Search Results - subject:"vector autoregression model"

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Nonperforming loans in Asia : determinants and macrofinancial linkages

Lee, Junkyu; Rosenkranz, Peter - 2019

The recent rise of nonperforming loans (NPLs) in some Asian economies calls for close analysis of the determinants, the potential macrofinancial feedback effects, and the implications for financial stability in the region. Using a dynamic panel model, we assess the determinants of the evolution...

Persistent link: https://www.econbiz.de/10011984160

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012161533

The dynamic correlation between China's policy uncertainty and the crude oil market : a time-varying analysis

Wang, En-Ze; Lee, Chien-Chiang - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 3, pp. 692-709

Persistent link: https://www.econbiz.de/10012821599

Endogenous income distribution and aggregate demand : empirical evidence from heterogeneous panel structural vector autoregression

Mutlugün, Betül - In: Metroeconomica : international review of economics 73 (2022) 2, pp. 583-637

Persistent link: https://www.econbiz.de/10013190637

Economic policy uncertainty, investor sentiment and financial stability : an empirical study based on the time varying parameter-vector autoregression model

Qi, Xin-Zhou; Ning, Zhong; Qin, Meng - In: Journal of economic interaction and coordination 17 (2022) 3, pp. 779-799

Persistent link: https://www.econbiz.de/10013271990

Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA

Golitsis, Petros; Gkasis, Pavlos; Bellos, Sotirios K. - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10014225729

Relación entre el precio del petróleo y la gasolina para Colombia

Cerquera Losada, Óscar Hernán; Marín Muñoz, Stefany … - In: Revista finanzas y política económica 10 (2018) 2, pp. 373-387

Persistent link: https://www.econbiz.de/10012162588

Causal relations among macroeconomic variables under various exchange rate levels : an implementation of threshold vector autoregression model

Teker, Dilek; Teker, Suat; Alp, Elçin Aykaç - In: International journal of economics and financial issues … 8 (2018) 4, pp. 177-184

Persistent link: https://www.econbiz.de/10011979485

Panel vector autoregression in R with the package panelvar

Sigmund, Michael; Ferstl, Robert - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 693-720

Persistent link: https://www.econbiz.de/10012655612

Oil prices and stock market interplay in Dubai

Murali, Shruthi; Thiyagarajan, S.; Gopal, Naresh - In: International journal of management practice : IJMP 14 (2021) 1, pp. 107-127

Persistent link: https://www.econbiz.de/10012515034

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