Relevant bibliographies by topics / Structural VAR model

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Structural VAR model'

Author: Grafiati
Published: 4 June 2021
Last updated: 31 January 2023

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Journal articles on the topic "Structural VAR model"

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MORITA, Yoji, and Shigeyoshi MIYAGAWA. "Structural VAR Model and Economic Fluctuations." Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 1995 (May 5, 1995): 113–18. http://dx.doi.org/10.5687/sss.1995.113.

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Goodwin, Barry K. "Forecasting Cattle Prices in the Presence of Structural Change." Journal of Agricultural and Applied Economics 24, no. 2 (December 1992): 11–22. http://dx.doi.org/10.1017/s0081305200018331.

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AbstractRecent empirical research and developments in the cattle industry suggest several reasons to suspect structural change in economic relationships determining cattle prices. Standard forecasting models may ignore structural change and may produce biased and misleading forecasts. Vector autoregressive (VAR) models that allow parameters to vary with time are used to forecast quarterly cattle prices. The VAR procedures are flexible in that they allow the identification of structural change that begins at an a priori unknown point and occurs gradually. The results indicate that the lowest RMSE for out-of-sample forecasts of cattle prices is obtained using a gradually switching VAR model. However, differences between the gradually switching VAR model and a univariate ARIMA model are not strongly significant. Impulse response functions indicate that adjustments of cattle prices to new information have become faster in recent years.
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DUNGEY, MARDI, and ADRIAN PAGAN. "A Structural VAR Model of the Australian Economy." Economic Record 76, no. 235 (December 2000): 321–42. http://dx.doi.org/10.1111/j.1475-4932.2000.tb00030.x.

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Narayan, Seema. "A structural VAR model of the Fiji Islands." Economic Modelling 31 (March 2013): 238–44. http://dx.doi.org/10.1016/j.econmod.2012.11.014.

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Crowder, William J., and Mark E. Wohar. "A cointegrated structural VAR model of the Canadian economy." Applied Economics 36, no. 3 (February 20, 2004): 195–213. http://dx.doi.org/10.1080/0003684042000175325.

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Österholm, Pär. "A structural Bayesian VAR for model-based fan charts." Applied Economics 40, no. 12 (June 2008): 1557–69. http://dx.doi.org/10.1080/00036840600843947.

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Ben Arfa, Nabil. "Sources of economic fuctuations in France: A structural VAR model." European Journal of Government and Economics 1, no. 1 (June 30, 2012): 66. http://dx.doi.org/10.17979/ejge.2012.1.1.4277.

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This paper studies the economic fluctuations of an open economy such as the French economy. A system of variables containing output, price level, trade balance, real exchange rate and oil prices is analyzed by applying the structural vector autoregressive (SVAR) methodology initiated by Sims (1980). This set of variables allows to evaluate the main sources of impulses of the French economy fluctuations. The results show that five structural shocks are identified using the long-run constraints implemented by Blanchard and Quah (1989). From the SVAR dynamic properties, impulse response functions and variance decomposition, the French economy is shown to be particularly vulnerable to supply and oil price shocks, where these two shocks respectively contribute to 40% and 35% of the economic disturbance. France is also hit by important external shocks which damage its trade balance position. Finally, it is found that shocks related to economic policy (demand shocks) have a quite limited impact on the economic activity.
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Cho, Dongchul. "Aggregate demand gap based on a simple structural VAR model." Economics Letters 114, no. 2 (February 2012): 228–34. http://dx.doi.org/10.1016/j.econlet.2011.09.038.

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Kliem, Martin, and Alexander Kriwoluzky. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?" Economics Letters 121, no. 2 (November 2013): 247–51. http://dx.doi.org/10.1016/j.econlet.2013.08.006.

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Assenmacher-Wesche, Katrin. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model." Swiss Journal of Economics and Statistics 144, no. 2 (January 2, 2008): 197–246. http://dx.doi.org/10.1007/bf03399253.

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Dissertations / Theses on the topic "Structural VAR model"

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Stockhammer, Engelbert, and Özlem Onaran. "Accumulation, distribution and employment. A structural VAR approach to a Post-Keynesian Macro Model." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1220/1/document.pdf.

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The paper investigates the relation between effective demand, income distribution and unemployment empirically. Its aim is to evaluate Keynesian, Kaldorian and neoclassical hypotheses about the determination of labor market variables. To do so, a vector autoregression model consisting of capital accumulation, capacity utilization, the profit share, unemployment and the growth of labor productivity is estimated. A general post-Keynesian model following the lines of Kalecki and Kaldor is presented and provides the specification for a structural VAR. The model is estimated for the USA, UK and France. (authors' abstract)
Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"
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Akusuwan, Mutita. "A small quarterly macroeconometric model for the Thai economy : a structural cointegrating VAR approach." Thesis, University of Cambridge, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.614921.

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Perez, Tomas Rene. "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument." Miami University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786.

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Huber, Florian, and Manfred M. Fischer. "A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy." WU Vienna University of Economics and Business, 2015. http://epub.wu.ac.at/4626/1/wp201.pdf.

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This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions.
Series: Department of Economics Working Paper Series
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Maleček, Petr. "Cross-Border Effects of Fiscal Policies." Doctoral thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-199301.

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This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.
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Valenta, Vilém. "Interactions between fiscal policy and real economy in the Czech Republic: a quantitative analysis." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-72232.

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After many decades, macroeconomic effects of fiscal policy have returned to the centre of the economic policy debate. Both automatic fiscal stabilizers and discretionary fiscal stimuli have been used to support aggregate demand during the recent global economic crisis with a subsequent need for large-scale fiscal consolidations. In this context, a proper assessment of the size of automatic fiscal stabilizers and fiscal multipliers represents a key input for fiscal policymaking. This dissertation provides a quantitative analysis of the interactions between fiscal policy and real economy in the Czech Republic. The impact of real economy developments on public finances is assessed based on the methods of the OECD, the European Commission and the ESCB for the identification of general government structural balances, i.e. balances adjusted for effects of the economic cycle and net of one-off and other temporary transactions. I find that the underlying fiscal position, as approximated by the government structural balance, was mostly below the level stabilising the debt-to-GDP ratio since mid-1990s. An indistinct improvement in the structural balance can be identified in the period 2004--2007, which was subsequently reversed by the adverse structural impact of the world economic crisis. At the same time, dynamics of unadjusted fiscal balance was largely determined by one-off transactions in the past. The effects of fiscal policy on real economy are analysed using the structural VAR approach. I find that an increase in government spending has a temporary positive effect on output that peaks after one to two years with a multiplier of around 0.6. Tax multiplier appears to be small and, in contrast to standard Keynesian assumptions, positive. Government spending is supportive to private consumption, contradicting the hypothesis of Ricardian equivalence, but it crowds out private investment in the short run. The results should be interpreted with caution, as the analysis is complicated by rapidly changing economic environment in the period of the economic transition, relatively short available time series and a large number of one-off fiscal transactions.
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Ben, Saad Lakhal Asma. "Etudes sur le rôle de l'immobilier dans la stabilité économique et financière en France." Thesis, Orléans, 2018. http://www.theses.fr/2018ORLE0502.

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La présente thèse vient contribuer aux débats d’actualités sur le rôle de l’immobilier dans la conjoncture économique ainsi que dans la stabilité du système financier. Après avoir mis en évidence l’ampleur des crises immobilières, nous évaluons l’impact d’un choc des prix immobiliers sur le cycle économique (chapitre1). Nous montrons, qu’en France, l’effet de richesse immobilière est plus important que l’effet de richesse boursière. Nous concluons que les prix immobiliers impactent significativement le cycle économique. Ensuite, nous mesurons l’incidence de l’activité dans le secteur immobilier sur l’activité économique dans l’ensemble (chapitre2). Il ressort de notre étude empirique que l’investissement résidentiel ne joue qu’un rôle mineur dans les fluctuations conjoncturelles en France. Celles-ci sont dominées par les évolutions du solde commercial et la consommation des ménages. Enfin, nous étudions la place de l’immobilier résidentiel dans la stabilité du système financier français (chapitre3). Nous analysons l’interaction dynamique entre le marché de crédit à l’habitat et l’évolution des prix immobiliers. Cette interaction engendre une spirale déstabilisante qui explique la formation de la bulle immobilière. Nous sommes conduits à évaluer l’efficacité des politiques monétaire et macroprudentielle à contrôler les évolutions des prix immobiliers. Nos résultats montrent que le taux d’apport personnel est l’instrument le plus approprié à atteindre cet objectif
This thesis contributes to the topical debate on the role of real estate in the economic condition as well as in the stability of the financial system. After highlighting the scale of a real estate crisis, we evaluate the impact of a real estate price shock on the business cycle (Chapter 1). We show that, in France, the housing wealth effect is more important than the equity wealth effect. We conclude that housing prices significantly impact the business cycle. Then, we measure the impact of activity in the real estate sector on overall economic activity (Chapter 2). Our empirical research proves that residential investment only plays a minor role in the cyclical fluctuation. The two most influential components in the business cycle are the trade balance and household consumption. Finally, we expose the role of residential real estate in the stability of the French financial system (Chapter 3). We analyze the dynamic interaction between the housing credit market and the evolution of real estate prices. This interaction generates the vicious spiral that explains the formation of property bubbles. This is why we are interested in the evaluation of monetary and macroprudential policies effectiveness to control the evolutions of real estate prices. Our results show that the down-payment rate is the most appropriate instrument to achieve this objective
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Zanetta, Neto Ary Cera. "Efeitos de choques globais na economia brasileira: uma análise a partir do GVAR." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11935.

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Submitted by Ary Cera Zanetta Neto Zanetta (ary.zanetta@brasil-capital.com) on 2014-08-19T19:21:54Z No. of bitstreams: 1 Efeitos de Choques Globais na Economia Brasileira_ Uma Análise a Partir do GVAR.pdf: 1085836 bytes, checksum: 25e953aa352fed09b5b828362226aab9 (MD5)
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O objetivo deste estudo é avaliar a propagação de choques econômicos de alguns países sobre o crescimento econômico brasileiro, com principal destaque para China, Estados Unidos da América (EUA) e Argentina, que são os principais parceiros comerciais do Brasil. O aumento do comércio com a China tornou o Brasil muito mais vulnerável a choques no PIB chinês e menos vulnerável, do que no passado recente, a choques no PIB americano, enquanto que a influência da Argentina manteve-se estável. Foi aplicada a metodologia Vetor Autorregressivo Global (Global Var – GVAR), introduzida por Pesaran, Schuermann e Weiner (2004), Garratt, Lee, Pesaran e Shin (2006) e Dées, Di Mauro, Pesaran e Smith (2007), para analisar os canais de comércio e a transmissão de choques entre o resto do mundo e o Brasil. Usando dados trimestrais a partir de 1990 até o final de 2013, foi possível constatar que o aumento da relevância da economia Chinesa na balança comercial Brasileira exerce pressão sobre o crescimento econômico do Brasil. Em suma, a China tornou-se mais relevante para o crescimento econômico do Brasil do que os EUA e a Argentina.
The objective of this study is to evaluate the impact of variations in the Gross Domestic Product (GDP) of countries and economic blocks over Brazilian economic growth, with emphasis on China, United States of America (USA) and Argentina, which are the main commercial partners of Brazil. The increase in trading with China has made Brazil more vulnerable to shocks in Chinese GDP and less vulnerable, than in the recent past, to shocks in American GDP, and stability in the case of Argentina. It has been applied the methodology Global Vector Autorregressive (Global Var – GVAR), introduced, explained and expanded by Pesaran, Schuermann and Weiner (2004), Garratt, Lee, Pesaran and Shin (2006) and Dées, Di Mauro, Pesaran and Smith (2007) to analyze the trading channels and the transmission of shocks between the rest of the world and Brazil (specially with China, USA and Argentina). Using a sample from the first quarter of 1990 to the third quarter of 2013 it is possible to see that the increase of relevance of the Chinese economy on the Brazil trade balance increased the relevance of the Chinese economy over the Brazilian economy. Therefore, the conclusions of this work indicate a considerable vulnerability of the Brazilian economy to the Chinese economic cycle and, in a lower degree than in the past, to the American and Argentinian economies.
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FUKUDA, REGINA KAZUMI. "ESTIMATING VAR MODELS FOR THE TERM STRUCTURE OF INTEREST RATES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9633@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
Nessa dissertação seguimos o artigo de Evans e Marshall (1998) e propomos novas abordagens para modelar o desenvolvimento conjunto de variáveis macroeconômicas e retornos de títulos de renda fixacom diversas maturidades. Os modelos são estimados e comparados com outros, já tradicionais na literatura, baseados em modelos auto- regresivos univariados ou de correção de erros. em seguida, os novos modelos são utilizados para avaliar se a informação contida nas variáveis macroeconômicas e na estrutura a termo das taxas de juros ajuda a melhorar a capacidade de previsão. A principal conclusão é que, se o interese maior está em previsões de curto prazo, então não há melhoria significativa ao agregar outras informações que não sejam aquelas já contidas em observações passadas do próprio rendimento em questão. se, no entanto, o interesse maior está em previsões de longo prazo (que é o caso de fundos de previdência, sejam eles abertos ou fechados), então a informação inerente às variáveis macroeconômicas consegue melhorar o desempenho preditivo.
In this dissertation we follow Evans and Marshall (1998) and propose new approaches for modeling the joint development of macro variables and the returns of government bond yields of several maturities. The models are estimated and compared with other forecasting schemes previously proposed in the literature, especially those relying on univariate, VAR and error correction methods. The models are then used to judge the hypothesis that the information content of macro variables and the term structure of interest rates as a whole helps improving forecasting performance. Our main conclusion is quite simple: if one is interested in computing short term forecasts, then there is no significant improvement in incorporating information other than the one already present in past observations of the yield at hand; however, if one worries about long term forecasts (which is frequently the case of pension insurance companies), then the information content of macro variables and the term structure can improve forecasting performance
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Neri, Stefano. "Structural VARs and DSGE models: applications to macroeconomics." Doctoral thesis, Universitat Pompeu Fabra, 2003. http://hdl.handle.net/10803/7334.

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Los argumentos de la tesis son los modelos VAR estructurales y los modelos dinámicos de equilibrio general ambos aplicados a la macroeconomía.
El primer capítulo analiza, por medio de modelos VAR, los efectos de la políticas monetaria y fiscal sobre el producto interior bruto (PIB) y
el nivel de los precios en la economía norteamericana a partir de los años sesenta. Ambas políticas producen efectos pequeños. El capítulo demuestra que si en un modelo VAR para el análisis solo de la política monetaria se incluyen variables fiscales, sus efectos se educen de la mitad.
El segundo capítulo analiza los efectos de aumentos de los tipos de interés a corto plazo sobre los índices de bolsas en los países que forman el G-7 y en España. Los efectos, en general negativos y transitorios, son diferentes en termino de reducción de los índices entre los países analizados. Variaciones exógenas de los tipos de interés no parecen ser responsables de los principales movimientos en los índices de bolsa.
El tercer capítulo presenta un modelo de equilibrio económico general en el cual las familias consumidoras pueden invertir en acciones y en depósitos bancarios. El modelo, calibrado sobre los datos de la economía norteamericana es capaz de reproducir, desde un punto de vista cualitativo, los efectos de la política monetaria sobre el índice de la bolsa.
El ultimo capítulo confronta tres modelos de equilibrio económico general alternativos del ciclo económico. En el primero las fricciones financieras determinan endógenamente costes para variar el nivel de capital. En los otros dos estos costes son exógenos. Los modelos son estimados mediante el método de la máxima verosimilitud utilizando datos sobre la economía norteamericana de 1966 hasta el 2001. El resultado principal es que el primer modelo no parece explicar mejor que los modelos alternativos las dinámicas de las principales variables del modelo.
Chapter 1 investigates if and how the standard results of the VAR literature on the macroeconomic effects of monetary policy, which typically overlooks fiscal policy, are affected when monetary and fiscal policy are jointly considered. To this end, structural VAR models are set up using U.S. post-war data. It is found that the magnitude of the responses of output and price to a monetary policy shock are halved once fiscal policy is considered. Both monetary and fiscal policy shocks have small effects on output and the prices.
Chapter 2 evaluates the effects of monetary policy shocks on stock market indices in the G-7 countries and Spain using structural VARs. A contractionary shock has a negative and transitory effect on stock market indices.
In Chapter 3 a limited participation model with households trading in stocks is set up and validated by means of impulse responses using U.S. data.
The model is able to account for the empirical response of stock prices to monetary policy shocks.
Chapter 4 compares three alternative models of the business cycle that rely on sticky prices and real rigidities in the form of adjustment costs for investment. In the first model these costs arise endogenously as the result of asymmetric information and agency costs. In the second model the costs for adjusting the level of investment are exogenously imposed while in the last model these costs are imposed on the changes in investment. The models are estimated with maximum likelihood using U.S. post-war data. The model with exogenous adjustment costs on the level of investment seems to provide the best representation of the U.S. business cycle and the responses to technology and monetary policy shocks.
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Books on the topic "Structural VAR model"

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Kano, Takashi. A structural VAR approach to the intertemporal model of the current account. Ottawa: Bank of Canada, 2003.

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Christiano, Lawrence J. Assessing structural VARs. Cambridge, Mass: National Bureau of Economic Research, 2006.

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Christiano, Lawrence J. Assessing structural vars. Washington, D.C: Federal Reserve Board, 2006.

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McCoy, Daniel. How useful is structural VAR analysis for Irish economics? Dublin: Research and Publications Department, Central Bank of Ireland, 1997.

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Clements, Michael P. Empirical analysis of macroeconomic time series: VAR and structural models. Southampton: University of Southampton, Dept. of Economics, 1990.

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Claus, Iris. Estimating potential output for New Zealand: A structural VAR approach. Wellington, New Zealand: Reserve Bank of New Zealand, 2000.

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Chari, V. V. A critique of structural VARS using business cycle theory. [Minneapolis, Minn.]: Federal Reserve Bank of Minneapolis, 2005.

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Chari, V. V. A critique of structural VARs using real business cycle theory. [Minneapolis, MN]: Federal Reserve Bank of Minneapolis, Research Dept., 2004.

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Kumah, Francis Y. Commodity price shocks and the odds on fiscal performance: A structural VAR approach. Washington, D.C: International Monetary Fund, Middle East and Central Asia Dept., 2005.

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Abeysinghe, Tilak. Trade linkages and output-multiplier effects: A structural VAR approach with a focus on Asia. Cambridge, MA: National Bureau of Economic Research, 2001.

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Book chapters on the topic "Structural VAR model"

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Amisano, Gianni, and Carlo Giannini. "Model selection in Structural VAR analysis." In Topics in Structural VAR Econometrics, 107–13. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-60623-6_7.

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Amisano, Gianni, and Carlo Giannini. "Identification analysis and F.I.M.L estimation for the K-Model." In Topics in Structural VAR Econometrics, 29–39. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-60623-6_2.

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Amisano, Gianni, and Carlo Giannini. "Identification analysis and F.I.M.L estimation for the C-Model." In Topics in Structural VAR Econometrics, 40–47. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-60623-6_3.

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Amisano, Gianni, and Carlo Giannini. "Identification analysis and F.I.M.L estimation for the AB-Model." In Topics in Structural VAR Econometrics, 48–59. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-60623-6_4.

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Amisano, Gianni, and Carlo Giannini. "From VAR models to Structural VAR models." In Topics in Structural VAR Econometrics, 1–28. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-60623-6_1.

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Sernelius, Bo E. "General Method to Find the Normal Modes in Layered Structures." In Fundamentals of van der Waals and Casimir Interactions, 125–31. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-99831-2_7.

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Sun, Kechao, and Chunguang Jing. "Study on the Relationship Between Highway Freight Volume and Industrial Structure in China on VAR Model." In Green Intelligent Transportation Systems, 787–97. Singapore: Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-0302-9_77.

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Yang, Yang. "An Empirical Analysis of the VAR Model of Consumption Structure, Industrial Structure and Economic Growth in the Internet Age: Taking Henan Province as an Example." In Lecture Notes in Electrical Engineering, 917–23. Singapore: Springer Singapore, 2022. http://dx.doi.org/10.1007/978-981-16-4258-6_112.

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Tassinari, Giorgio, and Demetrio Panarello. "The effectiveness of marketing tools in a consumer goods market in Italy during the Great Recession (2010-2015)." In Proceedings e report, 105–10. Florence: Firenze University Press, 2021. http://dx.doi.org/10.36253/978-88-5518-461-8.20.

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In the case of markets characterized by a stationary primary demand, the relevant dimension for measuring a company’s success is represented by market shares. The paper aims to build and comment on a model that gauges the competitive effects of marketing maneuvers on market shares, with reference to tea-based beverages in Italy in the period November 2010 – October 2015. This analysis will be instrumental in establishing the effectiveness of marketing policies based on promotions or advertising. We estimate such a model on weekly data provided by IRI Infoscan and Nielsen, involving the top five brands in the Italian market. After a descriptive analysis and a stationarity test, we estimate a Multinomial Logit model, making use of the Seemingly Unrelated Regressions method. The results allow us to identify the effectiveness of each brand’s marketing policies. Moreover, they enable us to derive the matrices of direct and cross elasticities of brands’ market shares with respect to the main marketing tools (price, promotions, distribution, advertising investments) and to compare basic and average market shares. Based on these results, it is therefore possible to identify the market’s competitive structure, revealing the most incisive factors to be price and weighted distribution, while advertising investments are significant in only a few cases and elasticities are remarkably low. The competitive structure appears to be of a horizontal type (i.e., cross elasticities do not vary greatly).
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Semba, Kouichi. "Emerging Ultrastrong Coupling Between Light and Matter Observed in Circuit Quantum Electrodynamics." In International Symposium on Mathematics, Quantum Theory, and Cryptography, 7–8. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-5191-8_3.

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Abstract The strength of the coupling between an atom and a single electromagnetic field mode is defined as the ratio of the vacuum Rabi frequency to the Larmor frequency, and is determined by a small dimensionless physical constant, the fine structure constant $$\alpha =Z_{vac} / 2R_{K}$$. On the other hand, the quantum circuit including Josephson junctions behaving as artificial atoms and it can be coupled to the electromagnetic field with arbitrary strength (Devoret et al. 2007). Therefore, the circuit quantum electrodynamics (circuit QED) is extremely suitable for studying much stronger light-matter interaction.
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Conference papers on the topic "Structural VAR model"

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Ren, Liang, and Bing Li. "VAR model Analysis on Japan's OFDI and Industrial Structural Upgrading." In 2010 International Conference on E-Business Intelligence (ICEBI-2010). Paris, France: Atlantis Press, 2010. http://dx.doi.org/10.2991/icebi.2010.4.

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Liang, Ren. "VAR Model Analysis on Japan's OFDI and Industrial Structural Upgrading." In 2011 Seventh International Conference on Computational Intelligence and Security (CIS). IEEE, 2011. http://dx.doi.org/10.1109/cis.2011.355.

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Sun, Ning, and Lianshui Li. "Evaluating the Mutual Impacts between Global Warming and Industry Economy in Nanjing Based on Structural VAR Model." In 2008 International Workshop on Modelling, Simulation and Optimization. IEEE, 2008. http://dx.doi.org/10.1109/wmso.2008.114.

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Dias, Rui, Hortense Santos, Paula Heliodoro, Cristina Vasco, and Paulo Alexandre. "WTI OIL SHOCKS IN EASTERN EUROPEAN STOCK MARKETS: A VAR APPROACH." In 5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eman.2021.71.

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The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. In view of these events, this study aims to analyze oil shocks (WTI) in the eastern European stock markets, namely the stock indices of Hungary (BUX), Croatia (CROBE), Russia (MOEX), Czech Republic (PRAGUE), Slovakia (SAX 16), Slovenia (SBI TOP), Bulgaria (SOFIX), from September 2019 to January 2021. The results show mostly structural breakdowns in March 2020, while the VAR Granger Causality/Block Exogeneity Wald Tests model shows two-way shocks between oil (WTI) and the stock markets analyzed. These findings show that the hypothesis of portfolio diversification may be called into question. As a final discussion, we consider that investors should avoid investments in stock markets, at least as long as this pandemic last, and rebalance their portfolios into assets considered “safe haven” for the purpose of mitigating risk and improving the efficiency of their portfolios.
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Sağlam, Yağmur, and Hüseyin Avni Egeli. "Real Exchange Rate Effects on Trade and Immiserizing Growth: The Case of Turkey 2003-2013." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00863.

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The aim of this study is to examine the long run relationship between real exchange rates and trade within terms of immiserizing growth for Turkey. The relationship between real exchange rates and trade are taking into consideration with two approach which are pass-through and standard theory. So it is observed that which approach is valid for Turkey. Also we tried to see if trade policies which on terms of trade create immiserizing growth or not during the period. We used unrestricted Vector Autoregressive Model (VAR) analysis to see the relationship between real exchange rate and trade rate, growth. Also we added a dummy into the VAR which demonstrate the structural break for global economic crisis as an exogenous variable. The results of the application are; in the long term there is no cointegration between trade rate and real exchange rates and growth. So for the short term; the dummy was statistically significant and affects the distribution of series; the relationship between trade rate and real exchange rates are very weak and rarely supports the Standard Theory. Also terms of trade impacts growth rate positively but the effects of growth rate on terms of trade is indeterminate. So there is not an immiserizing growth in Turkey for the period between 2003 and 2013.
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Syarifuddin, Ferry. "Monetary Policy Response on Exchange Rate Dynamics: The Case of Indonesia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01829.

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Bank Indonesia has been implementing Enhanced Inflation Targeting Framework (EITF) since few years ago. The main monetary instrument is short term policy interest rate. The policy interest rate, in this regard, may also have significant role in driving the exchange rate to its desired level. Setting appropriate the interest rate to drive the exchange rate is important to drive the actual inflation to its official target. In order to see the response of policy interest rate to exchange rate dynamics as well as the impact of exchange-rate dynamics to macroeconomic indicators, Structural Co-integrating Vector Auto Regression (SC-VAR) in an open economy model, is implemented. Its finding shows that exchange rate dynamic of USD/IDR has significantly positive relationship with domestic interest rate. The increase of the USD/IDR (depreciation) will then push domestic interest rate to increase.
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Ntotsios, Evaggelos, Konstantinos Christodoulou, and Costas Papadimitriou. "Pareto Optimal Structural Models and Predictions Consistent With Data and Modal Residuals." In ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2007. http://dx.doi.org/10.1115/detc2007-35197.

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A multi-objective identification method for model updating based on modal residuals is proposed. The method results in multiple Pareto optimal structural models that are consistent with the measured modal data, the class of models used to represent the structure and the modal residuals used to judge the closeness between the measured and model predicted modal data. The conventional single-objective weighted modal residuals method for model updating is also used to obtain Pareto optimal structural models by varying the values of the weights. Theoretical and computational issues related to the solution of the multi-objective and single optimization problems are addressed. The model updating methods are compared and their effectiveness is demonstrated using experimental results obtained from a three-story laboratory structure tested at a reference and a mass modified configuration. The variability of the Pareto optimal models and their associated response prediction variability are explored using two structural model classes, a simple 3-DOF model class and a higher fidelity 546-DOF finite element model class. It is shown that the Pareto optimal structural models and the corresponding response predictions may vary considerably. The variability of Pareto optimal structural model is affected by the size of modelling and measurement errors. This variability reduces as the fidelity of the selected model classes increases.
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Liu, Chao, and Jishu Wu. "Detection of Concrete Structural Surface Cracks Based on VQ-VAE-2." In IABSE Congress, Nanjing 2022: Bridges and Structures: Connection, Integration and Harmonisation. Zurich, Switzerland: International Association for Bridge and Structural Engineering (IABSE), 2022. http://dx.doi.org/10.2749/nanjing.2022.1209.

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<p>The deep learning models can detect surface cracks of concrete structures efficiently, but training sets which include a great number of crack pictures generally are relied on when training the deep learning models. This paper presents a detection method based on VQ-VAE-2, an unsupervised learning model, which requires no cracks when trained. Firstly, a VQ-VAE-2 model is trained on a training set which only contain pictures of normal concrete structural surfaces. The VQ-VAE-2 model is expected to produce low reconstruction error for pictures of normal concrete structural surfaces and high reconstruction error for ones of concrete structural surface cracks. Then the reconstruction error of test set is computed by the VQ-VAE-2 as the judgment criteria. Lastly, the model is evaluated by precision, recall, F1 and accuracy. The result shows the method based on VQ-VAE-2 can achieve the crack detection without crack samples.</p>
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Tang, Tsz Ling Elaine, Yan Liu, Da Lu, Erhan Batuhan Arisoy, and Suraj Musuvathy. "Lattice Structure Design Advisor for Additive Manufacturing Using Gaussian Process." In ASME 2017 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/detc2017-67282.

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Additive manufacturing (AM) exemplifies the potential of lattice structures to revolutionize structural design. It enables light weight lattice structures to be produced while maintaining the desirable structural performance. Lattice design can vary in different shapes and dimensions. Obtaining the structural performance of a particular lattice structure design is not a straight-forward process. Significant effort is required to perform mechanical testing experiments or to perform finite element analysis (FEA) to characterize the lattice design. In view of that, a guidance system to determine lattice design parameters based on desired functional performance for a specific lattice type is developed, which can be used in interactive design processes and workflows. Homogenization using FEA experiments is applied to characterize the macroscopic lattice structural properties. Mechanical properties of orthotropic cubic lattice f2ccz are estimated. It follows with a design of experiment study to characterize the effective structural properties of 39 lattices with respect to lattice design parameters (unit cell length and strut diameter). A Gaussian process is applied to develop models relating the lattice design parameter to macroscopic structural properties (forward model), and vice versa (inverse model). Both the forward and inverse models are examined and shown to be capable of modeling the FEA experimental dataset of 39 lattices. To illustrate the potential application of the lattice design advisor framework, a structural design use case including lattice part is presented. In the use case, the lattice structure design advisor is proven to be able to estimate an accurate homogenized material property of arbitrary lattice design parameter. This lattice structure design advisor can simplify and streamline the design, modeling and simulation process of lattice-filled structural designs.
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Koyama, Kazuki, Keisuke Kiritoshi, and Tomonori Izumitani. "Discovering Sparse and Ununiform Lag Structure Using VAR Models with Latent Group LASSO." In 2019 International Conference on Data Mining Workshops (ICDMW). IEEE, 2019. http://dx.doi.org/10.1109/icdmw.2019.00062.

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Reports on the topic "Structural VAR model"

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Fair, Ray. VAR Models as Structural Approximations. Cambridge, MA: National Bureau of Economic Research, January 1988. http://dx.doi.org/10.3386/w2495.

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Hauzenberger, Niko, Florian Huber, Gary Koop, and James Mitchell. Bayesian modeling of time-varying parameters using regression trees. Federal Reserve Bank of Cleveland, January 2023. http://dx.doi.org/10.26509/frbc-wp-202305.

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In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART). The novelty of this model stems from the fact that the law of motion driving the parameters is treated nonparametrically. This leads to great flexibility in the nature and extent of parameter change, both in the conditional mean and in the conditional variance. In contrast to other nonparametric and machine learning methods that are black box, inference using our model is straightforward because, in treating the parameters rather than the variables nonparametrically, the model remains conditionally linear in the mean. Parsimony is achieved through adopting nonparametric factor structures and use of shrinkage priors. In an application to US macroeconomic data, we illustrate the use of our model in tracking both the evolving nature of the Phillips curve and how the effects of business cycle shocks on inflationary measures vary nonlinearly with movements in uncertainty.
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Moreno Pérez, Carlos, and Marco Minozzo. “Making Text Talk”: The Minutes of the Central Bank of Brazil and the Real Economy. Madrid: Banco de España, November 2022. http://dx.doi.org/10.53479/23646.

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This paper investigates the relationship between the views expressed in the minutes of the meetings of the Central Bank of Brazil’s Monetary Policy Committee (COPOM) and the real economy. It applies various computational linguistic machine learning algorithms to construct measures of the minutes of the COPOM. First, we create measures of the content of the paragraphs of the minutes using Latent Dirichlet Allocation (LDA). Second, we build an uncertainty index for the minutes using Word Embedding and K-Means. Then, we combine these indices to create two topic-uncertainty indices. The first one is constructed from paragraphs with a higher probability of topics related to “general economic conditions”. The second topic-uncertainty index is constructed from paragraphs that have a higher probability of topics related to “inflation” and the “monetary policy discussion”. Finally, we employ a structural VAR model to explore the lasting effects of these uncertainty indices on certain Brazilian macroeconomic variables. Our results show that greater uncertainty leads to a decline in inflation, the exchange rate, industrial production and retail trade in the period from January 2000 to July 2019.
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Hafer, R. W., and Richard G. Sheehan. Policy Inference Using VAR Models: The Effects of Alternative Lag Structures. Federal Reserve Bank of St. Louis, 1986. http://dx.doi.org/10.20955/wp.1986.009.

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Clark, Todd E., Gergely Ganics, and Elmar Mertens. Constructing fan charts from the ragged edge of SPF forecasts. Federal Reserve Bank of Cleveland, November 2022. http://dx.doi.org/10.26509/frbc-wp-202236.

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We develop a model that permits the estimation of a term structure of both expectations and forecast uncertainty for application to professional forecasts such as the Survey of Professional Forecasters (SPF). Our approach exactly replicates a given data set of predictions from the SPF (or a similar forecast source) without measurement error. Our model captures fixed horizon and fixed-event forecasts, and can accommodate changes in the maximal forecast horizon available from the SPF. The model casts a decomposition of multi-period forecast errors into a sequence of forecast updates that may be partially unobserved, resulting in a multivariate unobserved components model. In our empirical analysis, we provide quarterly term structures of expectations and uncertainty bands. Our preferred specification features stochastic volatility in forecast updates, which improves forecast performance and yields model estimates of forecast uncertainty that vary over time. We conclude by constructing SPF-based fan charts for calendar-year forecasts like those published by the Federal Reserve. Replication files are available at https://github.com/elmarmertens/ClarkGanicsMertensSPFfancharts.
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Ervin, Kelly, Karl Smink, Bryan Vu, and Jonathan Boone. Ship Simulator of the Future in virtual reality. Engineer Research and Development Center (U.S.), September 2022. http://dx.doi.org/10.21079/11681/45502.

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The Army’s modernization priorities include the development of augmented reality and virtual reality (AR/VR) simulations for enabling the regiment and increasing soldier readiness. The use of AR/VR technology at the U.S. Army Engineer Research and Development Center (ERDC) is also growing in the realm of military and civil works program missions. The ERDC Coastal and Hydraulics Laboratory (CHL) has developed a ship simulator to evaluate bay channels across the world; however, the current simulator has little to no physical realism in nearshore coastal regions (Figure 1). Thus, the ERDC team is researching opportunities to advance ship simulation to deliver the Ship Simulator of the Future (SSoF). The SSoF will be equipped with a VR mode and will more accurately resolve nearshore wave phenomena by ingesting precalculated output from a Boussinesq-type wave model. This initial prototype of the SSoF application is intended for research and development purposes; however, the technologies employed will be applicable to other disciplines and project scopes, including the Synthetic Training Environment (STE) and ship and coastal structure design in future versions.
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Berlinski, Samuel, María Marta Ferreyra, Luca Flabbi, and Juan David Martin. Child Care Markets, Parental Labor Supply, and Child Development. Inter-American Development Bank, November 2020. http://dx.doi.org/10.18235/0002872.

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We develop and estimate a model of child care markets that endogenizes both demand and supply. On the demand side, families with a child make consumption, labor supply, and child-care decisions within a static, unitary household model. On the supply side, child care providers make entry, price, and quality decisions under monopolistic competition. Child development is a function of the time spent with each parent and at the child care center; these inputs vary in their impact. We estimate the structural parameters of the model using the 2003 Early Childhood Longitudinal Study, which contains information on parental employment and wages, child care choices, child development, and center quality. We use our estimates to evaluate the impact of several policies, including vouchers, cash transfers, quality regulations, and public provision. Among these, a combination of quality regulation and vouchers for working families leads to the greatest gains in average child development and to a large expansion in child care use and female labor supply, all at a relatively low fiscal cost.
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Osadchyi, Viacheslav V., Hanna Y. Chemerys, Kateryna P. Osadcha, Vladyslav S. Kruhlyk, Serhii L. Koniukhov, and Arnold E. Kiv. Conceptual model of learning based on the combined capabilities of augmented and virtual reality technologies with adaptive learning systems. [б. в.], November 2020. http://dx.doi.org/10.31812/123456789/4417.

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The article is devoted to actual problem of using modern ICT tools to increase the level of efficiency of the educational process. The current state and relevance of the use of augmented reality (AR) and virtual reality (VR) technologies as an appropriate means of improving the educational process are considered. In particular, attention is paid to the potential of the combined capabilities of AR and VR technologies with adaptive learning systems. Insufficient elaboration of cross-use opportunities for achieving of efficiency of the educational process in state-of-the-art research has been identified. Based on analysis of latest publications and experience of using of augmented and virtual reality technologies, as well as the concept of adaptive learning, conceptual model of learning based on the combined capabilities of AR and VR technologies with adaptive learning systems has been designed. The use of VR and AR technologies as a special information environment is justified, which is applied in accordance with the identified dominant type of students' thinking. The prospects of using the proposed model in training process at educational institutions for the implementation and support of new teaching and learning strategies, as well as improving learning outcomes are determined by the example of such courses as “Algorithms and data structures”, “Computer graphics and three-dimensional modeling”, “Circuit Engineering”, “Computer Architecture”.
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Kimhi, Ayal, Barry Goodwin, Ashok Mishra, Avner Ahituv, and Yoav Kislev. The dynamics of off-farm employment, farm size, and farm structure. United States Department of Agriculture, September 2006. http://dx.doi.org/10.32747/2006.7695877.bard.

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Objectives: (1) Preparing panel data sets for both the United States and Israel that contain a rich set of farm attributes, such as size, specialization, and output composition, and farmers’ characteristics such as off-farm employment status, education, and family composition. (2) Developing an empirical framework for the joint analysis of all the endogenous variables of interest in a dynamic setting. (3) Estimating simultaneous equations of the endogenous variables using the panel data sets from both countries. (4) Analyzing, using the empirical results, the possible effects of economic policies and institutional changes on the dynamics of the farm sector. An added objective is analyzing structural changes in farm sectors in additional countries. Background: Farm sectors in developed countries, including the U.S. and Israel, have experienced a sharp decline in their size and importance during the second half of the 20th century. The overall trend is towards fewer and larger farms that rely less on family labor. These structural changes have been a reaction to changes in technology, in government policies, and in market conditions: decreasing terms of trade, increasing alternative opportunities, and urbanization pressures. As these factors continue to change, so does the structure of the agricultural sector. Conclusions: We have shown that all major dimensions of structural changes in agriculture are closely interlinked. These include farm efficiency, farm scale, farm scope (diversification), and off-farm labor. We have also shown that these conclusions hold and perhaps even become stronger whenever dynamic aspects of structural adjustments are explicitly modeled using longitudinal data. While the results vary somewhat in the different applications, several common features are observed for both the U.S. and Israel. First, the trend towards the concentration of farm production in a smaller number of larger farm enterprises is likely to continue. Second, at the micro level, increased farm size is negatively associated with increased off-farm labor, with the causality going both ways. Third, the increase in farm size is mostly achieved by diversifying farm production into additional activities (crops or livestock). All these imply that the farm sector converges towards a bi-modal farm distribution, with some farms becoming commercial while the remaining farm households either exit farming altogether or continue producing but rely heavily on off-farm income. Implications: The primary scientific implication of this project is that one should not analyze a specific farm attribute in isolation. We have shown that controlling for the joint determination of the various farm and household attributes is crucial for obtaining meaningful empirical results. The policy implications are to some extent general but could be different in the two countries. The general implication is that farm policy is an important determinant of structural changes in the farm sector. For the U.S., we have shown the different effects of coupled and decoupled (direct) farm payments on the various farm attributes, and also shown that it is important to take into account the joint farm-household decisions in order to conduct a meaningful policy analysis. Only this kind of analysis explains the indirect effect of direct farm payments on farm production decisions. For Israel, we concluded that farm policy (or lack of farm policy) has contributed to the fast structural changes we observed over the last 25 years. The sharp change of direction in farm policy that started in the early 1980s has accelerated structural changes that could have been smoother otherwise. These accelerated structural changes most likely lead to welfare losses in rural areas.
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Renaud, Alexander, Michael Forte, Nicholas Spore, Brittany Bruder, Katherine Brodie, Jessamin Straub, and Jeffrey Ruby. Evaluation of Unmanned Aircraft Systems for flood risk management : results of terrain and structure assessments. Engineer Research and Development Center (U.S.), August 2022. http://dx.doi.org/10.21079/11681/45000.

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The 2017 Duck Unmanned Aircraft Systems (UAS) Pilot Experiment was conducted by the US Army Engineer Research and Development Center (ERDC), Coastal and Hydraulics Laboratory, Field Research Facility (FRF), to assess the potential for different UAS to support US Army Corps of Engineers coastal and flood risk management. By involving participants from multiple ERDC laboratories, federal agencies, academia, and private industry, the work unit leads were able to leverage assets, resources, and expertise to assess data from multiple UAS. This report compares datasets from several UAS to assess their potential to survey and observe coastal terrain and structures. In this report, UAS data product accuracy was analyzed within the context of three potential applications: (1) general coastal terrain survey accuracy across the FRF property; (2) small-scale feature detection and observation within the experiment infrastructure area; and (3) accuracy for surveying coastal foredunes. The report concludes by presenting tradeoffs between UAS accuracy and the cost to operate to aid in selection of the best UAS for a particular task. While the technology and exact UAS models vary through time, the lessons learned from this study illustrate that UAS are available at a variety of costs to satisfy varying coastal management data needs.
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