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 12 of 12 for “"Structural vector autoregression (SVAR)"”.
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Fiscal and Monetary Policies and Stock Market
… aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and …
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Effects of monetary and macroprudential policies on credit and real economy in lithuania /
… dynamics and the broader economy. 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 …
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Political budget cycles in Latin America: fiscal policy effectiveness or regulated markets?
… fiscal policy shocks with a 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 …
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Three essays on monetary policy analysis in Mongolia
… and output in Mongolia using a sign-restricted structural vector autoregression (SVAR). We find the following results. First, the lag of the monetary transmission mechanism is about 4 to 12 months for Mongolia. Second, monetary policy shocks play a modest role in explaining output and inflation …
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Three essays on monetary policy analysis in Mongolia
… and output in Mongolia using a sign-restricted structural vector autoregression (SVAR). We find the following results. First, the lag of the monetary transmission mechanism is about 4 to 12 months for Mongolia. Second, monetary policy shocks play a modest role in explaining output and inflation …
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Three essays on emission credit markets
… in Euro. The impulse response functions of a Structural Vector Autoregression (SVAR) model demonstrates that a shock in the Euro/USD exchange rate can be transmitted through the channel of energy substitution between coal and natural gas, and therefore, produces influences on the carbon credit …
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The impact of remittances on the monetary transmission mechanism in low-income countries
… credit and exchange rate channels, 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 …
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Essays on Structured Finance and Housing Markets
… that influence default rates. The chapter uses a Structural Vector Autoregression (SVAR) model to study the dynamics of the impact of unemployment and home price index shocks on mortgage default rates from 1979 to 2000 and from 2001 to 2010. We first fit the model to the 1979 to 2000 sample and …
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Three Essays in Macroeconomics
… signals. Estimating the tax multiplier via structural vector autoregression (SVAR) and the narrative approach delivers significantly different results. The former yields multipliers of about 1, whereas the latter produces much larger multipliers of about 3. The SVAR and narrative approaches …
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Oil price shocks, exchange rate dynamics and stock market behaviour: empirical evidence from Nigeria
… First, the thesis applies a Multivariate Vector Error Correction Model (VECM) and a Structural Vector Autoregression (SVAR) to investigate the interaction between real oil price, real exchange rate and productivity differentials. On the one hand results from the VECM suggest that, as …
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An econometric study of public policy applied to renewable energy, economic growth and taxation
… and hence, overall food prices. Employing structural vector autoregression (SVAR) models and monthly U.S. data for the period 1974:01 to 2019:12, this paper examines, empirically, the impact of renewable energy consumption on food prices. We find, in general, that renewable energy shocks …
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Essays in macroeconomics and housing
… down the service sector and extend a standard structural transformation model of Duarte and Restuccia (2010) to investigate how the structural transformation within the service sector affects the labor productivity of the service sector. We show that a compositional analyses of the service …