Search Results - subject:"Vector Autoregressive Model"

Market efficiency assessment for multiple exchanges of cryptocurrencies

Souza, Orlando Telles; Carvalho, João Vinícius de França - In: REGE revista de gestão 31 (2024) 2, pp. 137-151

Persistent link: https://www.econbiz.de/10015189760

Detecting statistically significant changes in connectedness : a bootstrap-based technique

Greenwood-Nimmo, Matthew; Kočenda, Evžen; Viet Hoang … - In: Economic modelling 140 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015190365

Global drivers of inflation : the role of supply chain disruptions and commodity price shocks

Diaz, Elena; Cuñado Eizaguirre, Juncal; Perez de … - In: Economic modelling 140 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015190493

Disentangling demand and supply inflation shocks from electronic payments data

Carlomagno, Guillermo; Eterovic, Nicolás; … - In: Economic modelling 141 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015191406

Assessing cryptomarket risks: macroeconomic forces, market shocks and behavioural dynamics

Thelissaint, Josue - 2024

Persistent link: https://www.econbiz.de/10015191777

Oil market responses to Sino–European political relation shock : insights after China's world trade organization accession

Cai, Yifei; Li, Xiangdong; Zhang, Yahua - In: Economic modelling 141 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015192255

Examining the behaviour of inflation to supply and demand shocks using an MS-VAR model

Koursaros, Demetris; Michail, Nektarios; Savva, Christos - In: Economic modelling 141 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015192259

Estimating the macroeconomic effects of oil supply news

Mori, Lorenzo; Peersman, Gert - 2024

Persistent link: https://www.econbiz.de/10015194290

A structural vector autoregression exploration of South Africa's monetary and macroprudential policy interactions

Magubane, Khwazi; Nzimande, Ntokozo Patrick - In: Economies : open access journal 12 (2024) 10, pp. 1-32

Interactions between monetary and macroprudential policy are crucial in safeguarding price and financial stability. This study investigates the macroeconomic and financial impacts of monetary and macroprudential policy interactions in South Africa, a leading African economy in developing...

Persistent link: https://www.econbiz.de/10015196502

Addition of subset and dummy variables in the Threshold Spatial Vector Autoregressive with Exogenous Variables Model to forecast inflation and money outflow

Setiawan, Setiawan; Sohibien, Gama Putra Danu; Prastyo, … - In: Economies : open access journal 12 (2024) 12, pp. 1-27

The TSpVARX model can be used in inflation and money outflow forecasting by accommodating the reciprocal relationship among endogenous variables, the influence of exogenous variables, inter-regional linkages, and the nonlinearity of the relationship between endogenous and predetermined...

Persistent link: https://www.econbiz.de/10015198420