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.
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Showing 1 to 6 of 6 for “"Structural VAR model"”.
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Dutch Disease in Australia: A Structural VAR Model
We applied a Structural VAR model to empirically investigate the adverse effect of positive growth shock in the resource sector on economic activity in a small open economy, like Australia. We observed the key eight variables important for explaining the evidence of Dutch disease over the period of …
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Retail prices and the real exchange rate
… price shocks on nominal exchange rates. We fit a structural VAR model on exchange rate and relative price data to compute impulse responses for each country. We find evidence of exchange rate pass-through for most countries, even at short horizons. Contrary to PPP predictions, we find that most …
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ESSAYS ON THE MACROECONOMIC IMPACTS OF ENERGY AND COMMODITY MARKETS
… of a dynamic general equilibrium multi-country model that features a global oil market and where key parameters are estimated using indirect inference. The second essay studies commodity price cycles and their underlying drivers using a dynamic factor model from a sample of 39 monthly commodity …
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Demand for Excess Reserves by Commercial Banks in Papua New Guinea
… excess reserves. The chapter employs an ARDL model to estimate the determinants of excess reserves using monthly time-series data for the period January 2002 to December 2017. The model includes three precautionary variables of volatility of demand deposits, discount rate and cash reserve …
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Demand for Excess Reserves by Commercial Banks in Papua New Guinea
… excess reserves. The chapter employs an ARDL model to estimate the determinants of excess reserves using monthly time-series data for the period January 2002 to December 2017. The model includes three precautionary variables of volatility of demand deposits, discount rate and cash reserve …
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Return and volatility spillovers across financial markets in Central Europe
… (na základě generalizovaného a strukturálního VAR modelu), dynamické korelační koeficienty odhad- nuté pomocí vícerozměrného GARCH modelu a koeficienty strukturálního VAR modelu identifikovaného prostřednictvím heteroskedasticity ve strukturálních šocích. Tyto me- tody nám umožnily popsat …