Search Results - subject:"Vector Autoregressive Model"

Navigating global uncertainty : examining the effect of geopolitical risks on cryptocurrency prices and volatility in a Markov-switching vector autoregressive model

Buthelezi, Eugene Msizi - In: International economic journal 38 (2024) 4, pp. 564-590

Persistent link: https://www.econbiz.de/10015195347

Unveiling the mystery of the responsiveness of inbound tourism to economic policy uncertainty : new evidence from Australia

Gong, Yuting; Chang, Chia-Hsun; Lee, Paul T.-W.; Yin, Jingbo - In: Tourism economics : the business and finance of tourism … 30 (2024) 8, pp. 2159-2180

Persistent link: https://www.econbiz.de/10015145378

The three co’s to jointly model commodity markets : co-production, co-consumption and co-trading

Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas W. - In: Empirical economics : a quarterly journal of the … 66 (2024) 2, pp. 883-925

Persistent link: https://www.econbiz.de/10014519718

Exploring the nexus between sectoral stock market fluctuations and macroeconomics changes before and during the COVID-19 pandemic

Suriani, Suriani; Correia, Anabela Batista; Nasir, Muhammad - In: Cogent business & management 11 (2024) 1, pp. 1-15

Investors may find it challenging to invest due to economic fluctuations during COVID-19. This study aims to examine the relationship between economic fluctuations and the Indonesian sectoral stock market in the consumer goods sector (CGI), basic industrial and chemical sector (BIC), and...

Persistent link: https://www.econbiz.de/10014520106

Changes in the euro area interest rate pass-through

Michaelis, Henrike - 2024

This paper uses a time-varying vector autoregressive (VAR) model for the euro area to explore the changes in the interest rate pass-through to bank retail rates following conventional and unconventional monetary policy shocks. The median estimate of the impulse responses shows a considerably...

Persistent link: https://www.econbiz.de/10014559289

The loan puzzle in Mexico

Colunga, Luis Fernando - 2024

investigates, through the estimation of a structural vector autoregressive model using national and sectoral-level data, whether …

Persistent link: https://www.econbiz.de/10015084304

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

A systematic vector autoregressive framework for modeling and forecasting mortality

Li, Jackie Zhanbiao; Liu, Jacie Jia; Butt, Adam - In: Journal of forecasting 43 (2024) 6, pp. 2279-2297

Persistent link: https://www.econbiz.de/10015110431

RBI's monetary policy, fiscal deficits and financial crowding out in India : an empirical investigation

Chakraborty, Lekha - 2024

Persistent link: https://www.econbiz.de/10015046779

Safe haven for crude oil : bitcoin or precious metals? : new insight from time varying coefficient-vector autoregressive model

Abidi, Ilyes; Touhami, Kamel - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 184-195

Persistent link: https://www.econbiz.de/10014484270