Search Results - subject:"vector autoregression."

Spillovers between sovereign bonds and the banking sector : evidence from Italy

Cafiso, Gianluca; Rivolta, Giulia - 2025

based on the estimation of a vector autoregression with time-varying parameters. Our results suggest that, with the …

Persistent link: https://www.econbiz.de/10015372003

Impulse response diagnostics for priors on parameters in structural vector autoregressions

Kilian, Lutz - 2025

Persistent link: https://www.econbiz.de/10015406563

The conventional impulse response prior in VAR models with sign restrictions

Inoue, Atsushi; Kilian, Lutz - 2025

Persistent link: https://www.econbiz.de/10015406612

Uncovering the inventory-business cycle nexus

Rossi, Luca - 2025

Persistent link: https://www.econbiz.de/10015406421

Comparative analysis of VAR and SVAR models in assessing oil price shocks and exchange rate transmission to consumer prices in South Africa

Majenge, Luyanda; Mpungose, Sakhile; Msomi, Simiso - In: Econometrics : open access journal 13 (2025) 1, pp. 1-36

This study compared standard VAR, SVAR with short-run restrictions, and SVAR with long-run restrictions to investigate the effects of oil price shocks and the foreign exchange rate (ZAR/USD) on consumer prices in South Africa after the 2008 financial crisis. The standard VAR model revealed that...

Persistent link: https://www.econbiz.de/10015408192