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 17 of 17 for “"forecast error variance"”.
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Towards realisation of stable oil prices: an empirical analysis of the impact of OPEC's oil price band/stabilisation policies.
… tests, impulse response functions (IRFs) and forecast error variance decompositions (FEVDs) were obtained from the VAR estimates to enable a critical analysis to be undertaken of the complex dynamics at play between OPEC and other key market players. The major contributions of the study are: …
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An investigation of the relationship between trade openess and economic growth in Namibia
… Granger-causality, impulse response function and forecast error variance decomposition. The Johansen co-integration analysis and Vector Auto-regression Model (VAR) are used in estimating the long run relationship between trade openness and economic growth. There was co-integration of variables for …
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Effects of monetary and macroprudential policies on credit and real economy in lithuania /
… the monetary policy rate enhance total credit. Forecast error variance decomposition underscores the interdependencies among inflation, interest rates, and credit markets, offering insights into the influences of these variables. This research underscores the critical need for transparent policy …
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Exploring the connectedness of regional financial markets: application to the GCC equity markets
… flow of spillovers across the markets by using forecast error variance decompositions generated from a Generalized VAR Framework. Second, we explore how the global and regional markets influence the individual GCC equity markets by comparing the inflow of spillovers from global versus regional …
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Decomposition of Food Price Changes: Food-at-Home and Food-Away-From-Home Prices
… suggesting a higher impact of FAH on total food. Forecast error variance decomposition and historical decomposition highlight the higher impact of supply related factors on food price variability. The findings from this study are important to understand how demand and supply shocks affect the …
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The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020
… tests, impulse response<br/>functions, and variance decomposition to quantify the linkages.<br/>The findings reveal significant dynamic linkages among ASE sector indices. The VAR model<br/>exhibits high explanatory power, with R-squared and adjusted R-squared values above 99% for<br/>all …
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Empirical essays on inferring information from options and other financial derivatives
… analysis, impulse response functions and forecast error variance decomposition. Empirical results show that the U.S. is unambiguously the dominant source of uncertainty in the world. Correlation between markets largely depends on geographical proximity. The findings support the notion of …
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Effects of monetary policy on macro economic performance: the case of Nigeria
… using long-run and co-integrating Vector Error Correction Model (VECM). The results confirm my a priori expectation, although many of the variables were not statistically significant. The study also estimates the period 1970Q1–2011Q4, without a structural break for the GDP model having …
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Essays in International Finance: International Capital Flows, Equity and FX markets
… tests, generalized impulse responses and forecast error variance decompositions indicate that the subprime crisis is mostly transmitted through bank credit rather than portfolio flows and international trade. The results are robust to altering the exogenous versus endogenous vectors of …
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ON GLOBAL LINKAGES OF ECONOMIES AND ECONOMIC INTEGRATION IN LATIN AMERICA
… on real and monetary sectors. Using the variance decomposition and impulse response function approach we find that the influence of US and Euro area real and monetary shocks varies from country to country. We do not find any evidence of clear dominant of US or Euro shocks in explaining …
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Effects of Us Monetary Policy On Asean and Apec Economies
… quantitative easing. Finally, the paper conducts forecast error variance decompositions to evaluate the contributions of US unconventional monetary shock in explaining the macro factor variation of APEC members. This analysis underscores the pivotal role of the US shock in the APEC region, …
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Effects of Us Monetary Policy On Asean and Apec Economies
… quantitative easing. Finally, the paper conducts forecast error variance decompositions to evaluate the contributions of US unconventional monetary shock in explaining the macro factor variation of APEC members. This analysis underscores the pivotal role of the US shock in the APEC region, …
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Essays in Hierarchical Time Series Forecasting and Forecast Combination
… of three original contributions to empirical forecasting research. Chapter 1 introduces the dissertation. Chapter 2 contributes to the literature on hierarchical time series (HTS) modelling by proposing a disaggregated forecasting system for both inflation rate and its volatility. Using …
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Three essays on regional business cycle analysis
… from the single-level structure model. The variance decomposition shows that much of the region specific business activities can be explained by the region common shock, and the cumulative impulse response function occasionally shows different signs for the long-term response compared to the …
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Analysis of Volatility Between Macroeconomic Variables and Busan Port Cargo Throughput According to Global Risks
… cumulative Impulse Response Functions (IRF) and Forecast Error Variance Decomposition (FEVD) based on Vector Error Correction Model (VECM) estimations, as well as Historical Decomposition (HD) for specific crisis periods. While IRF and FEVD were used to capture dynamic properties under general …
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Examination of the effects of macroeconomic shocks on the Namibian economy
This Dissertation is structured on three stand-alone objectives which investigated the effects of macroeconomic shocks on the Namibian economy between 1980 and 2018. Firstly, the study estimated the dynamic effects of fiscal policy shocks through the SVAR approach. IRFs results reveal that a …
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Yield Curves and Macro Variables Interactions and Predictions
… Granger Causality, Impulse Response Function and Variance Decomposition. Afterwards, we predicted yield curves based on ANN Regression Multitask learning, and lastly, we predicted our five macro variables based on three different ANN Classifiers, in order to generalize and present results that are …