Щоб переглянути інші типи публікацій з цієї теми, перейдіть за посиланням: Generalized Impulse Response Functions.
Статті в журналах з теми "Generalized Impulse Response Functions"
Оформте джерело за APA, MLA, Chicago, Harvard та іншими стилями
Ознайомтеся з топ-50 статей у журналах для дослідження на тему "Generalized Impulse Response Functions".
Біля кожної праці в переліку літератури доступна кнопка «Додати до бібліографії». Скористайтеся нею – і ми автоматично оформимо бібліографічне посилання на обрану працю в потрібному вам стилі цитування: APA, MLA, «Гарвард», «Чикаго», «Ванкувер» тощо.
Також ви можете завантажити повний текст наукової публікації у форматі «.pdf» та прочитати онлайн анотацію до роботи, якщо відповідні параметри наявні в метаданих.
Переглядайте статті в журналах для різних дисциплін та оформлюйте правильно вашу бібліографію.
1
Karamé, F. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR." Economics Letters 117, no. 1 (October 2012): 230–34. http://dx.doi.org/10.1016/j.econlet.2012.04.089.
Повний текст джерела
2
Bação, Pedro, António Portugal Duarte, Helder Sebastião, and Srdjan Redzepagic. "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?" Scientific Annals of Economics and Business 65, no. 2 (June 1, 2018): 97–117. http://dx.doi.org/10.2478/saeb-2018-0013.
Повний текст джерелаАнотація:
Abstract This paper investigates the information transmission between the most important cryptocurrencies - Bitcoin, Litecoin, Ripple, Ethereum and Bitcoin Cash. We use a VAR modelling approach, upon which the Geweke’s feedback measures and generalized impulse response functions are computed. This methodology allows us to fully characterize the direction, intensity and persistence of information flows between cryptocurrencies. At this data granularity, most of information transmission is contemporaneous. However, it seems that there are some lagged feedback effects, mainly from other cryptocurrencies to Bitcoin. The generalized impulse-response functions confirm that there is a strong contemporaneous correlation and that there is not much evidence of lagged effects. The exception appears to be related to the overreaction of Bitcoin returns to contemporaneous shocks.
3
Al-Shayeb, Abdulrahman, and Abdulnasser Hatemi-J. "Trade openness and economic development in the UAE: an asymmetric approach." Journal of Economic Studies 43, no. 4 (September 12, 2016): 587–97. http://dx.doi.org/10.1108/jes-06-2015-0094.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to offer a review of the trade policy in the UAE. It also investigates the dynamic interaction between trade openness and GDP per capita in this emerging economy. Design/methodology/approach The asymmetric generalized impulse response functions and the asymmetric causality tests developed by Hatemi-J are used. Findings The results from asymmetric generalized impulse response functions indicate that a positive permanent shock in the trade openness results in a significant positive response in the cumulative sum of the positive component of the GDP per capita. Such a response is not found for the negative shocks in the trade openness. Furthermore, neither a positive nor a negative shock in the GPD per capita results in any significant response in the trade openness. These empirical findings are also supported by the implemented asymmetric causality tests. Originality/value This is the first attempt that investigates the impact of trade openness on economic performance in the UAE. Unlike previous literature on the topic, this paper allows for asymmetric impacts in the empirical model.
4
Hatemi-J, Abdulnasser, and Youssef El-Khatib. "The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach." Journal of Economic Studies 47, no. 7 (April 29, 2020): 1579–89. http://dx.doi.org/10.1108/jes-06-2019-0266.
Повний текст джерелаАнотація:
PurposeThis paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose.Design/methodology/approachThe symmetric and asymmetric generalized impulse response functions are estimated for these important economic indicators.FindingsThe empirical findings show that if the dollar rate increases (i.e. the dollar depreciates), the oil price will increase. The reverse relationship is also supported empirically meaning that an increase in the oil price will results in a significant depreciation of the dollar rate. Based on the asymmetric impulses responses, it can also be claimed that the negative interaction is only significant for the positive changes and not for the negative ones. Thus, the underlying variables are negatively interrelated only for the positive shocks since a negative shock from any variable does not seem to have any significant impact on the other variable. These results have implications for cross hedging of price risk.Originality/valueTo the best knowledge, this is the first attempt to investigate the relationship between the dollar weighted exchange rate and the oil pieces via the asymmetric impulse response functions. Both of these variables and their interactions are very important for investors as well as policy makers worldwide.
5
YANG, Zi-Jiang, Teruo TSUJI, and Takaya SHONO. "Impulse Response Identification of Continuous Systems Using Generalized Radial Basis Function Networks." Transactions of the Society of Instrument and Control Engineers 31, no. 1 (1995): 14–21. http://dx.doi.org/10.9746/sicetr1965.31.14.
Повний текст джерела
6
Alvarez, Fernando, Francesco Lippi, and Aleksei Oskolkov. "The Macroeconomics of Sticky Prices with Generalized Hazard Functions." Quarterly Journal of Economics 137, no. 2 (November 8, 2021): 989–1038. http://dx.doi.org/10.1093/qje/qjab042.
Повний текст джерелаАнотація:
Abstract We give a full analytic characterization of a large class of sticky-price models where the firm’s price-setting behavior is described by a generalized hazard function. Such a function allows for a vast variety of empirical hazards to be fitted. This setup is microfounded by random adjustment costs, as in Caballero and Engel (1999), or by information frictions, as in Woodford (2009). We establish two main results. First, we show how to identify all the primitives of the model, including the distribution of the fundamental adjustment costs and the implied generalized hazard function, using the distribution of price changes. Second, we derive a sufficient statistic for the aggregate effect of a monetary shock: given an arbitrary generalized hazard function, the cumulative impulse response of output to a once-and-for-all monetary shock is proportional to the ratio of the kurtosis of the steady-state distribution of price changes over the frequency of price adjustment. We prove that Calvo’s model yields the upper bound and Golosov and Lucas’s model the lower bound on this measure in the class of random menu cost models.
7
Nuru, Naser Yenus, and Hiluf Techane Gidey. "THE EFFECT OF EXCHANGE RATE UNCERTAINTY ON DOMESTIC INVESTMENT IN ETHIOPIA." INDIAN JOURNAL OF FINANCE AND ECONOMICS 3, no. 1 (2022): 91–102. http://dx.doi.org/10.47509/ijfe.2022.v03i01.07.
Повний текст джерелаАнотація:
There is no yet clear theoretical and empirical consensus on the relationship between exchange rate uncertainty and domestic investment. The main purpose of this study, therefore, is to examine the effect of real effective exchange rate uncertainty on domestic investment for the Ethiopian economy over the sample period 1992Q1- 2016Q1. To address this objective, Jordà’s (2005) local projection method is employed and generalized impulse response functions are generated in this study. The impulse response functions exhibit that one standard deviation shock in exchange rate uncertainty stimulates domestic investment for the Ethiopian economy. In response to one standard deviation shock in exchange rate uncertainty, domestic investment increases to around 4 percent at the second quarter. This may indicate the existence of risk neutral or insensitive domestic investors to exchange rate uncertainty in Ethiopia. As to the effects of other control variables, domestic investment also increases in response to real income and real effective exchange rate shocks. The effect of inflation shock on domestic investment is positive and statistically significant up to the eighth quarter, and negative and significant afterwards.
8
Rahman, Sajjadur, and Apostolos Serletis. "THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS." Macroeconomic Dynamics 15, S3 (November 2011): 437–71. http://dx.doi.org/10.1017/s1365100511000204.
Повний текст джерелаАнотація:
In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.
9
Dugda, Mulugeta, and Farzad Moazzami. "Generalized Pattern Search Algorithm for Crustal Modeling." Computation 8, no. 4 (December 8, 2020): 105. http://dx.doi.org/10.3390/computation8040105.
Повний текст джерелаАнотація:
In computational seismology, receiver functions represent the impulse response for the earth structure beneath a seismic station and, in general, these are functionals that show several seismic phases in the time-domain related to discontinuities within the crust and the upper mantle. This paper introduces a new technique called generalized pattern search (GPS) for inverting receiver functions to obtain the depth of the crust–mantle discontinuity, i.e., the crustal thickness H, and the ratio of crustal P-wave velocity Vp to S-wave velocity Vs. In particular, the GPS technique, which is a direct search method, does not need derivative or directional vector information. Moreover, the technique allows simultaneous determination of the weights needed for the converted and reverberated phases. Compared to previously introduced variable weights approaches for inverting H-κ stacking of receiver functions, with κ = Vp/Vs, the GPS technique has some advantages in terms of saving computational time and also suitability for simultaneous determination of crustal parameters and associated weights. Finally, the technique is tested using seismic data from the East Africa Rift System and it provides results that are consistent with previously published studies.
10
Šumichrast, L’Ubomír. "Unified approach to the impulse response and green function in the circuit and field theory, part I: one–dimensional case." Journal of Electrical Engineering 63, no. 5 (November 1, 2012): 273–80. http://dx.doi.org/10.2478/v10187-012-0040-8.
Повний текст джерелаАнотація:
In the circuit theory the concept of the impulse response of a linear system due to its excitation by the Dirac delta function ƍ(t) together with the convolution principle is widely used and accepted. The rigorous theory of symbolic functions, sometimes called distributions, where also the delta function belongs, is rather abstract and requires subtle mathematical tools [1], [2], [3], [4]. Nevertheless, the most people intuitively well understand the delta function as a derivative of the (Heaviside) unit step function 1(t) without too much mathematical rigor. The concept of the impulse response of linear systems is here approached in a unified manner and generalized to the time-space phenomena in one dimension (transmission lines), as well as in a subsequent paper [5] to the phenomena in more dimensions (static and dynamic electromagnetic fields).
11
LEE, KEUNHWA, YOUNGMIN CHU, and WOOJAE SEONG. "GEOMETRICAL RAY-BUNDLE REVERBERATION MODELING." Journal of Computational Acoustics 21, no. 03 (July 3, 2013): 1350011. http://dx.doi.org/10.1142/s0218396x13500112.
Повний текст джерелаАнотація:
The classical ray approach for monostatic ocean boundary reverberation has been re-examined based on a geometrical ray-bundle concept. In this new formulation, the impulse response for the averaged scattering intensity is expressed by a simple function consisting of continuous ray-bundle quantities with respect to the time, and which can be regarded as a generalized function for ray-based reverberation in a boundary cell. To numerically evaluate this impulse response, a zeroth- and a first-order polynomial interpolation method are respectively applied to approximate the ray-bundle quantities. Then, the impulse function is reduced to the forms of the delta function and the rectangular function either with or without linear amplitude modulation linear in time. These basic functions are used to develop an explicit numerical scheme for the monostatic reverberation, which originates in the split-step marching algorithm for the range. This numerical scheme provides a considerable accuracy even with larger range steps and gives reasonable results for numerical examples of ocean waveguides with isovelocity, summer, and winter sound-speed profiles.
12
Khan, Muhammad Arshad, and 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, no. 4II (December 1, 2011): 491–511. http://dx.doi.org/10.30541/v50i4iipp.491-511.
Повний текст джерелаАнотація:
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
13
Rahim, Shafinah, and Fatin Nur Nadia Bakar. "The impact of selected macro variables on child labor in Indonesia." Journal of Emerging Economies and Islamic Research 5, no. 3 (September 30, 2017): 21. http://dx.doi.org/10.24191/jeeir.v5i3.8828.
Повний текст джерелаАнотація:
This study investigates the impact of government expenditure, household expenditure and adult unemployment on child labour in Indonesia between 1985 and 2014. The data from the World Bank Indicators tested using Johansen &Juselius Cointegration (J&J), Vector Error Correction Model (VECM), Granger Causality, Generalized Variance Decomposition (GVDCs) and Generalized Impulse Response Functions (GIRFs) show thatthere are long run and short run relationships between the variables. Hence,the need to improve on policiesrelating to encouraging children to attend school without affecting their family income becomes critical. In addition household consumption pattern and spending decisions may require adjustment with the support of the authorities so as to assist the common man in prioritising their basic development needs, especially education.
14
Grebenuk, G., and M. Veshkin. "Internal friction influence on the calculation results and rod system optimization under impulse action." Journal of Physics: Conference Series 2131, no. 3 (December 1, 2021): 032086. http://dx.doi.org/10.1088/1742-6596/2131/3/032086.
Повний текст джерелаАнотація:
Abstract An algorithm for calculating elastic rod systems under the action of impulse loads, using a complex model of internal friction in the material, has been developed and implemented in software. Very short (instantaneous) and extended in time impulses are considered as variants of impulse action. The importance of taking into account the vibration energy dissipation due to internal friction in the material of the structure is shown, considering impulse effects. The implemented software module is used to calculate the dynamic responses of the system in the search for the optimal solution of the control program for the selected variable parameters, target and restrictive functions. The problem of optimizing a flat frame system loaded with static and impulse loads has been posed and solved. An algorithm for finding an optimal solution is considered. Variants of dividing variable parameters into generalized groups are discussed. The minimum volume of material, spent on the structure, is taken as an optimality criterion. Analysis of the influence of the pulse duration of a given value on the calculation results without and with internal friction, as well as a comparative analysis of the optimal designs obtained without and with internal friction in the material and various tolerances for horizontal displacements. The results obtained indicate a significant effect of internal friction on the characteristics of the optimal design, especially with active movement restrictions.
15
Wang, Wenbo, Dieu Thanh Le, and Hail Park. "Is Foreign Exchange Intervention a Panacea in Diversified Circumstances? The Perspectives of Asymmetric Effects." Sustainability 12, no. 7 (April 6, 2020): 2913. http://dx.doi.org/10.3390/su12072913.
Повний текст джерелаАнотація:
Owing to the country’s heavy reliance on exports, the role of foreign exchange intervention in South Korea’s economic development is self-evident. The effectiveness of the intervention is what we are concerned with in this paper. Recently, a growing body of literature has engaged in exploring the asymmetric effects of foreign exchange intervention both theoretically and empirically. Against this background, we employ a threshold vector autoregression (TVAR) model in parallel with its generalized impulse response functions (GIRFs) to show that there are asymmetric effects of the Bank of Korea (BOK)-led interventions regardless of the volatility regimes.
16
Khumalo, John. "Business confidence and inflation in South Africa: variance decomposition and GIRF analysis." Corporate Ownership and Control 11, no. 1 (2013): 864–71. http://dx.doi.org/10.22495/cocv11i1c10p4.
Повний текст джерелаАнотація:
The study empirically investigates how business confidence responds to inflation shock in South Africa using the quarterly time series data spanning the period 1993Q1 – 2013Q1. The variance decomposition revealed that although inflation accounted for about 2 percent in the initial stages, it did account for about 27 percent to shocks in business confidence at later stages. The Generalized Impulse Response Functions (GIRF) also confirmed that inflation uncertainty does cause some negative shocks on how business managers/owners perceive the future of their business prospects. These results show that there is a negative relationship between business confidence and inflation in South Africa.
17
Šumichrast, L’ubomír. "Unified approach to the impulse response and green function in the circuit and field theory part II : multi–dimensional case." Journal of Electrical Engineering 63, no. 6 (December 1, 2012): 341–48. http://dx.doi.org/10.2478/v10187-012-0051-5.
Повний текст джерелаАнотація:
In the circuit theory the concept of the impulse response of a linear system due to its excitation by the Dirac delta function δ(t) together with the convolution principle is widely used and accepted. The rigorous theory of symbolic functions, sometimes called distributions, where also the delta function belongs, is rather abstract and requires subtle mathematical tools [1-4]. Nevertheless, the most people intuitively well understand the delta function as a derivative of the (Heaviside) unit step function 1(t) without too much mathematical rigor. In the previous part [5] the concept of the impulse response of linear systems was approached in a unified manner and generalized to the time-space phenomena in one dimension (transmission lines). Here the phenomena in more dimensions (static and dynamic electromagnetic fields) are treated. It is shown that many formulas in the field theory, which are often postulated in an inductive way as results of the experiments, and therefore appear as “deux ex machina” effects, can be mathematically deduced from a few starting equations.
18
Juchem, Jasper, Amélie Chevalier, Kevin Dekemele, and Mia Loccufier. "First order plus fractional diffusive delay modeling: Interconnected discrete systems." Fractional Calculus and Applied Analysis 24, no. 5 (October 1, 2021): 1535–58. http://dx.doi.org/10.1515/fca-2021-0064.
Повний текст джерелаАнотація:
Abstract This paper presents a novel First Order Plus Fractional Diffusive Delay (FOPFDD) model, capable of modeling delay dominant systems with high accuracy. The novelty of the FOPFDD is the Fractional Diffusive Delay (FDD) term, an exponential delay of non-integer order α, i.e. e −(Ls) α in Laplace domain. The special cases of α = 0.5 and α = 1 have already been investigated thoroughly. In this work α is generalized to any real number in the interval ]0, 1[. For α = 0.5, this term appears in the solution of distributed diffusion systems, which will serve as a source of inspiration for this work. Both frequency and time domain are investigated. However, regarding the latter, no closed-form expression of the inverse Laplace transform of the FDD can be found for all α, so numerical tools are used to obtain an impulse response of the FDD. To establish the algorithm, several properties of the FDD term have been proven: firstly, existence of the term, secondly, invariance of the time integral of the impulse response, and thirdly, dependency of the impulse response’s energy on α. To conclude, the FOPFDD model is fitted to several delay-dominant, diffusive-like resistors-capacitors (RC) circuits to show the increased modeling accuracy compared to other state-of-the-art models found in literature. The FOPFDD model outperforms the other approximation models in accurately tracking frequency response functions as well as in mimicking the peculiar delay/diffusive-like time responses, coming from the interconnection of a large number of discrete subsystems. The fractional character of the FOPFDD makes it an ideal candidate for an approximate model to these large and complex systems with only a few parameters.
19
El-Bakari, A., R. Dkiouak, A. Khamlichi, E. Jacquelin, and A. Limam. "Influence of mesh size and truncation order on reconstruction of impact force on composite elastic beams." International Review of Applied Sciences and Engineering 3, no. 2 (December 1, 2012): 105–11. http://dx.doi.org/10.1556/irase.3.2012.2.3.
Повний текст джерелаАнотація:
Abstract Reconstructing impact forces can improve considerably structural health monitoring as the extent of damage can be better made out. In this work an inverse problem formulation to identify the pressure generated by a non punctual impact is investigated. Considering the case of linear elastic layered composite structures, reconstruction of impact pressure is performed through a finite element model of the structure and impulse response functions between the impact zone and sensors placed at known positions. Assuming that the pressure is uniform, reconstruction is carried out by regularized deconvolution based on generalized singular value decomposition. The infl uence of mesh size, modal truncation and time sampling on the reconstructed pressure is discussed.
20
FARAZ, NASEEM, and ZAINAB IFTIKHAR. "THE REGIONAL ASYMMETRIC RESPONSES TO CENTRAL BANK’S MONETARY POLICY IN PAKISTAN." Singapore Economic Review 65, no. 02 (March 8, 2017): 351–64. http://dx.doi.org/10.1142/s0217590817500035.
Повний текст джерелаАнотація:
Literature on differential impacts of monetary policy across regions discusses several factors which may be responsible for asymmetrical effects of monetary policy. As far as Pakistan is concerned, limited evidence is available for both mechanism and impact of monetary policy. In this study, we examine asymmetries in responses of real output of provinces to central bank’s monetary policy in Pakistan. We also attempt to explore the potential sources of these asymmetries. The Structural Vector Autoregression (SVAR) model is employed to examine each province’s response to unanticipated monetary policy shocks. The generalized impulse response functions from SVAR reveal that monetary policy has varied effects across the provinces. In two regions — Punjab and Sindh — monetary policy shocks cause variations in provincial outputs in similar ways. These responses are also comparable to the response of national output to changes in monetary policy but with considerable differences in magnitudes. While other provinces Khyber Pakhtunkhawa (KPK) and Balochistan show less sensitivity to unanticipated change in monetary policy. The less sensitive regions exhibit dissimilar responses both in timings and magnitudes. These dissimilarities in regional responses draw attention to devise an effective national monetary policy that might consider the cross-provincial differences in responses to central monetary policy in Pakistan.
21
Kan, Yoke Yue, and Markus Leibrecht. "Granger-causes of the Ringgit-US dollar exchange rate after 2005." Journal of Financial Economic Policy 12, no. 1 (June 6, 2019): 77–96. http://dx.doi.org/10.1108/jfep-01-2019-0026.
Повний текст джерелаАнотація:
Purpose This study aims to investigate Granger-causal relations between the Ringgit-USD exchange rate and selected domestic and international economic variables after the flotation of the Ringgit beginning with 25 July 2005. Design/methodology/approach The study uses lag-augmented vector autoregression (LA-VAR) developed by Toda and Yamamoto (1995) to test for Granger-causality. To visualize short-run dynamics in the Malaysian Ringgit (RM)-USD exchange rate to shocks in predictor variables, generalized impulse-response functions (Pesaran and Shin, 1998) are derived from the estimated LA-VAR models. Findings Results based on LA-VAR generalized impulse responses and data measured in daily frequency indicate strong Granger-causal relationships with the Dow Jones Industrial Average and oil prices. Evidence is also indicative for a causal relationship with the Shanghai Composite Index. Positive shocks in these three variables lead an appreciation of the Ringgit. Practical implications These results provide insights for policymakers in East Asia in their attempt to manage the floating of their currency. Originality/value The paper adds to existing empirical literature in three ways. First, it investigates the RM-USD exchange rate after its managed flotation beginning with 25 July 2005. Second, the study provides results for exchange rates measured in two frequencies, namely, daily and monthly. Third, the empirical LA-VAR model applied includes variables capturing economic and financial conditions in China. Prior literature puts a focus on macroeconomic conditions in the USA. Yet, since 2009, China has been the largest trading partner of Malaysia.
22
Younas, Muhammad. "Pakistan Monetary Policy in terms of Bank Lending and Asset Price Channels." Jinnah Business Review 8, no. 2 (July 1, 2020): 97–115. http://dx.doi.org/10.53369/piau8954.
Повний текст джерелаАнотація:
Study in hand inspects the monetary policy transmission mechanisms in Pakistan with a special focus on bank lending and asset price channels. Monthly data over the period 2000M7-2016M12 are being used for the short run analysis of monetary policy. The lending and asset price transmission channels remain largely unexplored since financial reforms and pursuance of market-based monetary policy instruments. The empirical exploration is based on SVAR framework. The results show that the monetary aggregates targeting agenda is still operative in effecting the output and price level. Bank lending have a non-trivial part through the investment channel and share prices through wealth effect on price level and output, while the conventional interest rate channel seemed to be ineffective in the transmission mechanism process in Pakistan. The findings of generalized impulse response functions are backed by the generalized error forecast variance decomposition analysis. In addition to domestic variables, external shocks appear to have a strong influence on inflation and output in Pakistan.
23
Demirhan, Erdal, and Banu Demirhan. "The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach." Panoeconomicus 62, no. 4 (2015): 429–51. http://dx.doi.org/10.2298/pan1504429d.
Повний текст джерелаАнотація:
This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.
24
Ubilava, David. "ON THE RELATIONSHIP BETWEEN FINANCIAL INSTABILITY AND ECONOMIC PERFORMANCE: STRESSING THE BUSINESS OF NONLINEAR MODELING." Macroeconomic Dynamics 23, no. 1 (June 9, 2017): 80–100. http://dx.doi.org/10.1017/s1365100516001127.
Повний текст джерелаАнотація:
The recent global financial crisis and the subsequent recession have revitalized the discussion on causal interactions between financial and economic sectors. In this study, I apply the financial stress and the national activity indices–respectively developed by Federal Reserve Banks of Kansas City and Chicago–to investigate the impact of financial uncertainty on an overall economic performance. I examine nonlinear dynamics in a vector smooth transition autoregressive framework, and illustrate regime-dependent asymmetries in the financial and economic indices using the generalized impulse-response functions. The results reveal more amplified dynamics during the stressed conditions. I further evaluate benefits of nonlinear modeling in an out-of-sample setting. The forecasting exercise brings out the important advantages that nonlinear modeling provides in the identification of the causal effect of financial instability on overall economic performance.
25
Singh, Amanjot, and Manjit Singh. "Intertemporal risk-return relationship in BRIC equity markets after the US financial crisis." International Journal of Law and Management 59, no. 4 (July 10, 2017): 547–70. http://dx.doi.org/10.1108/ijlma-12-2015-0065.
Повний текст джерелаАнотація:
PurposeThis paper aims to attempt to capture the intertemporal/time-varying risk–return relationship in the Brazil, Russia, India and China (BRIC) equity markets after the global financial crisis (2007-2009), i.e. during a relative calm period. There has been a significant increase in advanced economies’ equity allocations to the emerging markets ever since the financial crisis. So, the present study is an attempt to account for the said relationship, thereby justifying investments made by the international investors. MethodologyThe study uses non-linear models comprising asymmetric component generalised autoregressive conditional heteroskedastic model in mean (CGARCH-M) (1,1) model, generalised impulse response functions under vector autoregressive framework and Markov regime switching in mean and standard deviation model. The span of data ranges from 1 July 2009 to 31 December 2014. FindingsThe ACGARCH-M (1,1) model reports a positive and significant risk-return relationship in the Russian and Chinese equity markets only. There is leverage and volatility feedback effect in the Russian market because falling returns further increase conditional variance making the investors to expect a risk premium in the expected returns. The impulse responses indicate that for all of the BRIC markets, the ex-ante returns respond positively to a shock in the long-term risk component, whereas the response is negative to a shock in the short-term risk component. Finally, the Markov regime switching model confirms the existence of two regimes in all of the BRIC markets, namely, Bull and Bear regimes. Both the regimes exhibit negative relationship between risk and return. Practical implicationsIt is an imperative task to comprehend the relationship shared between risk and returns for an investor. The investors in the emerging economies should understand the risk-return dynamics well ahead of time so that the returns justify the investments made under riskier environment. Originality/valueThe present study contributes to the literature in three senses. First, the data relate to a period especially after the global financial crisis (2007-2009). Second, the study has used a relatively newer version of GARCH based model [ACGARCH-M (1,1) model], generalised impulse response functions and Markov regime switching model to account for the relationship between risk and return. Finally, the study provides an insightful understanding of the risk–return relationship in the most promising emerging markets group “BRIC nations”, making the study first of its kind in all the perspectives.
26
Buckingham, Michael J. "The Causal Properties of the Compressional Wave in an Unconsolidated Marine Sediment." Journal of Theoretical and Computational Acoustics 28, no. 01 (March 2020): 2050003. http://dx.doi.org/10.1142/s2591728520500036.
Повний текст джерелаАнотація:
The Viscous Grain Shearing (VGS) theory predicts the existence of a compressional wave and a shear wave in an unconsolidated marine sediment. Although it is known that, subject to certain constraints, the shear wave satisfies causality, the causal nature of the compressional wave is less well understood. In this paper, the VGS compressional-wave speed and attenuation are examined in three frequency regimes, where it is shown that they follow approximately frequency power laws. It is then proved that the VGS propagation factor, which is a combination of the phase speed and attenuation, is a causal transform: its inverse Fourier transform is zero for all times prior to the onset of the source. The derivation of this result, which is a necessary condition if the VGS compressional wave equation is to satisfy causality, includes the development of a technique for evaluating a class of previously unknown integrals. This integration procedure relies on a limiting argument combined with certain Fourier transforms, the latter taking the form of “improper” integrals, which, it is shown, can be expressed explicitly based on the properties of generalized functions. An expression for the impulse response of the VGS compressional wave is also developed and shown to satisfy causality, although the transition from zero to the peak level is abrupt, quite unlike the perfectly smooth behavior exhibited by the impulse response of the VGS shear wave, which is maximally flat everywhere in the medium at the instant the source is activated.
27
ELENES PLATONA, Iulia. "TRADE OPENNESS, INVESTMENT FREEDOM- SELECTED COUNTRY RISK INDICATORS, IMPACT ON FOREIGN DIRECT INVESTMENTS, A PANEL VECTOR AUTOREGRESSION MODEL APPROACH." Annals of the University of Oradea. Economic Sciences 31, me 31 (December 2022): 198–205. http://dx.doi.org/10.47535/1991auoes31(2)019.
Повний текст джерелаАнотація:
We employ a panel vector autoregression model (PVAR) selecting as endogenous variables Foreign Direct Investments percent of GDP, Trade Openness and Investment Freedom for a database comprised of European Countries. The data are collected from the Global Economy database. We compare different PVAR models changing the input of desired lags. We test the Hansen test for over-identifying restrictions and we generate the Generalised impulse response functions. The article uses a Hahn Kuehrsteiner Panel Var estimation estimating a stationarity PVAR with fixed effects. Econometric analysis shows a significant impact of trade openness and investment freedom indicators on foreign direct investment in Europe.
28
Iriabije, Alex Oisaozoje, Ubong Edem Effiong, and Nora Francis Inyang. "Capital Market Volatility and Real Sector Expansion in Nigeria." Research in Social Sciences 5, no. 2 (December 6, 2022): 78–93. http://dx.doi.org/10.53935/26415305.v5i2.245.
Повний текст джерелаАнотація:
This study utilized data from the first quarter of 2010 to the fourth quarter of 2021 to explore how volatility in the capital market can influence the real sector of the Nigerian economy. With the use of the generalized autoregressive conditional heteroscedasticity (GARCH) approach, we realized that there is no volatility clustering in the Nigerian market capitalization given that the estimate of lagged value of residual is negative and significant. Also, the decay of the response function on a quarterly basis being 0.3054 is quite low and is symptomatic of response functions to shock dying at a faster pace. Therefore, a new shock in the Nigerian capital market it will have impact on the market capitalization for a short period making the market less predictable. This makes the Nigerian capital market to be efficient since the market is not easily predictable. The VAR result revealed that the market capitalization put forth a positive and significant influence on economic growth; with the impulse response function indicating that economic growth responded positively to shocks in market capitalization. The paper concludes that the capital market needs be streamlined in order to avoid volatility clustering in the future, in order to maintain the efficiency of the market.
29
DJEDOVIĆ, Irfan, and Hisham KHALLAF. "Islamic Market Index Behavior and Performance: Empirical Evidence from Dow Jones Market Indexes." Eurasian Journal of Business and Economics 15, no. 29 (May 30, 2022): 51–66. http://dx.doi.org/10.17015/ejbe.2022.029.04.
Повний текст джерелаАнотація:
The main objective of the study is to empirically investigate the impact of the Conventional stock market index on the Islamic stock market index and the comparative performance of the two stock market indexes. For the purpose of the study, daily observations of Dow Jones Islamic Market US Titans 50 (DJUS50) and Dow Jones Composite Index (DJA) spanning a period from January 2015 until December 2021 are obtained from the Investing.com database. Risk-adjusted performance, VAR model, granger-causality test, generalized impulse response functions, and Johansen cointegration tests are used to investigate the behavior and performance of the Islamic market index empirically. Results based on risk-adjusted performance indicate that the Islamic market index performs better than the Conventional market index. Furthermore, the results suggest no long-run association between the indexes, while there is short-run bidirectional causality. This study will contribute both to the literature and practice. It will contribute to the already existing literature through the usage of the newest data, while the practical implication will help investors to better understand the behavior of the Islamic stock market index.
30
Moses, Tule Kpughur, Oboh Ugbem Victor, Ebuh Godday Uwawunkonye, Onipede Samuel Fumilade, and Gbadebo Nathaniel. "Does Exchange Rate Volatility Affect Economic Growth in Nigeria?" International Journal of Economics and Finance 12, no. 7 (June 22, 2020): 54. http://dx.doi.org/10.5539/ijef.v12n7p54.
Повний текст джерелаАнотація:
This study used monthly data from 2003 to 2017 to analyze the effects of USD/NG₦ exchange-rate volatility on Nigeria’s economic growth. The results from generalized autoregressive conditional heteroscedasticity (GARCH) and vector error correction model (VECM) analyses indicated that USD/NG₦ volatility had a significant effect on the country’s gross domestic product (GDP) growth. The results of the Granger causality/block exogeneity Wald tests and impulse-response functions also indicated that USD/NG₦ volatility had a significant negative effect on the country’s GDP growth. Moreover, USD/NG₦ exchange-rate volatility was found to exhibit short-term unidirectional causality for economic growth. However, a bidirectional relationship was confirmed between narrow money supply and economic growth. Yet, it was also found that the interbank exchange rate, which is a semiofficial Forex window, had little effect on Nigeria’s economic growth—a strong indication that a large portion of the productive sector lacks access to this Forex platform.
31
Sikiru O, Ashamu,. "Bank Lending and Monetary Policy: Evidence from Deposit Money Banks (DMBs) in Nigeria." American Finance & Banking Review 2, no. 1 (January 3, 2018): 1–9. http://dx.doi.org/10.46281/amfbr.v2i1.126.
Повний текст джерелаАнотація:
Monetary policy is aimed at attaining price stability, full employment and moderate long-term interest rates in the economy based on regulatory authority priorities, prevailing economic and financial conditions. Using annualized time series data from DMBs in Nigeria and the Vector Error Correction Model (VECM) as well as the simulates generalized impulse response functions, this study assessed the dynamic interactions between bank lending and monetary policy by observing how banks’ lending patterns are influenced by changes in monetary policy over the years in Nigeria.The result revealed that bank lending responds to short run changes in monetary policy but there is no long run influence from monetary policy to bank loan as banks adjust their portfolio mix in line with the prevailing monetary policy. Similarly, it revealed that changes in monetary policy often create fluctuations on bank health and as such regulatory authority must focus on factors such as monetary policy rate and bank capital that influence bank position in order to attain a significant economic performance using banks as a monetary policy transmission mechanism to the economy.
32
Mishra, Bibhuti Ranjan. "Role of External and Domestic Demand in Economic Growth: A Study of BRICS Countries." Global Business Review 21, no. 2 (July 29, 2019): 547–66. http://dx.doi.org/10.1177/0972150919850408.
Повний текст джерелаАнотація:
Despite the global downturn since 2008, the growth in BRICS countries as a group is least hampered as compared to the growth in the world, in general, and developed countries, in particular. Is it due to the strong domestic demand factors or external factors is an empirical question to be answered. Further, some economists are promulgating for a new development strategy of domestic demand-led growth. Hence, this article tries to examine the role of domestic and external demand to growth in BRICS countries. Domestic investment is taken to explore the impact of domestic demand on growth, while export and import variables are used to investigate the role of external demand in economic growth. To cater to the objective, causality analysis is done among exports, imports, domestic investment and economic growth using the vector auto regression analysis. Generalized impulse response functions are plotted to get an insight of dynamic interrelationships among these variables. The results are country-specific and mixed evidence of export-led and domestic demand-led growth is found depending on the individual countries of BRICS.
33
Onafowora, Olugbenga, and Oluwole Owoye. "A panel vector AutoRegression analysis of income inequality dynamics in each of the 50 states of USA." International Journal of Social Economics 44, no. 6 (June 12, 2017): 797–815. http://dx.doi.org/10.1108/ijse-06-2015-0154.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to investigate the income inequality dynamics in each of the 50 states of USA over the period 1981-2011. Design/methodology/approach The paper estimates an augmented Kuznets curve panel Vector AutoRegression in per capita income, economic freedom, educational attainment, unemployment, and population ageing along with evaluating generalized impulse responses functions (GIRF) and generalized forecast-error variance decompositions (GFEVD). Findings All the variables are integrated of order one and are panel cointegrated. Kuznets’ hypothesized inverted U-shaped relationship between inequality and growth is not supported by the data. Unemployment and population ageing have statistically significant positive effects on inequality in the long-run; education has statistically significant negative impact; economic freedom has statistically insignificant positive effect. Long-run bidirectional causality exists among the variables. GFEVD show that excluding income inequality itself, variation in income inequality is more influenced by perturbations in per capita income, educational attainment, and unemployment. GIRF corroborate the results of the GFEVD. Originality/value This paper fulfills an identified need to study the causal relationship between inequality and its determining factors without assuming the a priori exogeneity or endogeneity of the underlying variables.
34
Gidey, Hiluf Techane, and Naser Yenus Nuru. "Exchange Rate Uncertainty Effects on Domestic Investment in South Africa." Margin: The Journal of Applied Economic Research 15, no. 3 (July 28, 2021): 338–52. http://dx.doi.org/10.1177/09738010211010516.
Повний текст джерелаАнотація:
The main goal of this study is to examine the effect of real effective exchange rate uncertainty on domestic investment for the South African economy over the sample period 1985Q1–2019Q2. To address this objective, Jordà’s (2005) local projection method is employed in this study. The generalised impulse response functions indicate that domestic investment decreases between the second and seventh quarters in response to one standard deviation shock in exchange rate uncertainty. Furthermore, high exchange rate uncertainty affects domestic investment negatively while low exchange rate uncertainty affects domestic investment positively. In other words, domestic investment declines due to a rise in exchange rate uncertainty while a drop in exchange rate uncertainty enhances domestic investment. Regarding the effects of control variables, output and export influences domestic investment positively and significantly. Inflation, however, has a negative and significant effect on domestic investment. Lastly, the Diks–Panchenko nonlinear Granger’s causality confirms bidirectional causality between exchange rate uncertainty and domestic investment. JEL Classification: C32, E22, F31, F41
35
Singh, Amanjot, and Manjit Singh. "A revisit to how linkages fuel dependent economic policy initiatives." International Journal of Law and Management 59, no. 6 (November 13, 2017): 1068–108. http://dx.doi.org/10.1108/ijlma-08-2016-0074.
Повний текст джерелаАнотація:
Purpose The authors aim to report empirical linkages between the US and Brazil, Russia, India and China (BRIC) financial stress indices catalyzing catalyzing dependent economic policy initiatives (an extended version of Singh and Singh, 2017a). Design/methodology/approach Initially, the study develops financial stress indices for the respective BRIC financial markets. Later, it captures linkages among the said US-BRIC indices by using Johansen cointegration, vector autoregression/vector error correction models (VECM), generalized impulse response functions, Toda–Yamamoto Granger causality, variance decomposition analyses and bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model under constant conditional correlation framework, in general. Markov regime switching and efficient causality tests proposed by Hill (2007) are also used. Findings Overall, there are both short-run and long-run dynamic interactions observed between the US and Indian financial stress indices. For rest of the markets, only short-run interactions are found to be in existence. The time-varying co-movement coefficients report financial contagion impact of the US financial crisis on Russian and Indian financial systems only. Contrary to this, Brazilian and Chinese financial systems are largely exhibiting interdependence with the US financial system. Efficient causality tests report indirect impact of the Russian financial system on Brazilian via auxiliary Indian financial system. Originality/value The present study is the first of its kind capturing linkages among the US-BRIC financial stress indices by using diverse econometric models. The results support different market participants and policymakers in understanding effectiveness and implementation of economic policies while considering their cross-market interactions as well.
36
Li, Raymond, and David C. Broadstock. "Coal Pricing in China: Is It a Bit Too Crude?" Energies 14, no. 13 (June 23, 2021): 3752. http://dx.doi.org/10.3390/en14133752.
Повний текст джерелаАнотація:
China is a global leader in methanol production volume, while coal is a major feedstock. The country also has the world’s largest commercial coal-to-methanol operations. Coal-based methanol is used widely within China and is a competitive substitute for gasoline. Owing to this, it is plausible that the price of coal may be linked to international crude oil prices, with methanol prices serving as the connecting channel. We add supporting evidence to a recently emerging area of literature and observe statistically significant relationships among the three prices, and, therefore, the influence from international crude oil and methanol prices on the coal price determination in China. This paper investigates the relationships among these prices for the period from January 2010 to December 2019 through spectral Granger causality analysis, alongside more traditional cointegration tests to develop a comprehensive picture of causal association between the price series in both the frequency and time domain. Cointegration is found in our tri-variate system while the frequency domain Granger causality tests reveal the long-run causality in all directions except from crude oil to methanol, thus, emphasizing the structure of coal price dependence. According to the generalized impulse response functions, the coal price reacts positively to shocks in crude oil prices.
37
Xue, Huidan, Chenguang Li, Liming Wang, and Wen-Hao Su. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks." Sustainability 13, no. 16 (August 19, 2021): 9297. http://dx.doi.org/10.3390/su13169297.
Повний текст джерелаАнотація:
Recently, the world has experienced striking economic and policy changes, and subsequent uncertainties have impacts on dairy trade price fluctuations. The Global Vector Autoregressive (GVAR) methodology was established in this paper to better understand international butter export prices transmission, the feedback between the economic context changes and price fluctuations, and the link between the global butter market, energy market, and other commodity markets. We assessed which key factors are typically associated with butter export price movements with regards to shocks to crude oil price, palm oil price, farm-gate raw milk price, exchange rates, and consumer price index (CPI) for food of the EU, New Zealand, the U.S., and the rest of world (RoW), respectively. Using generalized impulse response functions, this study found that decreases in farm-gate raw milk price could be swiftly transmitted to butter export prices of not only a home country but other foreign countries. However, palm oil price and crude oil price merely affects global butter export prices. We also found that U.S. dollar depreciations against the Euro will cause a decline in U.S. butter export price. It is concluded that butter export markets are not well-integrated, yet butter export prices of New Zealand and the U.S. are highly linked.
38
Shahi, Chander K., and Shashi Kant. "Cointegrating relationship and the degree of market integration among the North American softwood lumber product markets." Canadian Journal of Forest Research 39, no. 11 (November 2009): 2129–37. http://dx.doi.org/10.1139/x09-110.
Повний текст джерелаАнотація:
Studies in spatial market integration of the North American softwood lumber products have mostly focused on the question of whether prices in distinct market locations are cointegrated or not. However, the informational deficiencies in market integration studies were fulfilled in this analysis by examining a continuum of the degree of market integration rather than using the dichotomous approach whereby markets are deemed either integrated or not. Firstly, the methodology of permanent–transitory decomposition in a multivariate vector error correction model was used to estimate the cointegrating relationship of the North American markets for three categories of softwood lumber products: Spruce–Pine–Fir (SPF), Douglas fir (DF), and Hemlock fir (HF). Secondly, a consistent ranking of the degree of market integration was constructed by estimating the reaction time for prices to return back to the steady-state equilibrium, using generalized impulse response functions and persistence profiles. Our results indicate that the long-run price equilibrium relationship for all SPF and HF products is driven by both the production (in Canada) and consumption (in USA) sides of the markets, whereas that for DF products is driven by the consumption (USA) side only. Generally, the degree of market integration for HF products is lower than that for SPF products and higher than that for DF products.
39
Alzraiee, A. H., D. Baú, and A. Elhaddad. "Estimation of heterogeneous aquifer parameters using centralized and decentralized fusion of hydraulic tomography data." Hydrology and Earth System Sciences 18, no. 8 (August 27, 2014): 3207–23. http://dx.doi.org/10.5194/hess-18-3207-2014.
Повний текст джерелаАнотація:
Abstract. Characterization of spatial variability of hydraulic properties of groundwater systems at high resolution is essential to simulate flow and transport phenomena. This paper investigates two schemes to invert transient hydraulic head data resulting from multiple pumping tests for the purpose of estimating the spatial distributions of the hydraulic conductivity, K, and the specific storage, Ss, of an aquifer. The two methods are centralized fusion and decentralized fusion. The centralized fusion of transient data is achieved when data from all pumping tests are processed concurrently using a central inversion processor, whereas the decentralized fusion inverts data from each pumping test separately to obtain optimal local estimates of hydraulic parameters, which are consequently fused using the generalized Millman formula, an algorithm for merging multiple correlated or uncorrelated local estimates. For both data fusion schemes, the basic inversion processor employed is the ensemble Kalman filter, which is employed to assimilate the temporal moments of impulse response functions obtained from the transient hydraulic head measurements resulting from multiple pumping tests. Assimilating the temporal moments instead of the hydraulic head transient data themselves is shown to provide a significant improvement in computational efficiency. Additionally, different assimilation strategies to improve the estimation of Ss are investigated. Results show that estimation of the K and Ss distributions using temporal moment analysis is fairly good, and the centralized inversion scheme consistently outperforms the decentralized inversion scheme.
40
Xue, Huidan, Liming Wang, and Chenguang Li. "Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets." Foods 11, no. 5 (February 26, 2022): 692. http://dx.doi.org/10.3390/foods11050692.
Повний текст джерелаАнотація:
The dairy sector in the European Union (EU) has experienced policy changes and market shocks recently. Using the global vector autoregressive (GVAR) model, this paper explores regional market integration, the feedback between market shocks and price dynamics, and the link between EU’s cheese export markets and energy market. This paper assesses and compares which influencing factors are typically associated with intra-EU and extra-EU cheese export price movement with regards to shocks to crude oil price, farm-gate raw milk price, and consumer price index (CPI) for food and cheese production of six representative EU member states, respectively. Using generalized impulse response functions, this paper finds that EU’s internal cheese export market is not well integrated, while EU’s external market is well integrated, with France as an exception. It also finds that the external cheese export market is vulnerable to shocks from the energy market compared to the internal market. Raw milk prices from the upstream supply chain have strong spill-over effects on EU’s internal cheese export market, yet their impact on extra-EU cheese export prices is relatively less significant. The movement patterns of extra-EU cheese export prices of Ireland and the UK show similar patterns in the long run. It is concluded that the dynamics of cheese export prices in the internal and external markets of the EU are different under market shocks.
41
Blackledge, Jonathan, Derek Kearney, Marc Lamphiere, Raja Rani, and Paddy Walsh. "Econophysics and Fractional Calculus: Einstein’s Evolution Equation, the Fractal Market Hypothesis, Trend Analysis and Future Price Prediction." Mathematics 7, no. 11 (November 4, 2019): 1057. http://dx.doi.org/10.3390/math7111057.
Повний текст джерелаАнотація:
This paper examines a range of results that can be derived from Einstein’s evolution equation focusing on the effect of introducing a Lévy distribution into the evolution equation. In this context, we examine the derivation (derived exclusively from the evolution equation) of the classical and fractional diffusion equations, the classical and generalised Kolmogorov–Feller equations, the evolution of self-affine stochastic fields through the fractional diffusion equation, the fractional Poisson equation (for the time independent case), and, a derivation of the Lyapunov exponent and volatility. In this way, we provide a collection of results (which includes the derivation of certain fractional partial differential equations) that are fundamental to the stochastic modelling associated with elastic scattering problems obtained under a unifying theme, i.e., Einstein’s evolution equation. This includes an analysis of stochastic fields governed by a symmetric (zero-mean) Gaussian distribution, a Lévy distribution characterised by the Lévy index γ ∈ [ 0 , 2 ] and the derivation of two impulse response functions for each case. The relationship between non-Gaussian distributions and fractional calculus is examined and applications to financial forecasting under the fractal market hypothesis considered, the reader being provided with example software functions (written in MATLAB) so that the results presented may be reproduced and/or further investigated.
42
Sum, Vichet. "Dynamic effect of Tobin's Q on price-to-earnings ratio." Managerial Finance 40, no. 6 (June 3, 2014): 634–43. http://dx.doi.org/10.1108/mf-07-2013-0193.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to investigate the dynamic effect of Tobin's q ratio on price-to-earnings (PE) ratio. Design/methodology/approach – The objective of this study is to investigate the dynamic effect of Tobin's q on PE ratio. To achieve this objective, a vector autoregressive analysis (Equation (1)) is employed to analyze the quarterly data from 1951Q4 to 2012Q4 to determine the generalized impulse response functions and perform the variance decomposition of Tobin's q ratio on PE ratio. The Granger causality Wald test is performed to determine if Tobin's q ratio causes PE ratio and vice versa. Findings – Based on the analysis of the quarterly market-level data from 1951Q4 to 2012Q4, the results show that PE ratio significantly drops immediately following the shock to the change in Tobin's q ratio. The results from the Granger-causality test indicate that Tobin's q ratio change causes PE ratio to drop. There is not a reverse causation from PE ratio to Tobin's q ratio change. The variance decomposition results reveal that Tobin's q ratio change forecasts about 67.53 to 67.78 percent of PE ratio at the two-quarter to eight-quarter horizons. Originality/value – Up to this point, there is not a single study in the literature investigating the relationship between Tobin's q and PE ratios. Consequently, the current study is set up to investigate the dynamic effect of Tobin's q ratio on PE ratio. A major contribution of this study is to provide empirical evidence of the dynamic effect of Tobin's q ratio on PE ratio.
43
Aratuo, David N., Xiaoli L. Etienne, Tesfa Gebremedhin, and David M. Fryson. "Revisiting the tourism-economic growth nexus: evidence from the United States." International Journal of Contemporary Hospitality Management 31, no. 9 (September 9, 2019): 3779–98. http://dx.doi.org/10.1108/ijchm-08-2018-0627.
Повний текст джерелаАнотація:
Purpose The purpose of this study is to investigate the causal linkages between tourism and economic growth in the USA and determine how they respond to shocks in the system. Design/methodology/approach The study uses a variety of time series procedures, including the bounds test, Granger causality test, impulse response functions and generalized variance decomposition to analyze the relationship between monthly tourist arrivals (TA) to the USA, real gross domestic product (GDP) and real effective exchange rates. Findings Results suggest that GDP Granger causes TA in the USA in the long run, indicating the economy-driven tourism growth hypothesis. Additionally, a shock to GDP generates a positive and significant effect on TA that persists in the long-run, while exchange rate shocks only have a significant effect in the first six months. Research limitations/implications Different tourism sectors may exert different degrees of influence on the economy. The use of aggregate data on TA in the analysis assumes homogeneity in the industry, thus, only represents the average relationship between tourism and GDP. Practical implications This study provides insight that shapes the investment, marketing, sustainability decisions of the public and private sectors aim at increasing tourist flows to drive economic development at the national, state and local levels. Originality/value Though several studies have examined the factors influencing the international tourist demand of the USA, this is the first to investigate the causal relationships between tourism, GDP and exchange rates for the USA. It is also the first in the US tourism literature to account for the nature of interactions between the three variables because of innovations in the system.
44
Niblock, Scott J., and Jennifer L. Harrison. "Do Dynamic Linkages Exist Among European Carbon Markets?" International Business & Economics Research Journal (IBER) 11, no. 1 (December 21, 2011): 33. http://dx.doi.org/10.19030/iber.v11i1.6669.
Повний текст джерелаАнотація:
In this paper we examine statistical relationships among European carbon markets from 2005 to 2010. We use a time-series approach using 1,220 daily (spot and forward) price data observations from Phase I and Phase II of the European Union Emissions Trading Scheme (EU ETS). Procedures such as unit root, cointegration, vector error correction models (VECMs), Granger causality, and generalised impulse response functions are employed in the analysis. The results reveal dynamic linkages among spot and forward carbon prices in Phases I and II, indicating that joint price discovery is taking place in carbon markets (at least in the short-run). However, evidence of constrained long-run information flows in Phase II, as indicated by the joint short- and long-run Granger causality testing, may be problematic for policy makers. This finding suggests that the coordinated policies designed to improve the operation and transparency of the EU ETS in Phase II may have actually been counter-effective. If carbon pricing mechanisms are dysfunctional, this has implications for the informational efficiency of carbon markets in Phase II and beyond, thus signalling the possibility of arbitrage and other profitable trading opportunities for market participants. Further research could attempt to address these issues.
45
Sayim, Mustafa, and Hamid Rahman. "The relationship between individual investor sentiment, stock return and volatility." International Journal of Emerging Markets 10, no. 3 (July 20, 2015): 504–20. http://dx.doi.org/10.1108/ijoem-07-2012-0060.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to examine the impact of Turkish individual investor sentiment on the Istanbul Stock Exchange (ISE) and to investigate whether investor sentiment, stock return and volatility in Turkey are related. Design/methodology/approach – This study used the monthly Turkish Consumer Confidence Index, published by the Turkish Statistical Institute, as a proxy for individual investor sentiments. First, Turkish market fundamentals were regressed on investor sentiments in order to capture the effects of macroeconomic risk factors on investor sentiments. Then, it used the impulse response functions (IRFs) generated from the vector autoregression (VAR) model to examine the effect of unanticipated movements in Turkish investor sentiment to both stock returns and volatility of the ISE. Findings – The generalized IRFs from VAR shows that unexpected changes in rational and irrational investor sentiment have a significant positive impact on ISE returns. This suggests that a positive investor sentiment tends to increase ISE returns. The study also documents that unanticipated increase in the rational component of Turkish investor sentiment has a negative significant effect on ISE volatility. This might indicate that investors have optimistic expectations of the economy overall with respect to market fundamentals in Turkey. This optimism can result in creating positive expectations, reducing uncertainty, and reducing the volatility of stock market returns. Research limitations/implications – The study was applied only for the period 2004-2010 on the ISE stock returns and volatility. Practical implications – Regardless, investors should know the impact of irrational investor sentiments while establishing investment strategies. The results of this study may also help policy makers stabilize investor sentiments to reduce stock market volatility and uncertainty. Originality/value – This paper adds to the limited understanding of investor sentiment impact on stock return and volatility in an emerging market context.
46
Montes, Gabriel Caldas, and Gabriel Gonçalves do Vale Monteiro. "Monetary policy, prudential regulation and investment." Journal of Economic Studies 41, no. 6 (November 10, 2014): 881–906. http://dx.doi.org/10.1108/jes-12-2012-0173.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to analyze the influence of prudential regulation and monetary policies on the supply of credit as well as the influence of such policies on the aggregate investment through the credit channel in Brazil. Design/methodology/approach – The empirical analysis is based on estimates through ordinary least squares (OLS), generalized method of moments (GMM), system of equations through GMM (system-GMM), and impulse response functions through vector autoregressive (VAR). Findings – The results suggest that monetary policies and prudential regulation affect aggregate investment through the bank lending channel. With regards to elasticities, the findings indicate that the credit is very sensitive to variations in economic activity and, in turn, prudential regulation presents a stronger influence on credit than the basic interest rate and the reserve requirement rate. Moreover, the estimates suggest that aggregate investment is more sensitive to entrepreneurs’ expectations and credit supply. Practical implications – Aiming to reduce systemic risk in the economy, capital requirements may be increased in order to induce banks to a lower risk exposure by reducing the supply of loans. However, while this instrument strengthens the banking system, it can also lead the banking system to become less sensitive to monetary policy shocks, and also discourage aggregate demand through the influence that the credit exerts on investments. As a consequence, prudential regulation is an important tool because it acts on the balance between economic growth and low risk exposure of banks. Originality/value – The paper provides useful insights to academicians, economists and policymakers who are interested in understanding the effects of monetary policies and prudential regulation on aggregate investment through the credit channel in an emerging economy under inflation targeting. Moreover, the paper develops a theoretical model in order to show the influence of different monetary policies, as well as the influence of prudential regulation on the supply of credit.
47
Potter, Simon M. "Nonlinear impulse response functions." Journal of Economic Dynamics and Control 24, no. 10 (September 2000): 1425–46. http://dx.doi.org/10.1016/s0165-1889(99)00013-5.
Повний текст джерела
48
Zhang, Jin-Hai, and Zhen-Xing Yao. "Reducing two-way splitting error of FFD method in dual domains." GEOPHYSICS 76, no. 4 (July 2011): S165—S175. http://dx.doi.org/10.1190/1.3590214.
Повний текст джерелаАнотація:
The Fourier finite-difference (FFD) method is very popular in seismic depth migration. But its straightforward 3D extension creates two-way splitting error due to ignoring the cross terms of spatial partial derivatives. Traditional correction schemes, either in the spatial domain by the implicit finite-difference method or in the wavenumber domain by phase compensation, lead to substantially increased computational costs or numerical difficulties for strong velocity contrasts. We propose compensating the two-way splitting error in dual domains, alternately in the spatial and wavenumber domains via Fourier transform. First, we organize the expanded square-root operator in terms of two-way splitting FFD plus the usually ignored cross terms. Second, we select a group of optimized coefficients to maximize the accuracy of propagation in both inline and crossline directions without yet considering the diagonal directions. Finally, we further optimize the constant coefficient of the compensation part to further improve the overall accuracy of the operator. In implementation, the compensation terms are similar to the high-order corrections of the generalized-screen method, but their functions are to compensate the two-way splitting error rather than the expansion error. Numerical experiments show that optimized one-term compensation can achieve nearly perfect circular impulse responses and the propagation angle with less than 1% error for all azimuths is improved up to 60° from 35°. Compared with traditional single-domain methods, our scheme can handle lateral velocity variations (even for strong velocity contrasts) much more easily with only one additional Fourier transform based on the two-way splitting FFD method, which helps retain the computational efficiency.
49
Montes‐Rojas, Gabriel. "Multivariate Quantile Impulse Response Functions." Journal of Time Series Analysis 40, no. 5 (April 21, 2019): 739–52. http://dx.doi.org/10.1111/jtsa.12452.
Повний текст джерела
50
Janardhanan, K., W. G. Price, and Y. Wu. "Generalized fluid impulse functions for oscillating marine structures." Journal of Fluids and Structures 6, no. 2 (March 1992): 207–22. http://dx.doi.org/10.1016/0889-9746(92)90045-5.
Повний текст джерела