Artículos de revistas: "Structural Vector Autoregressive Analysi"

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Lütkepohl, Helmut. "Structural vector autoregressive analysis for cointegrated variables". Allgemeines Statistisches Archiv 90, n.º 1 (marzo de 2006): 75–88. http://dx.doi.org/10.1007/s10182-006-0222-4.

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Shapor, Maria Alexandrovna y Rafael Rubenovich Gevogyan. "Features of the vector autoregression models application in macroeconomic research". Mezhdunarodnaja jekonomika (The World Economics), n.º 8 (10 de agosto de 2021): 634–49. http://dx.doi.org/10.33920/vne-04-2108-05.

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In this paper, we analyzed articles by foreign authors that use various vector autoregression models to calculate the impact of qualitative indicators on the economic processes of countries or a group of countries. In particular, the article analyzed the classical model of vector autoregression (VAR), panel model of autoregressive (PVAR), Bayesian model of autoregressive (BVAR), structural model of autoregressive (SVAR), and the global model of autoregressive (GVAR). Among the works using vector autoregressive models, the main emphasis is on financial indicators. Moreover, articles with non-trivial variables are rare. This is because financial macroeconomic variables in most cases have a direct impact on economic processes in the country. The analysis of financial indicators and the results obtained can play a significant role in the development of economic strategies in different states, since the results obtained with the help of vector autoregression models are usually quite accurate. The studied articles analyze the data of both developed and developing states or groups of states in different periods. The studied articles were classified according to several criteria, which were selected by the author to structure the work. Note that among the works using vector autoregressive models, the main emphasis is on financial indicators. Moreover, articles with non-trivial variables are rare. This is since financial macroeconomic variables in most cases have a direct impact on economic processes in the country. The analysis of financial indicators and the results obtained can play a significant role in the development of economic strategies in different states, since the results obtained with the help of vector autoregression models are usually quite accurate. In the conclusion of this study, the author presented conclusions based on the analysis of autoregressive models.

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Park, Sunghwa, Janghan Kwon y Taeil Kim. "An Analysis of the Dynamic Relationship between the Global Macroeconomy and Shipping and Shipbuilding Industries". Sustainability 13, n.º 24 (17 de diciembre de 2021): 13982. http://dx.doi.org/10.3390/su132413982.

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Using time-series data from January 2006 to February 2021, this study analyzed the effect of macroeconomic shocks on the shipping and shipbuilding industries. The Granger causality test, recursive structural vector autoregressive models, impulse response analysis, historical decomposition, and local projections model were used to identify the dynamic relationships between the variables and their dynamic effects, based on the results of the theoretical model and previous research. First, the Granger causality test demonstrated that the macroeconomic variables have causal relations with the shipping and shipbuilding industries. Second, the recursive structural vector autoregressive estimation demonstrated that the direction of the shocks from macroeconomic variables is statistically significantly, consistent with the theoretical model. The same results were found in the recursive structural vector autoregressive model and local projection impulse response analysis. Finally, the historical decomposition identified the main causal variables affecting the shipping and shipbuilding industries by period. These findings can help policymakers, operators of shipping and shipbuilding companies, and investors evaluate and make policy-supporting decisions on industry conditions.

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Vu, Viet-Hung, Zhaoheng Liu, Marc Thomas y Bruce Hazel. "Modal analysis of a light-weight robot with a rotating tool installed at the end effector". Proceedings of the Institution of Mechanical Engineers, Part C: Journal of Mechanical Engineering Science 231, n.º 9 (2 de diciembre de 2015): 1664–76. http://dx.doi.org/10.1177/0954406215619451.

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This paper investigates vibration of a moving flexible robot through modal analysis and by constructing vibration spectra of operational signals. A vector autoregressive model combined with a sliding window technique is used for signal processing in order to take into account system nonstationarity. Modal decomposition is conducted on the state matrix constructed from the appropriate vector autoregressive model parameters. A complete modal decomposition and spectrum construction algorithm able of highlighting the structural modes and harmonic excitations is presented. Through accurate identification from the vector autoregressive model, the method presented is able to discriminate, display and monitor the harmonics and structural modes during the processes investigated. This method is validated first by numerical simulation and then experimentally with a flexible robot performing three processes: moving a manipulator through the workspace, steady rotation of a grinder on the end effector and moving the manipulator combined with rotating the grinder. It is found on the operating robot that participation of the first structural mode is negligible when rotating the grinder but must be taken into account when moving the manipulator. The analysis presented and results obtained provide a sound basis for further investigation of vibroimpact behaviour in a robotic grinding process.

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Kurita, Takamitsu y Bent Nielsen. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms". Econometrics 7, n.º 4 (6 de octubre de 2019): 42. http://dx.doi.org/10.3390/econometrics7040042.

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This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis that is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided.

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Lütkepohl, Helmut y Thore Schlaak. "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis". Oxford Bulletin of Economics and Statistics 80, n.º 4 (6 de abril de 2018): 715–35. http://dx.doi.org/10.1111/obes.12238.

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Waiguru Muriuki, Samuel. "Structural Vector Autoregressive (SVAR) Analysis of Maize Prices and Extreme Weather Shocks". International Journal of Data Science and Analysis 4, n.º 5 (2018): 79. http://dx.doi.org/10.11648/j.ijdsa.20180405.12.

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Osman, Aminu, Joshua Sebu, Omowumi O. Iledare, Eric Amoo Bondzie y Mubarik Salifu. "Structural Vector Autoregressive Analysis of Crude Oil Price Shocks on Ghana’s Economy". Universal Journal of Finance and Economics 3, n.º 1 (3 de febrero de 2023): 1–18. http://dx.doi.org/10.31586/ujfe.2023.442.

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Wang, Shudong, Man Zhang, Yuanzhuo Wang y Hui Meng. "Construction of Grain Price Determinants Analysis Model Based on Structural Vector Autoregressive Model". Scientific Programming 2022 (19 de enero de 2022): 1–10. http://dx.doi.org/10.1155/2022/5694780.

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In 2020, the sudden global epidemic of novel coronavirus pneumonia (COVID-19) caused abnormal fluctuations in the global grain market and posed severe challenges to world grain security. Therefore, it is very important for countries around the world to analyze the determinants of grain price and put forward corresponding strategies to ensure grain safety. In this paper, we theoretically discussed the relationship between financial liquidity, speculation, and grain price for the first time. Based on the analysis of Fisher’s equation, this paper argues that the theoretical basis of grain financialization is closer to the volatility theory of the money market. Then, we employ the structural vector autoregression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity, and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are more significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.

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Márquez, Miguel A., Julián Ramajo y Geoffrey J. D. Hewings. "Measuring the spillover effects of public capital: a bi-regional structural vector autoregressive analysis". Letters in Spatial and Resource Sciences 3, n.º 3 (10 de julio de 2010): 111–25. http://dx.doi.org/10.1007/s12076-010-0042-8.

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Kim, T. R., K. F. Ehmann y S. M. Wu. "Identification of Joint Structural Parameters Between Substructures". Journal of Engineering for Industry 113, n.º 4 (1 de noviembre de 1991): 419–24. http://dx.doi.org/10.1115/1.2899716.

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A new methodology of combining the finite element model of a complex structure with its model obtained by experimental modal analysis techniques is presented to identify the joint stiffness and the damping characteristics between its substructures. First, the modal parameters of the structure with joints are extracted based on experimental data using Autoregressive Moving Average Vector models. Then, a condensation technique based on the Riccati iteration algorithm and the orthogonality conditions is applied to reduce the matrix order of the finite element model to match the order of the experimental model. Comparing the two models, the unknown joint parameters are estimated based on the least squares method. The accuracy and the effectiveness of the proposed method were verified through simulation studies.

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12

Abubakar, Attahir B. "Oil Price and Exchange Rate Nexus in Nigeria: Are there Asymmetries". Central Bank of Nigeria Journal of Applied Statistics, Vol. 10 No. 1 (27 de agosto de 2019): 1–28. http://dx.doi.org/10.33429/cjas.10119.1/6.

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This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price and exchange rate. Findings from the SVAR model show gradual appreciation (though with some time lag) of naira following positive shocks to oil price. The study recommends among others the need for diversification of foreign exchange earnings base of the economy, so as to minimise the effect of negative shocks to oil price.

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Kharismawan, Infan Nur, Rukun Santoso y Budi Warsito. "ANALISIS DAMPAK SHOCK VOLUME PERDAGANGAN SAHAM PADA INDEKS HARGA SAHAM CONSUMER GOODS DENGAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)". Jurnal Gaussian 7, n.º 2 (30 de mayo de 2018): 153–63. http://dx.doi.org/10.14710/j.gauss.v7i2.26647.

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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

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Damayanti, Sari. "Analisis Penerapan Kebijakan Moneter Suku Bunga Jangka Pendek pada Variabel-variabel Endogen MakroEkonomi Indonesia". Binus Business Review 5, n.º 2 (28 de noviembre de 2014): 638. http://dx.doi.org/10.21512/bbr.v5i2.1187.

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This study analyzed the impact of the implementation of monetary policy through short-term interest rates setting on the variation that occurs in the endogenous variables of Indonesian macro economy in the period of 2000-2009 by implementing the Structural Vector Autoregressive approach (SVAR) which is the development of Vector Autoregressive (VAR) modelling with Eviews program. By careful examination of the results, this study indicates that the value of interest rate changes is significantly associated with shocks that are associated with monetary policy. The monetary sector is heavily influenced by real GDP shock, liquidity, and inflation shock. However, the monetary sector is only slightly affected by the decomposition of the variance of the exchange rate, which is very sensitive to the inflation shock. The study also indicates that the endogenous variables in the value of changes in interest rates and real exchange rate of rupiah will be close to convergence in the long term. The endogenous variables are more susceptible to changes in variables derived from domestic, such as the level of demand for domestic currency liquidity, compared to variables derived from international capital exposure. Thus, the value of the variable interest rate changes can be used to reduce the potential risks derived from domestic money demand shock.

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Reichenbachas, Tomas. "Analysis of the development of the unemployment rate in Lithuania: application of the SVAR model". Ekonomika 94, n.º 3 (1 de enero de 2015): 86–95. http://dx.doi.org/10.15388/ekon.2015.3.8789.

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The paper analyses the dynamics of unemployment in Lithuania, using a structural vector autoregressive model (sVAR) with long-term restrictions proposed by Fabiani et al. (2001). In accordance with it, the unemployment rate is predetermined by economic shocks, some of them with long-term effects (structural) and some with short-term ones (cyclical). The greater part of changes in unemployment in the period of 2002 to 2014 were predetermined by cyclical shocks (of productivity and labour supply and demand). The cyclical unemployment, peaked in the years 2010 to 2011, amounted to ca. 6%. On the other hand, structural unemployment is slow to change, in the years of the economic boom (2006 to 2007) it amounted to ca. 8% (at the time, the cyclical unemployment was negative and the economy encountered overheating, while in 2014 structural unemployment was slightly higher and amounted to ca. 11%).

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Sekolah Tinggi Ilmu Ekonomi Y.A.I. Jakarta, Zara Tania Rahmadi y Adji Suratman Sekolah Tinggi Ilmu Ekonomi Y.A.I. Jakarta. "JUMPA Vol.3 No.1 Feb 2016 ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI DIVIDEND PAYOUT RATIO (DPR) DI PERUSAHAAN GO PUBLICK YANG TERDAFTAR DI BURSA EFEK INDONESIA SELAIN JASA KEUANGANDENGAN MODEL VECTOR AUTOREGRESIVE PERIODE 2009 -2013". Jurnal Manajemen dan Perbankan (JUMPA) 3, n.º 1 (29 de febrero de 2016): 69–86. http://dx.doi.org/10.55963/jumpa.v3i1.192.

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This research aimed to analyze the influence of factors such as current ratio, debt to asset ratio, debt to equity ratio, return on assets and return on equity of the company dividend policy with vector autoregressive models as a tool of analysis, Sample of this research is the company to go public in addition to the financial services listed in the Indonesia Stock Exchange (BEI) as many as 25 companies were observed for five years (2009-2013).The analytical method used in this research is panel data regression model (a combination of time series and cross section) and vector autoregressive models (VAR) by outlining this research model into several sub-structural. The research results with the VAR model shows that the current ratio, debt to asset ratio, return on assets have a significant influence on the dividend payout ratio and debt to equity ratio, return on equity does not have a significant influence on the dividend payout ratio.so itcan be concluded that this is dueif therate of return on asset sincreased currentm ratio automatically rises and dividend payments can be smoothlypaid outso as to provide symmetry between these variables.

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Adrangi, Bahram, Joseph Macri y Kambiz Raffiee. "Dynamic Analysis of Fiscal Policy in the United Kingdom". Journal of Economics and Public Finance 5, n.º 1 (17 de diciembre de 2018): 1. http://dx.doi.org/10.22158/jepf.v5n1p1.

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<p><em>This paper studies the effects of fiscal stimuli on the real GDP of the United Kingdom for the period of 1997 through the first quarter of 2017. Structural vector autoregressive and vector error correction models are estimated. Impulse responses from both models provide support for the Keynesian view that fiscal stimuli are associated with rises in the real GDP. Variance decomposition analysis shows that over time, depending which model is considered; tax cuts impart a positive effect on the real GDP in the range of 5 to 20 percent. Government expenditure shocks account for 8 to 15 percent of variations in the real GDP based on the two models. The multipliers of tax cuts and government expenditures initially rise reaching a peak in the ninth quarter and decline to 1.60 and 1.74 in three years, respectively. </em></p>

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Guerini, Mattia, Alessio Moneta, Mauro Napoletano y Andrea Roventini. "THE JANUS-FACED NATURE OF DEBT: RESULTS FROM A DATA-DRIVEN COINTEGRATED SVAR APPROACH". Macroeconomic Dynamics 24, n.º 1 (1 de agosto de 2018): 24–54. http://dx.doi.org/10.1017/s1365100518000445.

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In this paper, we investigate the causal effects of public and private debts on US output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on economic activity isJanus-faced. Public debt shocks have positive and persistent influence on economic activity. In contrast, rising private debt has a milder positive impact on gross domestic product, but it fades out over time. The analysis of the possible transmission mechanisms reveals that public debtcrowds inprivate consumption and investment. In contrast, mortgage debt fuels consumption and output in the short-run, but shrinks them in the medium-run.

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Khan, Muhammad Arshad y Ayaz Ahmed. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis." Pakistan Development Review 50, n.º 4II (1 de diciembre de 2011): 491–511. http://dx.doi.org/10.30541/v50i4iipp.491-511.

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This study examines the transmission channels through which the global food and oil price shocks affects selected macroeconomic variables including inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1-2011M7. An empirical analysis is carried out by employing structural vector autoregressive (SVAR) framework. Generalised Impulse Response Functions and Generalised Forecast Variance Decompositions are employed to track the impact of oil and food price shocks to Pakistan‘s economy. Results suggest that oil price shock affects industrial production, appreciates real effective exchange rate negatively and affect inflation and interest rate positively. Whereas, following food price shocks, industrial output increases. Similarly, interest rate and inflation rate responds positively following food price shocks. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The result clearly reveals that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and real effective exchange rate. However, among all, real effective exchange rate has seen a dominant source of variations in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of inflation (stagflation) in Pakistan. Keywords: Oil and Food Price Shocks, SVAR, GIRFs, GFEVDs, Pakistan

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Khan, Muhammad Arshad y Ayaz Ahmed. "Revisiting the macroeconomic effects of oil and food price shocks to Pakistan economy: a structural vector autoregressive (SVAR) analysis". OPEC Energy Review 38, n.º 2 (junio de 2014): 184–215. http://dx.doi.org/10.1111/opec.12020.

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Wu, Lili y Mingxu Li. "The Monetary Transmission Mechanism: An SVAR Analysis of the Four Municipalities in China". Applied Economics and Finance 5, n.º 1 (26 de diciembre de 2017): 81. http://dx.doi.org/10.11114/aef.v5i1.2839.

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This paper explores the role of housing markets in the transmission of monetary policy shocks across four Chinese municipalities, namely Beijing, Shanghai, Tianjin, and Chongqing. The analysis is based on identification of housing demand shocks, monetary policy shocks and credit supply shocks through a Structural Vector Autoregressive (SVAR) model estimated using monthly data for four cities from July 2005 to December 2015. The empirical results show great differences in the four cities as far as the housing market is concerned. They also indicate that housing plays a stronger role in the transmission of monetary policy shocks in Beijing and Shanghai than in Tianjin and Chongqing. These results are reasonably robust across several model specifications.

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Staszewska-Bystrova, Anna. "Monte Carlo Analysis of Forecast Error Variance Decompositions under Alternative Model Identification Schemes". Acta Universitatis Lodziensis. Folia Oeconomica 5, n.º 338 (28 de septiembre de 2018): 115–31. http://dx.doi.org/10.18778/0208-6018.338.07.

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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.

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Karoglou, Michail, Konstantinos Mouratidis y Sofoklis Vogiazas. "Estimating the Impact of Credit Risk Determinants in two Southeast European Countries: A Non-Linear Structural VAR Approach." Review of Economic Analysis 10, n.º 1 (7 de enero de 2018): 55–74. http://dx.doi.org/10.15353/rea.v10i1.1508.

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We study the impact of credit risk determinants on the Romanian and Bulgarian banking systems using a structural Markov Regime-Switching vector autoregressive (MRS-SVAR) analysis. To capture changes in the domestic macroeconomic conditions as well as the spillover effects from the Greek crisis we account for endogenous breaks in the mean and/or volatility dynamics. Our empirical results suggest that an increase of interest rate also increases the Romanian and Bulgarian credit risk in the short-run while in the medium and long-run it reduces it. We also find evidence of spillover effects from the Greek crisis on both the Romanian and Bulgarian banking system, which interestingly, are imminent in the low volatility regime.

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Zhu, Qing, Zhongyu Zhang, Rongyao Li, Kin Keung Lai, Shouyang Wang y Jian Chai. "Structural Analysis and Total Coal Demand Forecast in China". Discrete Dynamics in Nature and Society 2014 (2014): 1–10. http://dx.doi.org/10.1155/2014/612064.

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Considering the speedy growth of industrialization and urbanization in China and the continued rise of coal consumption, this paper identifies factors that have impacted coal consumption in 1985–2011. After extracting the core factors, the Bayesian vector autoregressive forecast model is constructed, with variables that include coal consumption, the gross value of industrial output, and the downstream industry output (cement, crude steel, and thermal power). The impulse response function and variance decomposition are applied to portray the dynamic correlations between coal consumption and economic variables. Then for analyzing structural changes of coal consumption, the exponential smoothing model is also established, based on division of seven sectors. The results show that the structure of coal consumption underwent significant changes during the past 30 years. Consumption of both household sector and transport, storage, and post sectors continues to decline; consumption of wholesale and retail trade and hotels and catering services sectors presents a fluctuating and improving trend; and consumption of industry sector is still high. The gross value of industrial output and the downstream industry output have been promoting coal consumption growth for a long time. In 2015 and 2020, total coal demand is expected to reach 2746.27 and 4041.68 million tons of standard coal in China.

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Khan, Muhammad Arshad y Saima Nawaz. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis". Pakistan Development Review 57, n.º 2 (1 de junio de 2018): 175–202. http://dx.doi.org/10.30541/v57i2pp.175-202.

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This study empirically examines the contribution of monetary fundamentals in explaining nominal exchange rate movements in the case of Pak-rupee vis-à-vis US-dollar over the period 1982Q2 to 2014Q2. The empirical results support the existence of cointegration relationship between nominal exchange rate and monetary fundamentals. The results reveal that relative money stocks and real income are the key drivers of exchange rate determination in Pakistan in the long-run. For dynamic interaction, the Structural Vector Autoregressive (SVAR) method is applied. Results from the SVAR show that the responses of exchange rate to shocks, originated from money supply, income, interest rate and inflation differentials, are consistent with the predictions of the flexible-price variant of the monetary model of exchange rate in the short-run. More specifically, the results indicate that inflation and interest rate differential explain maximum variations in exchange rate in the short-run. In essence, results suggest that monetary fundamentals are the key drivers of exchange rate fluctuations in Pakistan, especially in the short-run. JEL Classification: F31, F33, C32, F41 Keywords: Monetary Model, Exchange Rate, SVAR, Pakistan

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Wardhono, Adhitya, Ciplis Gema Qori'ah, M. Abd Nasir y Ariz Aprilia. "Analisis Dampak Indikator Makroekonomi terhadap Investasi Portofolio di ASEAN 4". Jurnal Ekonomi Indonesia 9, n.º 1 (18 de junio de 2020): 81–97. http://dx.doi.org/10.52813/jei.v9i1.43.

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Investasi portofolio merupakan jenis investasi yang rentan terhadap guncangan baik yang bersumber dari dalam maupun luar negeri. Tujuan dari studi ini adalah untuk mengetahui pengaruh guncangan variabel inflasi, suku bunga dan nilai tukar riil efektif terhadap aliran investasi portofolio di empat negara ASEAN pada periode 2001Q1–2018Q4. Hasil analisis dengan menggunakan metode Structural Vector Autoregressive (SVAR) menunjukkan bahwa suku bunga merupakan determinasi utama investasi portofolio di Singapura dan Filipina. Sedangkan inflasi dan nilai tukar menjadi determinasi utama investasi portofolio di Indonesia dan Malaysia. Studi ini merekomendasikan bahwa kebijakan pengelolaan arus modal dalam bentuk investasi portofolio sebaiknya mempertimbangkan variabel makroekonomi tersebut, mengingat besarnya potensi risiko yang dapat ditimbulkan terhadap stabilitas perekonomian terutama dalam jangka pendek.

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Szomolányi, Karol, Martin Lukáčik y Adriana Lukáčiková. "Impact of Terms-of-Trade on Slovakia, the Czech Republic, and Croatia in the Short Run". Naše gospodarstvo/Our economy 63, n.º 1 (1 de marzo de 2017): 3–13. http://dx.doi.org/10.1515/ngoe-2017-0001.

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AbstractThe terms-of-trade shocks are not main source of business cycles in three post-communist countries (i.e., Slovakia, the Czech Republic, and Croatia). The zero or negative reactions of the trade balance in terms-of-trade positive shocks in the countries exhibit the Obstfeld-Svensson-Razin effect, according to which the Harberger-Laursen-Metzler positive effect on terms-of-trade indicates that the smaller the trade balance, the more persistent the terms-of-trade shock is. The conclusions come from the structural vector autoregressive analysis of the cyclical components of terms-of-trade, trade balance, output, consumption, and investment in three post-communist countries.

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Hung, Ly Dai. "Exchange Rate Risk Premium in Vietnam". Malaysian Journal of Economic Studies 59, n.º 2 (26 de diciembre de 2022): 301–15. http://dx.doi.org/10.22452/mjes.vol59no2.7.

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This study characterises the exchange rate risk premium in the context of a small open economy with a controlled floating exchange rate regime. The empirical analysis applies the time-varying coefficients Bayesian structural vector autoregressive (TVC-BSVAR) model on data from the Vietnamese economy over a sample period from February 2012 to February 2019. The evidence shows that the risk premium varies over time, and increases with inflation and foreign direct investment capital inflows, but decreases with output growth and credit growth. The TVC-BSVAR model displayed highly accurate forecasting performance, accounting for nearly 94% of risk premium in a case study using the US dollar forward selling contract.

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Bulut, Umit. "May Monetary Transmission Lags Have a Role in Missing Inflation Targets in Turkey? Cointegration Tests with Structural Breaks and Structural VAR Analysis". International Journal of Economics and Finance 8, n.º 4 (23 de marzo de 2016): 93. http://dx.doi.org/10.5539/ijef.v8n4p93.

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This paper aims at estimating the monetary transmission lag in Turkey by utilizing quarterly data from 2006:1 to 2015:4. To this end, the paper, first, follows unit root tests and cointegration tests. Then, the paper employs structural vector autoregressive (SVAR) analysis. SVAR analysis explores that a positive one-unit standard deviation shock to real interest rate causes inflation to decrease in the eighth period and the decrease in inflation prolongs up to the tenth period. Therefore, SVAR analysis yields that the monetary transmission lag is two and a half years in Turkey. Based on its own findings and those of a previously produced paper which yields that the CBRT considers 12-month ahead expected inflation rate while it is steering interest rates, the paper thus argues that monetary transmission lags may have a role in missing inflation targets in Turkey along with some other factors. In conclusion, the paper argues that the CBRT should pay attention to 24-month ahead or 30-month ahead expected inflation rates instead of 12-month ahead expected inflation rate to achieve or run-up to inflation targets.

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Giudici, Paolo y Laura Parisi. "CoRisk: Credit Risk Contagion with Correlation Network Models". Risks 6, n.º 3 (12 de septiembre de 2018): 95. http://dx.doi.org/10.3390/risks6030095.

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We propose a novel credit risk measurement model for Corporate Default Swap (CDS) spreads that combines vector autoregressive regression with correlation networks. We focus on the sovereign CDS spreads of a collection of countries that can be regarded as idiosyncratic measures of credit risk. We model CDS spreads by means of a structural vector autoregressive model, composed by a time dependent country specific component, and by a contemporaneous component that describes contagion effects among countries. To disentangle the two components, we employ correlation networks, derived from the correlation matrix between the reduced form residuals. The proposed model is applied to ten countries that are representative of the recent financial crisis: top borrowing/lending countries, and peripheral European countries. The empirical findings show that the contagion variable derived in this study can be considered as a network centrality measure. From an applied viewpoint, the results indicate that, in the last 10 years, contagion has induced a “clustering effect” between core and peripheral countries, with the two groups further diverging through, and because of, contagion propagation, thus creating a sort of diabolic loop extremely difficult to be reversed. Finally, the outcomes of the analysis confirm that core countries are importers of risk, as contagion increases their CDS spread, whereas peripheral countries are exporters of risk. Greece is an unfortunate exception, as its spreads seem to increase for both idiosyncratic factors and contagion effects.

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BONGA-BONGA, LUMENGO y MDUDUZI BIYASE. "THE IMPACT OF THE CHINESE TEXTILE IMPORTS ON EMPLOYMENT AND VALUE ADDED IN THE TEXTILE INDUSTRY OF THE SOUTH AFRICAN ECONOMY". Global Economy Journal 19, n.º 02 (junio de 2019): 1950008. http://dx.doi.org/10.1142/s2194565919500088.

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With the increased trade linkage between China and African economies, this paper endeavours to assess the dynamic impacts of Chinese textile imports on employment and value added in the South African textile industry. This paper makes use of the structural vector autoregressive (SVAR) methodology with sign restriction. Moreover, based on this methodology, this paper conducts a counterfactual analysis to uncover what would have happened to employment and value added trends in the South African textile industry in the absence of trade with China. The results of the empirical analysis show that total employment responds negatively to shocks to import from China. Moreover, the results of the counterfactual analysis show that the South African economy could perform better without textile imports from China.

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32

Yang, Yixin. "The impact of innovation & entrepreneurship on the structural updating for certain industry based on empirical analysis". BCP Business & Management 34 (14 de diciembre de 2022): 103–10. http://dx.doi.org/10.54691/bcpbm.v34i.3001.

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During the COVID-19, the recovery of the world economy is facing a severe challenge. Specifically, a revolution in science and technology is developing in depth and due to the change of global economic industrial transformations are taking place gradually. For the sake of analyzing the effects of innovation and entrepreneurship on the upgrading of industrial structure (UIS), this study uses the data of the number of scientific and technological achievements, fiscal expenditure and industrial structure in China from 1995 to 2019 were selected as the research variables. Besides, the correlation between variables was analyzed based on vector autoregressive model (VAR), Johanse cointegration test, VECM, and also impulse response analysis. Empirical analysis indicates that a long-term equilibrium relationship exists between innovation and entrepreneurship, fiscal expenditure and the upgrading process. Innovation and entrepreneurship and fiscal expenditure have a positive effect in promoting the structure. These discussions shed light on guiding further exploration of guiding the main path break-throughs and policy management in the new era.

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H. Ibrahim, Mansor y Fadzlan Sufian. "A structural VAR analysis of Islamic financing in Malaysia". Studies in Economics and Finance 31, n.º 4 (30 de septiembre de 2014): 371–86. http://dx.doi.org/10.1108/sef-05-2012-0060.

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Purpose – The purpose of this paper is evaluate the interrelations between Islamic financing and key economic and financial variables including real output, price level, interest rate and stock prices for the case of Malaysia. Design/methodology/approach – The paper makes use of a structural vector autoregressive (SVAR) model to discern the influences of key economic and financial variables on the behavior of Islamic financing. Findings – The basic results indicate that Islamic financing responds positively to innovations in real output. In addition, the price level shocks also tend to have significant but lagged effects on the financing provision of Islamic banks. Most interestingly, Islamic financing is impacted negatively and immediately by positive interest rate shocks, contradicting the argument that Islamic bank operations are shielded from interest rate fluctuations. Indeed, the excess sensitivity of Islamic banks to interest rate fluctuations and their lagged responses to price level shocks are found to be robust across alternative SVAR specifications. Practical implications – Operating under a dual banking system, Islamic banks are not immune from monetary conditions of the country. Indeed, it seems to be exposed to the interest rate risk, an aspect that needs to be accounted for by Islamic banks in their risk management. Originality/value – With the emergence of Islamic finance industry, understanding the implications of various macroeconomic factors on Islamic financing is essential. This study adds to this understanding, which has received limited attention.

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34

Sabri, Mohd Syafiq, Norlin Khalid, Abdul Hafizh Mohd Azam y Tamat Sarmidi. "Impact Analysis of the External Shocks on the Prices of Malaysian Crude Palm Oil: Evidence from a Structural Vector Autoregressive Model". Mathematics 10, n.º 23 (5 de diciembre de 2022): 4599. http://dx.doi.org/10.3390/math10234599.

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Palm oil prices, similar to other edible oils and commodity prices, are highly sensitive to external shocks which have become particularly prominent in the wake of COVID-19 pandemic. The non-stationary nature of the palm oil price complicates the modelling and forecasting of its behaviour. This study investigates the impact of the external and internal shocks on Malaysian palm oil (MPO) prices using the SVAR methodology. The SVAR model utilised in this study is unique in that it employs the news-based indices called the Infectious Disease Volatility Tracker (IDVT) and the Economic Policy Uncertainty Index (EPUI) as parts of the time series. News-based indices can potentially uncover essential proxies for economic and policy conditions, as well as portend the investment decision-making and in turn the commodity prices. The rationale behind this choice is to capture the impact from perception and news-based indices on the Malaysian palm oil prices. The empirical result from impulse–response function (IRF) shows that the shock in IDVT has a significant positive impact on Malaysian palm oil prices suggesting the MPO is exposed to the external factor. In addition, amongst the external variables tested, IDVT shows the longest lasting and highest positive impact on Malaysian palm oil prices. These results are in accordance with forecast error variance decomposition which indicates that IDVT shock can explain a huge portion of MPO prices especially over a longer period. The model specified in this study is also sufficiently stable and robust. This study contributes to the literature the significance of news-based indices and their capability in influencing public perception on the current macroeconomic condition, hence influencing the decision-making process of economic agents.

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Alsudani, Rana Sabeeh Abood, Jicheng Liu y Zahrah Ismael Salman. "Forecasting mortality patterns of thalassaemia major patients in Iraq by using VAR model and reasons for this mortality". JOURNAL OF ADVANCES IN MATHEMATICS 12, n.º 11 (30 de diciembre de 2016): 6785–98. http://dx.doi.org/10.24297/jam.v12i11.18.

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The vector autoregression model (VAR) is a natural extension of the univariate autoregressive model dynamic multivariable time series. It is one of the most successful, flexible, and easy to use models for the analysis of multivariable time series. The VAR model has proved to be particularly useful describing the dynamic behaviour of economic and financial time series and forecasting. Often it provides superior forecasts to those of time-series models and univariate and detailed forecasts, based on the theory of simultaneous equation models. Expectations of VAR models are very flexible because they can be conditioned on possible paths for the future in the form of specific variables. In addition to describing the data and forecasting, the VAR model is used to deduce structural and policy analysis. This study used the VAR model for forecasting the number of deaths in patients with thalassemia in Maysan province in southern Iraq, and also addressed the causes of these deaths. There was a strong relationship between mortality in thalassemia patients and an increase in the proportion of iron and the highest number of deaths was recorded for patients who had a very high proportion of iron. It was â€žthe most important cause of mortality (Cardiac disease, infections, the liver, the spleen).

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36

Kyophilavong, Phouphet, Gazi Salah Uddin, Muhammad Shahbaz, Charles Harvie y Teerawat Charoenrat. "Money Demand in a Dollarized Economy: Evidence from Laos PDR". Asian Economic Papers 18, n.º 1 (marzo de 2019): 99–115. http://dx.doi.org/10.1162/asep_a_00663.

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This paper uses a time series perspective to examine the determinants and stability of the money demand function in the case of Laos PDR. An autoregressive distributed lag bounds testing approach to cointegration in the presence of structural breaks and Granger causality in a vector error correction method framework are applied to data covering the period 1992:Q1 to 2013:Q4. The results indicate that the money demand function is stable when exchange rate fluctuations are incorporated, and the causality analysis reveals that there is a feedback effect between money demand and the exchange rate in the long run. This implies that the exchange rate plays an important role in influencing money demand in the case of a dollarized economy such as that of Laos.

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37

Zou, Yajie, Xuedong Hua, Yanru Zhang y Yinhai Wang. "Hybrid short-term freeway speed prediction methods based on periodic analysis". Canadian Journal of Civil Engineering 42, n.º 8 (agosto de 2015): 570–82. http://dx.doi.org/10.1139/cjce-2014-0447.

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Short-term traffic speed forecasting is an important issue for developing Intelligent Transportation Systems applications. So far, a number of short-term speed prediction approaches have been developed. Recently, some multivariate approaches have been proposed to consider the spatial and temporal correlation of traffic data. However, as traffic data often demonstrates periodic patterns, the existing methodologies often fail to take into account spatial and temporal information as well as the periodic features of traffic data simultaneously in the multi-step prediction. This paper comprehensively evaluated the multi-step prediction performance of space time (ST) model, vector autoregression (VAR), and autoregressive integrated moving average (ARIMA) models using the 5 minute freeway speed data collected from five loop detectors located on an eastbound segment of Interstate 394 freeway, in Minnesota. To further consider the cyclical characteristics of freeway speed data, hybrid prediction approaches were proposed to decompose speed into two different components: a periodic trend and a residual part. A trigonometric regression function is introduced to capture the periodic component and the residual part is modeled by the ST, VAR, and ARIMA models. The prediction results suggest that for multi-step freeway speed prediction, as the time step increases, the ST model demonstrates advantages over the VAR and ARIMA models. Comparisons among the ST, VAR, ARIMA, and hybrid models demonstrated that modeling the periodicity and the residual part separately can better interpret the underlining structure of the speed data. The proposed hybrid prediction approach can accommodate the periodic trends and provide more accurate prediction results when the forecasting horizon is greater than 30 min.

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38

Moreira, Ricardo Ramalhete y Edson Zambon Monte. "Monetary and Fiscal Policies Interaction in a Large Emerging Economy: Which Is the Leader Policy?" International Journal of Economics and Finance 13, n.º 11 (22 de octubre de 2021): 77. http://dx.doi.org/10.5539/ijef.v13n11p77.

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This article analyzed the intertemporal interaction between monetary and fiscal policies in Brazil. We aimed at identifying if structural innovations to the real interest rate were able to induce unexpected effects on fiscal and inflation dynamics. To do so, we estimated Structural Vector Autoregressive (SVAR) models over the period from Jan/2004 to Apr/2019. Moreover, we filtered out the time series’ long-memory component through a fractional integration approach, so that we did not build our analysis on traditional unit root tests. The findings showed that monetary policy shocks robustly activated an unconventional transmission channel based on the Fiscal Theory of the Price Level, i.e., an unexpected and induced change in primary surpluses, through a wealth effect, as mechanism to satisfy the Government’s intertemporal budget constraint. Such a result is strongly linked to another evidence, that is, the monetary policy`s role as a leader in shaping inflation over time.

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39

Moreira, Ricardo Ramalhete y Edson Zambon Monte. "Monetary and Fiscal Policies Interaction in a Large Emerging Economy: Which Is the Leader Policy?" International Journal of Economics and Finance 13, n.º 11 (22 de octubre de 2021): 81. http://dx.doi.org/10.5539/ijef.v13n11p81.

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This article analyzed the intertemporal interaction between monetary and fiscal policies in Brazil. We aimed at identifying if structural innovations to the real interest rate were able to induce unexpected effects on fiscal and inflation dynamics. To do so, we estimated Structural Vector Autoregressive (SVAR) models over the period from Jan/2004 to Apr/2019. Moreover, we filtered out the time series’ long-memory component through a fractional integration approach, so that we did not build our analysis on traditional unit root tests. The findings showed that monetary policy shocks robustly activated an unconventional transmission channel based on the Fiscal Theory of the Price Level, i.e., an unexpected and induced change in primary surpluses, through a wealth effect, as mechanism to satisfy the Government’s intertemporal budget constraint. Such a result is strongly linked to another evidence, that is, the monetary policy`s role as a leader in shaping inflation over time.

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40

Acatrinei, Marius Cristian. "Spillover index for European business cycle". Journal of Financial Studies 5, n.º 9 (15 de noviembre de 2020): 49–57. http://dx.doi.org/10.55654/jfs.2021.5.9.05.

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"The Covid-19 pandemic has had a significant impact on the international economy. The paper analyses the interdependence between the business cycles of the European Union economies to capture the effect of the Covid-19 pandemic on them. Using cluster analysis on the monthly data of industrial production indices, two blocks of savings were identified within the European economy. In the second step with the help of an, a contagion index was estimated with a Vector Autoregressive model for the last 10 years. The results indicate a rapid response, transmitted by contagion, between European economies, leading to a change in the business cycles. The less developed economies absorbed the shocks asymmetrically generated by pandemics amid structural economic problems, which were pre-existing in these economies, thus allowing for a rapid expansion of economic shocks."

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41

KAPUSUZOGLU, Ayhan, Xi LIANG y Nildag Basak CEYLAN. "Macroeconomic impacts of global food price shocks on the economy of Turkey". Agricultural Economics (Zemědělská ekonomika) 64, No. 11 (26 de noviembre de 2018): 517–25. http://dx.doi.org/10.17221/261/2017-agricecon.

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The purpose of this study is to examine the impact of food prices on the macroeconomic variables of Turkey. The effects are investigated using monthly data for the period January 1980–January 2016. A structural vector autoregressive (SVAR) model is employed for the analysis. Impulse response functions are obtained to assess the impact of food price shocks on the macroeconomic variables of Turkey. To this end, SVAR model is employed as suggested by Cushman and Zha (1997). The impulse responses gathered suggest that the food price causes Turkish Lira (TRY) to appreciate and inflation to increase contemporaneously. This study provides an important contribution to the literature in terms of determining the factors and presenting the measures to be taken against these factors for Turkey which is a developing country and sensitive to macroeconomic factors.

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42

Yang, Xiaoping, Zhongxia Zhang, Zhongqiu Zhang, Liren Sun, Cui Xu y Li Yu. "A Long-Term Prediction Model of Beijing Haze Episodes Using Time Series Analysis". Computational Intelligence and Neuroscience 2016 (2016): 1–7. http://dx.doi.org/10.1155/2016/6459873.

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The rapid industrial development has led to the intermittent outbreak of pm2.5 or haze in developing countries, which has brought about great environmental issues, especially in big cities such as Beijing and New Delhi. We investigated the factors and mechanisms of haze change and present a long-term prediction model of Beijing haze episodes using time series analysis. We construct a dynamic structural measurement model of daily haze increment and reduce the model to a vector autoregressive model. Typical case studies on 886 continuous days indicate that our model performs very well on next day’s Air Quality Index (AQI) prediction, and in severely polluted cases (AQI ≥ 300) the accuracy rate of AQI prediction even reaches up to 87.8%. The experiment of one-week prediction shows that our model has excellent sensitivity when a sudden haze burst or dissipation happens, which results in good long-term stability on the accuracy of the next 3–7 days’ AQI prediction.

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Ahundjanov, Behzod B., Sherzod B. Akhundjanov y Botir B. Okhunjanov. "Information Search and Financial Markets under COVID-19". Entropy 22, n.º 7 (20 de julio de 2020): 791. http://dx.doi.org/10.3390/e22070791.

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The discovery and sudden spread of the novel coronavirus (COVID-19) exposed individuals to a great uncertainty about the potential health and economic ramifications of the virus, which triggered a surge in demand for information about COVID-19. To understand financial market implications of individuals’ behavior upon such uncertainty, we explore the relationship between Google search queries related to COVID-19—information search that reflects one’s level of concern or risk perception—and the performance of major financial indices. The empirical analysis based on the Bayesian inference of a structural vector autoregressive model shows that one unit increase in the popularity of COVID-19-related global search queries, after controlling for COVID-19 cases, results in 0.038 – 0.069 % of a cumulative decline in global financial indices after one day and 0.054 – 0.150 % of a cumulative decline after one week.

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44

Çelik, Mahmut y Ayla Oğuş Binatlı. "How Effective Are Macroprudential Policy Instruments? Evidence from Turkey". Economies 10, n.º 4 (24 de marzo de 2022): 76. http://dx.doi.org/10.3390/economies10040076.

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This study provides an empirical analysis of the two macroprudential instruments, namely the reserve option mechanism and the interest rate corridor, employed by the Central Bank of the Republic of Turkey in the aftermath of the global financial crisis. A nine-variable structural vector autoregressive model for Turkey is estimated with Bayesian techniques utilising data from October 2010 to May 2018. A set of timing, zero and sign restrictions are imposed to identify the reserve requirement and the interest rate shocks through the bank lending channel. The results reveal that the new policy frame is efficient in curbing the volatility in the exchange rates and in improving the current account balance. While the reserve requirements seem to be more effective on the current account and partly on the exchange rate, the interest rate fares better in controlling the price level.

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45

Yıldırım, Mustafa y Mehmet İvrendi. "House prices and the macroeconomic environment in Turkey: The examination of a dynamic relationship". Ekonomski anali 62, n.º 215 (2017): 81–110. http://dx.doi.org/10.2298/eka1715081y.

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The aim of this paper is to examine the dynamic relationship between house prices, income, interest rates, housing permits, and share prices in Turkey, using Structural Vector Autoregressive (SVAR) models. This paper uses both monthly and quarterly data for the Turkish economy and applies four different SVAR models to reveal this dynamic relationship over the 2003-2016 period. The results show statistically significant and substantial relationships between the variables. The analysis also shows that house prices and housing permits as housing market variables are very sensitive to monetary policy and income shocks. The key finding of the study for policymakers is that a change in mortgage rates is the factor that most changes house prices. The study also shows that the housing market plays an important role in transferring monetary policy to the real economy in Turkey.

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46

Swaray, Saidu. "The Transmission Channel of Monetary Policy to the Real Economy Revisited: Evidence From Sierra Leone". Applied Economics and Finance 9, n.º 3 (18 de julio de 2022): 21. http://dx.doi.org/10.11114/aef.v9i3.5649.

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This study examined the transmission channel of monetary policy to real economy in Sierra Leone using quarterly data from 2002 to 2018. The non-recursive structural vector autoregressive technique was employed to identify the channel of monetary policy transmission to the real economy. This technique was considered appropriate because it has two-way or bidirectional causal effects among endogenous variables and ordering of endogenous variables are considered flexible. Analysis of data shows that the exchange rate channel was found to be appropriate in transmitting monetary policy effect to real economy based on the results of impulse response and variance decomposition analysis. In light of the empirical findings, the study recommended that in a bid to have an effective monetary policy, the channels of monetary policy transmission, especially the exchange rate channel, should be taken into consideration in the design of monetary policy in Sierra Leone.

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47

Bali, Morad. "Contemporary Literature Review of the Russian Rouble Determinants". Economics. Law. Innovaion, n.º 1 (30 de marzo de 2021): 26–31. http://dx.doi.org/10.17586/2713-1874-2021-1-26-31.

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This short literature review’s goal is to examine available papers regarding the study of Russian Rouble determinants. For purpose of analysis, 35 articles were studied among which 22 were selected, for a total of 414 pages shelled. This work analyzes most recent empirical articles, in order to identify factors responsible for the Russian currency fluctuations. Different models will be compared to learn if some are more effective than others, from basic Linear regression to Structural vector autoregressive, through Ordinary least squares or Vector error correction models. Moreover, a very special and particular attention will be paid to variables used. Which combinations of variables are used to study factors influencing the Russian currency? While it seems vital to include oil prices, interest rate, and consumer price index, is it important to have them all together in the same model? Are results among papers similar? In addition, would it be necessary to add variables such as GDP, gold price, gas price, M2 aggregate or sanctions? However, this paper will compare data from each model and try to find out if there is one best way to study the Russian currency determinants.

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48

Fukuda, Takashi. "Malaysia’s Energy-Growth Nexus and Environmental Kuznets Curve Hypothesis: Empirical Analysis Using the VECM and ARDL Cointegration Techniques". Journal of Asian Development 8, n.º 1 (16 de noviembre de 2021): 1–27. http://dx.doi.org/10.52941/jad.v8i1.22.

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This paper investigated Malaysia’s energy-growth nexus and environmental Kuznets curve (EKC) hypothesis over the period 1971-2014 by taking the globalization variables of trade openness and foreign direct investment (FDI) and the structural break dummy of the Asian financial crisis of 1997 into estimation. To give interference, the Granger causality tests were implemented in the framework of two cointegration techniques: vector error correction model (VECM) and autoregressive distributed lag (ARDL). As per Malaysia’s energy-growth nexus, referring to different results of the two approaches, we concluded that the presence of the energy-growth nexus was statistically confirmed, but it has not been fully established yet in the country. On the other hand, both the VECM and ARDL results provided the same conclusion for Malaysia’s EKC hypothesis, that is, in the initial stage, as the higher economic growth, the less CO2 emissions, but after a threshold, the higher economic growth, the more CO2 emissions.

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49

Benlagha, Noureddine y Lanouar Charfeddine. "Analysis of the Effect of the European Debt Crisis on the Saudi Arabian Economy". Studies in Business and Economics 24, n.º 1 (diciembre de 2021): 61–85. http://dx.doi.org/10.29117/sbe.2021.0127.

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This paper investigates the economic impact of the 2009 European debt crisis on Saudi Arabia’s real economy from 2004 Q2 to 2014 Q2 using a structural vector autoregressive model (SVAR). The results of the impulse response functions obtained from the aggregated data show that the shock to European imports from Saudi Arabia had a significant impact on the real effective exchange rate, inflation rate, and economic growth that lasted for three periods. Moreover, the variance decomposition analysis shows that Europe’s imports from Saudi Arabia explain approximately 20% of the variance of the Saudi real effective exchange rate and real economic growth, 10% of the interest rate variability, and only 5% of the inflation rate variance. The results of the individual country analysis show that the impact of shocks to imports from all European countries had an instantaneous impact, except for France and Spain, where the impact on the economic growth was significant in the second and sixth periods respectively. The results suggest that Saudi Arabian policymakers should continue the process of export diversification in order to reduce its dependence on this region.

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50

Diallo, Amadou Woury. "Causes of Current Account Fluctuations in West African Monetary Union". Asian Journal of Economics and Empirical Research 7, n.º 1 (24 de marzo de 2020): 46–63. http://dx.doi.org/10.20448/journal.501.2020.71.46.63.

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This study analyzes the sources of current account fluctuations in the West African Monetary Union (WAEMU) economies over the period from 1980 to 2017. It is part of the inter-temporal approach which considers that the dynamics of the current account of a country is influenced by global shocks and transient or permanent domestic shocks. Thus, we developed a three-variable structural autoregressive vector model. This is the international real interest rate that represents the aggregate shock, the ratio of current account to gross domestic product which is the proxy for transient domestic shocks, and the ratio of net output to gross domestic product to measure impact of permanent shocks to the current account. From the theoretical model, structural shocks are identified by applying the long-term restrictions imposed by the inter-temporal approach in the analysis of current account dynamics. The study leads to three major results: 1) current account fluctuations within WAEMU are explained by transient domestic shocks, 2) net product fluctuations are due to permanent domestic shocks, 3) Global or exogenous shocks have a modest contribution to current account fluctuations, but their effects on net income are still significant, especially in the long run.

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