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Relevant bibliographies by topics / Panel Vector Autoregressive Model (panel VAR)

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Academic literature on the topic 'Panel Vector Autoregressive Model (panel VAR)'

Author: Grafiati

Published: 9 March 2023

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Journal articles on the topic "Panel Vector Autoregressive Model (panel VAR)"

1

Arı, Yakup. "The CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR." Applied Econometrics 67, no. 3 (2022): 5–26. http://dx.doi.org/10.22394/1993-7601-2022-67-5-26.

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This study focuses on the volatility spillover between the stock prices of foreign banks having business in Turkey and the exchange rate. More particularly, it analyzes the connectedness between the USD-TRY exchange rate volatility and the foreign banks’ stock price volatility in their own country’s stock markets. We select ten foreign banks with the biggest total assets and divide them into two panels: eastern and western capitalized banks. The dataset contains weekly data from 2016-01-04 to 2022-01-17. We estimate volatilities utilizing the Conditional Autoregressive Range (CARR) model and t

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2

Shapor, Maria Alexandrovna, and Rafael Rubenovich Gevogyan. "Features of the vector autoregression models application in macroeconomic research." Mezhdunarodnaja jekonomika (The World Economics), no. 8 (August 10, 2021): 634–49. http://dx.doi.org/10.33920/vne-04-2108-05.

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In this paper, we analyzed articles by foreign authors that use various vector autoregression models to calculate the impact of qualitative indicators on the economic processes of countries or a group of countries. In particular, the article analyzed the classical model of vector autoregression (VAR), panel model of autoregressive (PVAR), Bayesian model of autoregressive (BVAR), structural model of autoregressive (SVAR), and the global model of autoregressive (GVAR). Among the works using vector autoregressive models, the main emphasis is on financial indicators. Moreover, articles with non-tr

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3

Paibi, Bunting Boruku, Didi Essi Isaac, and Zorle Dum Deebom. "Exchange Rate, Interest Rate and Agricultural Export Earnings: An analysis Using Panel Data Vector Autoregressive Model." INTERNATIONAL JOURNAL OF APPLIED SCIENCE AND MATHEMATICAL THEORY 8, no. 2 (2022): 14–37. http://dx.doi.org/10.56201/ijasmt.v8.no2.2022.pg14.37.

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The study modeled the dynamic interaction between exchange rate, interest rate and agricultural export earnings using panel VAR Model. The specific objectives of the study include to; interdependencies in the dynamic interaction between exchange rate, interest rate and agricultural export earnings, parameters of panel VAR model using PVAR Stata code developed by Abrigo and love, determine the shocks associated with their dynamic interactions between these variables, investigate direction of causality between interest rate, exchange rate and agricultural export earnings from six African countri

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4

Anwar, Cep Jandi, and Indra Suhendra. "Measuring Response of Stock Market to Central Bank Independence Shock." SAGE Open 13, no. 1 (2023): 215824402311521. http://dx.doi.org/10.1177/21582440231152135.

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This paper examines the responses of stock traded and economic activity in relation to central bank independence shocks. The analysis is based on a panel Vector Autoregressive estimation covering 25 developing countries for a quarterly period between 1990 Q1 and 2021 Q4. Panel VAR estimation is known to be potentially biased in a dynamic panel data model if the coefficient on the endogenous variables differs across countries. To test the pooling assumption of the model, this paper applies the Chow and Roy-Zellner tests. The results establish that the models contain the heterogeneity among samp

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5

Ariutama, I. Gede Agus, and NFN Syahrul. "ANALISIS PANEL VAR: TINGKAT PENDIDIKAN, TINGKAT KESEHATAN, DAN KETIMPANGAN PENDAPATAN DI INDONESIA." INFO ARTHA 1 (June 7, 2017): 1–16. http://dx.doi.org/10.31092/jia.v1i1.74.

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By utilizing Panel Vector Autoregressive (PVAR) model, this study aims to identify the reciprocal effect of the level of education, health, and income inequality in Indonesia. Data of 33 provinces from 2009-2013 specifically means of school years for education level, life expectancy for health level, and gini ratio for the income inequality are explored. Furthermore, Granger Causality Test is employed to test the causality of the variables. The results showed that the levels of education, health, and income inequality in Indonesia shared mutual relationship by applying one lag as the best PVAR

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6

Kovacevic, Radovan. "The effects of FDI net inflow on the current account of southeast Europe countries - a panel causality analysis." Ekonomski anali 67, no. 235 (2022): 95–122. http://dx.doi.org/10.2298/eka2235095k.

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This paper examines the relationship between the current account (CA) and the foreign direct investment (FDI) net inflow in the Southeast Europe (SEE) countries. The panel data framework of five SEE countries for the period 2000- 2020 are used. Our research has three main findings. First, using the vector autoregressive VAR(2) model, a long-run relationship between the CA and the net FDI inflow is identified (a 1% increase in the net FDI inflow leads to a 1.011% increase in the CA deficit). This suggests that FDI stock will put upward pressure on the CA of the SEE countries in the long run. Se

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7

Pacifico, Antonio. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems." Econometrics 7, no. 1 (2019): 8. http://dx.doi.org/10.3390/econometrics7010008.

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This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with model misspecification and unobserved heterogeneity problems in applied macroeconomic analyses when studying time-varying relationships and dynamic interdependencies among countries and variables. I discuss what its distinctive features are, what it is used for, and how it can be analytically derived. I also describe how it is estimated and how structural spillovers and shock identification are performed. The model is empirically applied to a set of developed European economi

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8

Gao, Ang. "Transmission Machine of International Financial Crisis Based on VAR Model." Frontiers in Business, Economics and Management 5, no. 1 (2022): 48–52. http://dx.doi.org/10.54097/fbem.v5i1.1429.

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The financial crisis has always been accompanied by human economic activities, and its outbreak has a serious impact on people's normal life, and it has no warning, which is a problem of great concern to all countries in the current economic development. Based on the monthly data of long-term bond yields of eight countries (six European countries, the United States and Japan) from December 2009 to February 2012, through correlation test and Granger causality analysis, the results show that there is no Granger causality between the bond yields of various countries and the bond yields of Greece

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9

Kristianto, Doddy. "CREDIT FOR MSMES, PRIVATE CREDIT, AND REGIONAL ECONOMIC GROWTH IN INDONESIA: A PANEL VECTOR AUTOREGRESSIVE ANALYSIS." INFO ARTHA 3, no. 2 (2019): 85–100. http://dx.doi.org/10.31092/jia.v3i2.576.

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This study aims to analyse the dynamic between credit to micro, small, and medium enterprises (MSMEs), private credit, and regional economic growth in Indonesia. A panel vector autoregression model is employed to understand the dynamic in the model. Unlike previous cross-country studies, this paper is using provincial panel data. The relationship between variables in the model are connected under the same regulation, monetary authority, and fiscal institution. Thus, there will be no effects that appear from the differences of institutions. The results suggest that the interaction between credi

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10

Sekolah Tinggi Ilmu Ekonomi Y.A.I. Jakarta, Zara Tania Rahmadi, and Adji Suratman Sekolah Tinggi Ilmu Ekonomi Y.A.I. Jakarta. "JUMPA Vol.3 No.1 Feb 2016 ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI DIVIDEND PAYOUT RATIO (DPR) DI PERUSAHAAN GO PUBLICK YANG TERDAFTAR DI BURSA EFEK INDONESIA SELAIN JASA KEUANGANDENGAN MODEL VECTOR AUTOREGRESIVE PERIODE 2009 -2013." Jurnal Manajemen dan Perbankan (JUMPA) 3, no. 1 (2016): 69–86. http://dx.doi.org/10.55963/jumpa.v3i1.192.

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This research aimed to analyze the influence of factors such as current ratio, debt to asset ratio, debt to equity ratio, return on assets and return on equity of the company dividend policy with vector autoregressive models as a tool of analysis, Sample of this research is the company to go public in addition to the financial services listed in the Indonesia Stock Exchange (BEI) as many as 25 companies were observed for five years (2009-2013).The analytical method used in this research is panel data regression model (a combination of time series and cross section) and vector autoregressive mo

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