Search Results - subject:"vector auto regression"

The Relationship Between Money and Income in Thailand: Some Evidence for the 1980s Using a Cointegration Approach

Hataiseree, Rungsun; Phipps, Anthony - School of Economics, Faculty of Arts and Social Sciences - 1995

This paper uses cointegration and vector auto regression techniques to examine which, if any, of the financial …

Persistent link: https://www.econbiz.de/10009141874

What Happens After A Technology Shock? A Bayesian Perspective

Mikhail, Ossama - EconWPA - 2005

This paper investigates the effect of a positive technology shock on per capita hours worked within the class of Bayesian Vector Auto-Regressive [BVAR] models. Such a framework avoids the current debate regarding the specification issue of per capita hours [level versus first-difference...

Persistent link: https://www.econbiz.de/10005412608

European Stock Market Dynamics Before and After the Introduction of the Euro

Friedman, Joseph; Shachmurove, Yochanan - Department of Economics, University of Pennsylvania - 2005

innovations in other markets? How fast are events occurring in one European market transmitted to other markets? Vector Auto … Regression models, impulses responses and variance decomposition are used to ascertain the stock market dynamics before and after …

Persistent link: https://www.econbiz.de/10005061933

Output Variability and the Money-Output Relationship

Guirguis, Hany; Schmidt, Martin B. - In: International Journal of Business and Economics 4 (2005) 1, pp. 53-66

The present paper incorporates a rolling regression approach to examine the sensitivity of output responses to monetary shocks. In doing so, the paper finds that the impact of monetary shocks is highly variable. Specifically, the output responses are estimated to be significant during the 1970s...

Persistent link: https://www.econbiz.de/10010598919

The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks

Rahman, Shafiqur; Krishnamurti, Chandrasekhar; Lee, Alice - In: Review of Quantitative Finance and Accounting 25 (2005) 2, pp. 91-124

We examine the dynamics of return volatility, trading volume, and depth—in an intraday setting for a sample of actively traded NYSE and NASDAQ stocks. We show that depth is a useful intervening variable and mitigates the impact of trading activity on price volatility. Furthermore, depth is...

Persistent link: https://www.econbiz.de/10005673892

Stock Market and Foreign Exchange Market in India: Are they Related?

Mishra, Alok Kumar - In: South Asia Economic Journal 5 (2004) 2, pp. 209-232

. The study uses Grangerâ€™s Causality test and Vector Auto Regression technique on monthly stock return, exchange rate … for money; (b) there is no Grangerâ€™s causality between the exchange rate return and stock return. Through Vector Auto … Regression modelling, the study confirms that though stock return, exchange rate return, the demand for money and interest rate …

Persistent link: https://www.econbiz.de/10011135934

Rational Philanthropy and Cultural Capital

Ulibarri, Carlos - In: Journal of Cultural Economics 24 (2000) 2, pp. 135-146

This paper develops a theory of rational philanthropyin forming ``cultural capital'' and aestheticpreferences. The study maintains that changes incapital market opportunities provide investmentmotives for private and public giving. Theseimplications are examined in a Vector Autoregressive(VAR)...

Persistent link: https://www.econbiz.de/10005673640

The Rise and Fall of Inflation in Italy in the 1990s: A Comparative Analysis of Four Different Explanations

Gaiotti, Eugenio; Gavosto, Andrea; Grande, Giuseppe - In: Giornale degli Economisti 57 (1998) 3-4, pp. 297-324

weight of each story is assessed by way of a vector auto-regression. The results suggest that inflation expectations did …

Persistent link: https://www.econbiz.de/10005772689

ACREAGE RESPONSE ANALYSIS OF MAIZE GROWERS IN KHYBER PAKHTUNKHWA, PAKISTAN

Riaz, Bakhtawar; Ali, Shahid; Jan, Dawood - In: International Journal of Food and Agricultural … 2, 3

yield, average rainfall were collected from various published sources. Nerlovian adjustment lag model and Vector Auto … Regression (VAR) technique of estimation was employed for analyzing acreage response of maize. The model explained more than 90 …

Persistent link: https://www.econbiz.de/10011143615