Search Results - subject:"Variance decomposition"

The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy

Bilgili, Faik - Volkswirtschaftliche Fakultät, … - 2007

This paper, using the Turkish data, employs a VAR model to decompose permanent and transitory shocks on consumption and income. Pistoresi (1997), using USA data, reaches an empirical result that the permanent part of private consumption explains the much of the variance of series, whereas that...

Persistent link: https://www.econbiz.de/10008462317

Wage Distributions by Bargaining Regime: Linked Employer-Employee Data Evidence from Germany

Kohn, Karsten; Lembcke, Alexander C. - Centre for Economic Performance, LSE - 2007

density estimation, variance decomposition, wage equations, German Structure of Earnings Survey JEL Classifications: J31, J … FC IC within−variance between−variance 0 .05 .1 .15 CC FC IC within−variance between−variance Variance decomposition: log … IC Within−variance Between−variance Variance decomposition: residuals from individual-level wage regressions. Data source …

Persistent link: https://www.econbiz.de/10005670560

A Var Analysis of the Current Account

Gogenakan Onder, Nushet Anil - 2006

The objective of this paper is to characterize the interaction of the current account with its determinants using quarterly time series data for Japan, the United Kingdom and the United States from 1970 to 2005. The empirical work adopts a VAR (Vector Autoregressive) framework to capture the...

Persistent link: https://www.econbiz.de/10009431165

Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets

Canto, Bea; Kräussl, Roman - 2006

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...

Persistent link: https://www.econbiz.de/10010298339

Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10010986456

Wage Distribution in Japan: 1989-2003

Kambayashi, Ryo; Kawaguchi, Daiji; Yokoyama, Izumi - Institute of Economic Research, Hitotsubashi University - 2006

decomposition also confirms the basic findings from a parametric variance decomposition. … decomposition also confirms the basic findings from a parametric variance decomposition. Key Words: Wage Distribution, Wage Equation …, Variance Decomposition, DiNardo-Fortin-Lemieux Decomposition, Japan. JEL Classification Code: J31 1 Introduction Economic …

Persistent link: https://www.econbiz.de/10005675477

Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

, Variance Decomposition I. Introduction The increasing availability of high frequency data allows performing more detailed … markets. We overcome this problem by using the Generalized Impulse Response and Variance Decomposition described by Pesaran … functions of the system and its variance decomposition are examined. Table 3 reports the F-statistics of the Granger Causality …

Persistent link: https://www.econbiz.de/10005176445

Quantifying the sources of revenue variation in the Northern Great Plains

C. Hadrich, Joleen - In: Agricultural Finance Review 73 (2013) 3, pp. 493-506

and livestock farms in the Northern Great Plains. Design/methodology/approach – A two method approach is used. Variance … decomposition analysis is completed on an 18-year balanced panel data set of North Dakota producers to determine the sources of farm …

Persistent link: https://www.econbiz.de/10014667605

Returns and volatility spillover between stock prices and exchange rates : Empirical evidence from IBSA countries

Kumar, Manish - In: International Journal of Emerging Markets 8 (2013) 2, pp. 108-128

Purpose – The purpose of this paper is to analyze the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa). Design/methodology/approach – The study uses VAR framework and the recently proposed Spillover measure...

Persistent link: https://www.econbiz.de/10014788248

Impact of Exchange Rate on Selected Macroeconomic Variables: A case study of West African Monetary Zone

Raji, Rahman Olanrewaju - In: Journal of Global Economy 9 (2013) 1, pp. 3-20

The study takes a cursory look at reaction of macroeconomic variables due to exchange rate shocks of four selected WAMZ countries in order to assess the level of macroeconomic convergence in the zone between the declaration’s year of WAMZ, 2000 and 2010 using Structural VAR country by...

Persistent link: https://www.econbiz.de/10011127607