Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 19 of 19 for “"SVAR model"”.
-
Estimating potential output per capita for Zimbabwe
… using Structural Vector Autoregressive method (SVAR). The study used quarterly data for the period 1990 to 2012 on the following variables: Gross Domestic Product per Capita (GDPC), Consumer Price Index and unemployment rate presented as yt, pt and ut respectively. The long‐run SVAR model …
-
Marginal income tax rates and the U.K. economy: three essays
… U.K. by employing vector autoregressive (VAR) models. We identify these innovations by making certain assumptions about fiscal policy and then analyze the dynamic behavior of output, the interest rate, the exchange rate, and the trade balance in response to an increase in AMTR by studying the …
-
The Size of the Multiplier: Comparing Alternate Views After the Great Recession
… of the multiplier is presented using a standard SVAR model based on New Keynesian approach for time period between 2009 and 2018. In addition, following the classical economic theory, the multiplier is recalculated in the absence of Finance, Insurance, and Real Estate (FIRE) sector which is …
-
Three Essays on Fiscal Policy
… as a proxy for country risk by using a DCC-GARCH model. Then, at the second stage, time variant country betas are regressed on a set of macroeconomic, financial and political variables to distinguish the relative effects of each variable on country risk. Finally, a Kalman Filter approach is used …
-
Effects of monetary and macroprudential policies on credit and real economy in lithuania /
… Employing a Structural Vector Autoregression (SVAR) model, we analyze data from 2004Q3 to 2023Q4, including real GDP, HICP (Harmonized Index of Consumer Prices), household and firm credit, the monetary policy rate, and macro-prudential policy variables. The study differentiates between the …
-
The impact of remittances on the monetary transmission mechanism in low-income countries
… using a panel Structural Vector Autoregression (SVAR) to investigate how remittances affect these intermediate monetary transmission channels. The estimated impulse responses (IRs) of bank credit and exchange rates to a shock in remittances show a significant variation between countries in …
-
Optimal Monetary Policy and Oil Price Shocks
… is devoted to studying different approaches to modeling energy demand. </p><p>In an influential paper, Bernanke, Gertler, and Watson (1997) and (2004) argue that systematic monetary policy exacerbated the recessions the U.S. economy experienced in the aftermath of post World War II oil price …
-
Political budget cycles in Latin America: fiscal policy effectiveness or regulated markets?
… three variable Structural Vector Autoregression (SVAR) model. Our sample country is Costa Rica, for which there is no literature on the topic. Using quarterly data from 1991 until 2009, we found a negative and small impact of fiscal policy on output, while a small positive of revenue. Based on …
-
Testing Market Efficiency of MENA Equity Returns
… on stock returns in the MENA countries. The SVAR model is employed to capture the interrelations and the dependencies of MEV on stock returns. Variance decomposition and impulse response function techniques are developed to analyse the reaction and percentage contribution of the dynamic …
-
Macroeconomic dynamics in low income economies
… in a structural vector auto regressive (SVAR) model with short-run restrictions, we find that a positive tobacco price shock increases gross domestic product (GDP), reduces consumer prices, and induces an appreciation of the real exchange rate. These results are also robust to SVAR in …
-
Three essays on emission credit markets
… cap and permit price ceiling in a single period model, we extend this literature by developing such an optimal hybrid model in a multi-period framework where banking and borrowing of emission permits is allowed. In our model, we compare the case of a regulator who sets the emission cap and price …
-
Trade linkages and growth in South Africa: an SVAR analysis
This paper investigates the vulnerability of South Africa to the shocks that originate from its major trading partners over time using a structural vector autoregressive framework. We examine the impact of shocks emanating from the EU, the US, China, Japan, India and Brazil on South Africa’s output …
-
Valstybės taupymo politikos poveikis: Lietuvos atvejis /
… of fiscal consolidation showed that VAR and SVAR modeling is the most prominent method of analysis of fiscal austerity. Also it was concluded, that using models with government revenues and tax receipts as fiscal variables might give biased results because of the whole systems’ …
-
Structural changes and financial frictions in the monetary transmission mechanism : GMM, VAR and Bayesian DSGE approaches
… employs a GMM, VAR and estimates Bayesian DSGE models for the UK data from 1955 to 2014. The GMM simulation analysis confirmed that the UK monetary policy is more of a forward-looking Taylor type and a hybrid Taylor-McCallum MP rules RFs with a mixture of conventional and unconventional policy …
-
Essays on Structured Finance and Housing Markets
… the tranches. We use a discrete hazard rate model to study the variables that were relevant in the downgrading of the tranches of the CDOs. The empirical results show that out of the many CDO specific variables relevant to their ratings made available by Moody's few have any explanatory power …
-
Essays on remittances, R&D and macroeconomy
… largely unexplored. Furthermore, macroeconomic modelling of the Nepali economy is at the infant stage primarily due to the unavailability of reliable data. Hence, using novel quarterly GDP data, this paper aims to fill both gaps by examining the effects of remittance and other macroeconomic …
-
Essays on remittances, R&D and macroeconomy
… largely unexplored. Furthermore, macroeconomic modelling of the Nepali economy is at the infant stage primarily due to the unavailability of reliable data. Hence, using novel quarterly GDP data, this paper aims to fill both gaps by examining the effects of remittance and other macroeconomic …
-
Subset vector autoregressions for listed property and oil markets using bootstrap model selection
Subset Vector Autoregressive (SVAR) models are fitted to the International Listed Property Trust (LPT) market and the global oil market. A General-to-Specific (GetS) model selection algorithm and a Bootstrap model based resampling method are employed to determine the best fitting models from a set …
-
Subset vector autoregressions for listed property and oil markets using bootstrap model selection
Subset Vector Autoregressive (SVAR) models are fitted to the International Listed Property Trust (LPT) market and the global oil market. A General-to-Specific (GetS) model selection algorithm and a Bootstrap model based resampling method are employed to determine the best fitting models from a set …