract The key to the improvement of the quality of ensemble forecasts assessing the inherent flow uncertainties is the choice of the initial ensemble perturbations. To generate such perturbations, the breeding of growing modes approach has been used for the past two decades. Here, the fastest-growing error modes of the initial model state are estimated. However, the resulting bred vectors (BVs) mainly point in the phase space direction of the leading Lyapunov vector and therefore favor one direction of growing errors. To overcome this characteristic and obtain growing modes pointing to Lyapunov vectors different from the leading one, an orthogonalization implemented as a singular value decomposition based on the similarity between the BVs is applied. This transformation is similar to that used in the ensemble transform technique currently in operational use at NCEP but with certain differences in the metric used and in the implementation. In this study, results of this approach using BVs generated in the Ensemble Forecasting System (EFS) based on the global numerical weather prediction model GME of the German Meteorological Service are presented. The gain in forecast performance achieved with the orthogonalized BV initialization is shown by using different probabilistic forecast scores evaluating ensemble reliability, variance, and resolution. For a 3-month period in summer 2007, the results are compared to forecasts generated with simple BV initializations of the same ensemble prediction system as well as operational ensemble forecasts from ECMWF and NCEP. The orthogonalization vastly improves the GME–EFS scores and makes them competitive with the two other centers.

APA, Harvard, Vancouver, ISO, and other styles

31

Wróblewska, Justyna. "The Analysis of Real Business Cycle Model with the Use of Bayesian VEC Type Models." Przegląd Statystyczny 64, no. 4 (December 31, 2017): 357–72. http://dx.doi.org/10.5604/01.3001.0014.0827.

Full text

Abstract:

In many economic theories and models, both long- and short-run relationships between variables are in focus. It is also the case in the real business cycle model (RBC model). The main aim of the paper is empirical analysis of the basic, three-variable RBC model for the Polish data of product, private consumption and investment over the years 1995–2015. A group of Bayesian VEC models with additional short-term restrictions is employed in this research. The Bayesian model comparison leads to the conclusion that the analyzed process is driven by two stochastic trends and one common cycle. Additionally, in order to evaluate the importance of long- and short-run shocks, the forecast error variance decomposition and the impulse response functions are calculated.

APA, Harvard, Vancouver, ISO, and other styles

32

MORIYAMA, Takeru, Koki NISHIMURA, Tomohiro NAGATANI, and Shunji MAEDA. "Causal Relationship Analysis Method using Forecast Error Variance Decomposition based on Sensor Common Frequency for Exhaust-Gas Fluctuation Analysis." Journal of the Japan Society for Precision Engineering 84, no. 5 (May 5, 2018): 454–62. http://dx.doi.org/10.2493/jjspe.84.454.

Full text

APA, Harvard, Vancouver, ISO, and other styles

33

Anyiwe, Mercy Ada, and Sunday Osahon Igbinedion. "Stock Returns, Inflation and the “Reverse Causality” Hypothesis." International Journal of Research in Business and Social Science (2147-4478) 4, no. 1 (January 22, 2015): 32–50. http://dx.doi.org/10.20525/ijrbs.v4i1.29.

Full text

Abstract:

This paper attempts to empirically examine the Reverse Causality hypothesis within the Nigerian context during the period 1980 – 2011. Employing Vector Error Correction Methodology (VECM), causality was found between inflation and government stocks, with causality running from government stocks to inflation, thus providing evidence in support of the reverse causality hypothesis. The results from the forecast error variance decomposition (FEVD) and impulse response functions tend to further lend credence to this finding. Accordingly, this study suggests, in part, the need for a tight monetary policy which would help to reduce inflation and stock prices, as such measures would leave the individuals with less money to buy stocks. Such efforts should be complemented by augmenting domestic production and encouraging investment through inexpensive bank finance.

APA, Harvard, Vancouver, ISO, and other styles

34

Mubarok, Faizul, and Etty Fatimah. "Economic Pressure on the Interest Margin of Banks in Indonesia." Jurnal Penelitian Ekonomi dan Bisnis 7, no. 1 (March 30, 2022): 11–20. http://dx.doi.org/10.33633/jpeb.v7i1.4366.

Full text

Abstract:

Net Interest Margin (NIM) is a profitability ratio to compare interest-based income and total assets owned. This study analyzes economic conditions on the Net Interest Margin (NIM) of conventional banking in Indonesia. This study uses the Vector Error Correction Model method with monthly data from 2008 to 2020. The long-term results are only inflation, which does not affect, while all variables do not affect the short-term. The Impulse Response Function results show that the exchange rate positively shocks the Net Interest Margin while interest rates, gold prices, oil prices, and inflation negatively shock NIM. The Forecast Error Variance Decomposition results found that inflation gave the second-largest variation while interest rates provided the minor variation. Keywords:VECMNet Interest MarginInterest RatesInflationExchange RatesGold PricesOil Prices

APA, Harvard, Vancouver, ISO, and other styles

35

Akoto, Linda, and Daniel Sakyi. "Empirical Analysis of the Determinants of Trade Balance in Post-liberalization Ghana." Foreign Trade Review 54, no. 3 (August 2019): 177–205. http://dx.doi.org/10.1177/0015732519851632.

Full text

Abstract:

This study investigates the determinants of trade balance in post-liberalization Ghana, covering the period 1984–2015. Specifically, we test the validity of the Marshall-Lerner condition and the J-curve effect, and further assess the effect of other macroeconomic variables including household consumption expenditure, government consumption expenditure, foreign income, money supply and domestic prices on trade balance. The bounds testing approach to cointegration and the error correction model within a symmetric and asymmetric autoregressive distributed lag (ARDL) framework is used for the estimation. Additionally, to analyse the dynamic interactions of the variables included in the estimated model, variance decomposition is applied. The results from both symmetric and asymmetric specifications show the absence of the Marshall-Lerner condition and the J-curve effect. Further, the study finds that household consumption expenditure, government consumption expenditure and domestic prices are negative and significant in the long and short run, whereas foreign income and money supply are positive and significant in the short run. Results from the variance decomposition show that innovations in household consumption expenditure highly contribute to the forecast error variance of the trade balance compared with other explanatory variables. A key finding of the study suggests that depreciation of the Ghana cedi is not an appropriate step to help in improving the country’s trade balance position. JEL Codes: C22, F10, F31, F32

APA, Harvard, Vancouver, ISO, and other styles

36

Mahmoud Sayed Agbo, Hanan. "An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model." Journal of Social Sciences Research, no. 54 (April 6, 2019): 876–87. http://dx.doi.org/10.32861/jssr.54.876.887.

Full text

Abstract:

Vector Autoregressive Model (VAR) lead to the integration of production and export decisions of rice. The main objective of the study is to determine the main factors influencing Egypt’s rice exports. This model can also be used to study the prospects of Egyptian rice exports. The results of variance decomposition confirm that the most important variables influence the value of Egyptian rice exports is Egyptian export price, and the empirical analysis of Vector Error Correction Model relieves the possibility of improving the competitiveness of Egyptian exports of rice in global markets in the forecast period (2015:2025).

APA, Harvard, Vancouver, ISO, and other styles

37

Sayed Agbo, Hanan Mahmoud. "An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model." Journal of Social Sciences Research, Special Issue 5 (December 15, 2018): 594–605. http://dx.doi.org/10.32861/jssr.spi5.594.605.

Full text

Abstract:

Vector Autoregressive Model (VAR) lead to the integration of production and export decisions of rice. The main objective of the study is to determine the main factors influencing Egypt’s rice exports. This model can also be used to study the prospects of Egyptian rice exports. The results of variance decomposition confirm that the most important variables influence the value of Egyptian rice exports is Egyptian export price, and the empirical analysis of Vector Error Correction Model relieves the possibility of improving the competitiveness of Egyptian exports of rice in global markets in the forecast period (2015:2025).

APA, Harvard, Vancouver, ISO, and other styles

38

DelSole, Timothy, and Michael K. Tippett. "Predictable Components and Singular Vectors." Journal of the Atmospheric Sciences 65, no. 5 (May 1, 2008): 1666–78. http://dx.doi.org/10.1175/2007jas2401.1.

Full text

Abstract:

Abstract This paper shows that if a measure of predictability is invariant to affine transformations and monotonically related to forecast uncertainty, then the component that maximizes this measure for normally distributed variables is independent of the detailed form of the measure. This result explains why different measures of predictability such as anomaly correlation, signal-to-noise ratio, predictive information, and the Mahalanobis error are each maximized by the same components. These components can be determined by applying principal component analysis to a transformed forecast ensemble, a procedure called predictable component analysis (PrCA). The resulting vectors define a complete set of components that can be ordered such that the first maximizes predictability, the second maximizes predictability subject to being uncorrelated of the first, and so on. The transformation in question, called the whitening transformation, can be interpreted as changing the norm in principal component analysis. The resulting norm renders noise variance analysis equivalent to signal variance analysis, whereas these two analyses lead to inconsistent results if other norms are chosen to define variance. Predictable components also can be determined by applying singular value decomposition to a whitened propagator in linear models. The whitening transformation is tantamount to changing the initial and final norms in the singular vector calculation. The norm for measuring forecast uncertainty has not appeared in prior predictability studies. Nevertheless, the norms that emerge from this framework have several attractive properties that make their use compelling. This framework generalizes singular vector methods to models with both stochastic forcing and initial condition error. These and other components of interest to predictability are illustrated with an empirical model for sea surface temperature.

APA, Harvard, Vancouver, ISO, and other styles

39

Rocha, Francisco J. S., Marcos R. V. Magalhaes, and Átila Amaral Brilhante. "A BVAR Analysis on Channels of Monetary Policy Transmission in Brazil." International Journal of Economics and Finance 14, no. 3 (January 26, 2022): 19. http://dx.doi.org/10.5539/ijef.v14n3p19.

Full text

Abstract:

This article measures the responses of GDP and inflation to a positive shock of the variables that make up the channels of transmission of monetary policy. The results of impulse-response functions of the estimated Bayesian VAR (BVAR) were: an increase in the short-term interest rate (SELIC) leads to a long-term interest rate increasing and consequently a reduction in GDP. Free credit does not have a significant impact on Brazilian GDP, given the low free credit/GDP ratio (Bogdanski et al., 2000). A shock in inflation expectations result in a decreasing trajectory of GDP, a fact consistent with the Fisher effect (Mishkin, 2009); and a shock at SELIC reduces inflation in the first two months, there is no “price puzzle”. A credit shock does not cause significant pressures on inflation. The Inflation does not show a well-defined time path after a shock in asset prices. The decomposition of the variance of the forecast error, in turn, showed that: GDP, in the short term, has its forecast errors explained by its own shocks, 70% on average. However, in the medium term, their forecast errors are explained by their own shocks, around 35%, by inflation shocks, 34%, and by interest rate shocks, 20%. The other transmission channels do not have, in the short and medium terms, significant influence on GDP forecast errors, except the asset prices; and inflation forecast errors are explained, in the short term, mainly by their own shocks, 85% on average. In the medium term, inflation forecast errors are explained 68% by inflation itself, 6% by GDP and the others transmission channels participate individually, with approximately 6%. These results are robust when controlled for commodity prices.

APA, Harvard, Vancouver, ISO, and other styles

40

Raji, Rahman Olanrewaju. "Testing the Relationship between Financial Inclusion, Institutional Quality and Inclusive Growth for Nigeria." Daengku: Journal of Humanities and Social Sciences Innovation 1, no. 1 (March 24, 2021): 18–28. http://dx.doi.org/10.35877/454ri.daengku393.

Full text

Abstract:

This paper examines the causal relationship between financial inclusion, institutional quality and inclusive growth within a four-variate ARDL-EC framework and forecast error variance decomposition technique for the period of 2003-2018 using quarterly data in Nigeria. The paper incorporates two variables to capture institutional quality (government effectiveness and regulatory quality) in order to eliminate variable omission bias in which most existing studies are characterised. Those adopted techniques conﬁrm the long-run and bi-causal relationships mainly between financial inclusion and inclusive growth in Nigeria. In addition, bi-directional causal relationships of the outcome of the study are also established between financial inclusion and government effectiveness, likewise between inclusive growth and regulatory quality mainly in the short-run. The results based on the model and empirical outputs suggest that for the authorities of this economy to achieve and sustain equitable growth, fully disciplined policies that can promote and enhance financial inclusion and inclusive growth of the greater proportion of the population should not be managed and handled by loosed hands This paper examines the causal relationship between financial inclusion, institutional quality and inclusive growth within a four-variate ARDL-EC framework and forecast error variance decomposition technique for the period of 2003-2018 using quarterly data in Nigeria. The paper incorporates two variables to capture institutional quality (government effectiveness and regulatory quality) in order to eliminate variable omission bias in which most existing studies are characterised. Those adopted techniques conﬁrm the long-run and bi-causal relationships mainly between financial inclusion and inclusive growth in Nigeria. In addition, bi-directional causal relationships of the outcome of the study are also established between financial inclusion and government effectiveness, likewise between inclusive growth and regulatory quality mainly in the short-run. The results based on the model and empirical outputs suggest that for the authorities of this economy to achieve and sustain equitable growth, fully disciplined policies that can promote and enhance financial inclusion and inclusive growth of the greater proportion of the population should not be managed and handled by loosed hands

APA, Harvard, Vancouver, ISO, and other styles

41

Al Rasasi, Moayad H. "Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model." Research in Applied Economics 10, no. 4 (December 18, 2018): 17. http://dx.doi.org/10.5296/rae.v10i4.14076.

Full text

Abstract:

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.

APA, Harvard, Vancouver, ISO, and other styles

42

Lutkepohl, Helmut. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models." Review of Economics and Statistics 72, no. 1 (February 1990): 116. http://dx.doi.org/10.2307/2109746.

Full text

APA, Harvard, Vancouver, ISO, and other styles

43

Orji, Anthony, Ikenna P. Nwodo, Jonathan E. Ogbuabor, and Onyinye I. Anthony Orji. "Estimating the size of Nigeria's output connectedness with China, India and USA: a normalised generalised forecast error variance decomposition approach." International Journal of Sustainable Economy 15, no. 1 (2023): 118. http://dx.doi.org/10.1504/ijse.2023.127741.

Full text

APA, Harvard, Vancouver, ISO, and other styles

44

Lütkepohl, Helmut, and D. S. Poskitt. "Estimating Orthogonal Impulse Responses via Vector Autoregressive Models." Econometric Theory 7, no. 4 (December 1991): 487–96. http://dx.doi.org/10.1017/s0266466600004722.

Full text

Abstract:

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.

APA, Harvard, Vancouver, ISO, and other styles

45

Szyszko, Magdalena, and Karolina Tura-Gawron. "Eurozone or national inflation projections: Which has greater impact on consumer expectations?" Panoeconomicus, no. 00 (2020): 14. http://dx.doi.org/10.2298/pan171128014s.

Full text

Abstract:

We compare the dependence of consumer inflation expectations on European Central Bank (ECB) inflation projections with that on national central bank (NCB) projections in four economies: Austria, Belgium, Finland, and Germany. We aim to assess whether the information published by central banks affects consumers, and whether inflation projections published by NCBs are more relevant to consumers than those published for the entire Eurozone. Inflation expectations were obtained from the Business and Consumer Surveys conducted by the Directorate General for Economic and Financial Affairs of the European Commission and quantified using the probabilistic method. The methodology covers: (1) forecast encompassing tests, (2) the Granger causality test, and (3) impulse response analysis complemented by (4) forecast error variance decomposition. The results suggest that the ECB outlook constitutes a more important factor in expectation formation. This article adds to the existing literature by comparing the impact of common and national projections on consumer expectations.

APA, Harvard, Vancouver, ISO, and other styles

46

Dwitama, Dimas Rastra, Lia Nazliana Nasution, Bakhtiar Efendi, and Wahyu Indah Sari. "The Effectiveness Of The Exchange Rate on The Amount of Foreign Exchange Reserves in Indonesia." Economic: Journal Economic and Business 1, no. 1 (October 3, 2022): 14–19. http://dx.doi.org/10.56495/ejeb.v1i1.226.

Full text

Abstract:

This study aims to analyze the interaction variables of fiscal transfer policy variables. (Foreign Exchange Reserves, Imports, Exports, Exchange Rates and GDP). This study uses secondary data or from 2000 - 2019. The data analysis model in this study uses the Vector Autoregression (VAR) model and is sharpened by Impulse Response Function (IRF) Analysis, Forecast Error Variance Decomposition (FEVD). The results of the VAR analysis show that previously (t – p) contributed to the current variable, both alone and to other variables. The results of the FEVD analysis show that all variables have a major contribution to the variables themselves in the short, medium and long term, namely Foreign Exchange Reserves, Imports, Exports, Exchange Rates and GDP. The results of the analysis of each variable of monetary policy transmission and the effectiveness of the Exchange Rate on Reserves Short, medium and longterm exchange rates show that policy transmission can maintain the Indonesian economy

APA, Harvard, Vancouver, ISO, and other styles

47

Kumamoto, Masao, and Juanjuan Zhuo. "Bank Lending Channel in Transmission of Monetary Policy in Japan, 2000–2012: The Sign Restrictions VAR Approach." Applied Economics and Finance 4, no. 2 (January 10, 2017): 87. http://dx.doi.org/10.11114/aef.v4i2.2137.

Full text

Abstract:

This paper investigates empirically whether the bank lending channel of monetary policy existed in Japan from 2000 to 2012. We employ the sign restrictions VAR approach to deal with the identification problem. In particular, we focus on the differential effects of a quantitative easing monetary policy regardless of bank (City banks vs. Regional banks) and firm (all enterprises vs. small and medium-sized enterprises－SMEs) size. Our impulse response function analyses show that following a quantitative easing monetary policy shock, the lending of Regional banks increases more than that of City banks, and the bank lending rate of Regional banks declines in a larger magnitude. Moreover, the responses of output to reserve supply are larger in Regional banks than that in City banks. Our variance decomposition analyses show that a larger proportion of the forecast error variance in the bank lending of Regional banks relative to City banks, and a larger proportion of the forecast error variance in the bank lending to SMEs relative to all firms can be explained by monetary policy shock. Similarly, the loans of Regional banks have a larger impact on output than the loans of City banks, and the loans to SMEs have a larger impact on output than the loans to all firms. Moreover, output is more affected by the reserve supply to Regional banks than to City banks. These results together indicate that a quantitative easing policy has a greater impact on the real economy through the lending of Regional banks.

APA, Harvard, Vancouver, ISO, and other styles

48

Goulet Coulombe, Philippe, and Maximilian Göbel. "On Spurious Causality, CO2, and Global Temperature." Econometrics 9, no. 3 (September 7, 2021): 33. http://dx.doi.org/10.3390/econometrics9030033.

Full text

Abstract:

Stips et al. (2016) use information flows (Liang (2008, 2014)) to establish causality from various forcings to global temperature. We show that the formulas being used hinge on a simplifying assumption that is nearly always rejected by the data. We propose the well-known forecast error variance decomposition based on a Vector Autoregression as an adequate measure of information flow, and find that most results in Stips et al. (2016) cannot be corroborated. Then, we discuss which modeling choices (e.g., the choice of CO2 series and assumptions about simultaneous relationships) may help in extracting credible estimates of causal flows and the transient climate response simply by looking at the joint dynamics of two climatic time series.

APA, Harvard, Vancouver, ISO, and other styles

49

TSEN, WONG HOCK. "THE REAL EXCHANGE RATE DETERMINATION: EMPIRICAL EVIDENCE FROM MALAYSIA." Singapore Economic Review 59, no. 02 (June 2014): 1450016. http://dx.doi.org/10.1142/s0217590814500167.

Full text

Abstract:

This study examines the real exchange rate determination in Malaysia. The result of the autoregressive distributed lag approach shows that an increase in the real interest rate differential, productivity differential, the real oil price or reserve differential will lead to an appreciation of the real exchange rate in the long run. The real oil price and reserve differential are important in the real exchange rate determination. The dynamic ordinary least squares (DOLS) estimator shows about the same conclusion of the autoregressive distributed lag approach. The result of the generalized forecast error variance decomposition shows that the real interest rate differential, productivity differential, the real oil price and reserve differential are generally important to the real exchange rate determination.

APA, Harvard, Vancouver, ISO, and other styles

50

Orji, Anthony, Ikenna Paulinus Nwodo, Onyinye Anthony Orji, and Jonathan Ogbuabor. "ESTIMATING THE SIZE OF NIGERIAS OUTPUT CONNECTEDNESS WITH CHINA, INDIA AND USA: A NORMALIZED GENERALIZED FORECAST ERROR VARIANCE DECOMPOSITION APPROACH." International Journal of Sustainable Economy 1, no. 1 (2023): 1. http://dx.doi.org/10.1504/ijse.2023.10045295.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Journal articles on the topic 'Forecast error variance decomposition'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles