Search Results - subject:"Variance decomposition"

Exchange rate pass-through, monetary policy, and variability of exchange rates

Styrin, Konstantin; Zamulin, Oleg - Center for Economic and Financial Research (CEFIR), New … - 2012

We document that contribution of identified US monetary shock to exchange rate variability differs across currencies and is inversely related to the degree of a country’s US dollar exchange rate pass-through into import prices. We explore this empirical pattern under the assumption that each...

Persistent link: https://www.econbiz.de/10010862231

Cattle Markets Integration and Price Discovery in Three Developing Countries of Mali, Kenya, and Tanzania

Bizimana, Jean-Claude; Angerer, Jay P.; Bessler, David A. - Agricultural and Applied Economics Association - AAEA - 2012

One of the growing agricultural subsectors in developing countries is livestock. Livestock and livestock products account for a third of the agricultural gross output. However, the lack of viable livestock market information systems to increase efficiency of markets and support the decision...

Persistent link: https://www.econbiz.de/10010916567

Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets

Du, Xiaodong - International Association of Agricultural Economists - IAAE - 2012

related policy instruments. Variance decomposition shows that for each market a significant and relatively large share of the …

Persistent link: https://www.econbiz.de/10011069633

Where is the risk? Price, yield and cost risk in Swiss crop production

El Benni, Nadja; Finger, Robert - International Association of Agricultural Economists - IAAE - 2012

management strategies are required to reduce farmers’ income risks. Applying a variance decomposition approach using data of more …

Persistent link: https://www.econbiz.de/10011069659

Investigation of the Factors Affecting Real Exchange Rate in Iran

Goudarzi, Mostafa; Khanarinejad, Komeil; Ardakani, Zahra - In: Romanian Economic Journal 15 (2012) 44, pp. 37-54

real exchange rate and put it above its permanent level in the whole period of study. The results of variance decomposition …

Persistent link: https://www.econbiz.de/10010934749

Impact of Macroeconomic Shocks on Real Output Fluctuations in Croatia

Jakšić, Nataša Erjavec Boris Cota Saša - In: Zagreb International Review of Economics and Business 15 (2012) Special Conference Issue, pp. 69-78

The paper investigates the sources of real output variability in Croatia by assessing the impact of macroeconomic structural shocks on fl uctuations in real output. The analysis is based on a structural vector autoregressive model (SVAR) where structural shocks (demand, supply and nominal) are...

Persistent link: https://www.econbiz.de/10011006973

Co-integration of Karachi Stock Exchange (KSE) With Major Asian Markets

Sarfraz, Asma; Shehzadi, Sumbal; Hussain, Haroon; … - In: Acta Universitatis Danubius. OEconomica (2012) 5(5), pp. 118-129

standard deviation change in other market. Variance decomposition technique is used to decompose the variance in one market due … find no co-integration. Variance decomposition shows that most of the change in above listed countries is due to their own …

Persistent link: https://www.econbiz.de/10010592593

Long-Run and Short-Run Dynamics among the Sectoral Stock Indices: Evidence from Turkey

Vardar, Gulin; Tunc, Gokce; Aydogan, Berna - In: Asian Economic and Financial Review 2 (2012) 2, pp. 347-357

Correction Model (VECM). Likewise, variance decomposition analysis is employed to partition the variance of the forecast error of … relationships between the sector indices are considerably limited and, where they exist, especially unidirectional. The variance … decomposition analysis confirms that even though a high percentage of error variance is accounted for by the innovations in the same …

Persistent link: https://www.econbiz.de/10010593187

Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro

Antonakakis, Nikolaos - FIW - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

Persistent link: https://www.econbiz.de/10010548267

Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries

Antonakakis, Nikolaos; Badinger, Harald - Vienna University of Economics and Business, Department … - 2012

This paper considers the linkages between output growth and output volatility for the sample of G7 countries over the period 1958M2-2011M7, thereby paying particular attention to spillovers within and between countries. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012),...

Persistent link: https://www.econbiz.de/10010549042