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Journal articles on the topic 'SVAR Model'

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Published: 4 June 2021
Last updated: 30 January 2023

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1

Drautzburg, Thorsten. "A narrative approach to a fiscal DSGE model." Quantitative Economics 11, no. 2 (2020): 801–37. http://dx.doi.org/10.3982/qe1083.

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Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks whether both approaches agree. Specifically, I use narrative data in a DSGE‐SVAR that partially identify policy shocks in the VAR and assess the fit of the DSGE model relative to this narrative benchmark. In developing this narrative DSGE‐SVAR, I develop a tractable Bayesian approach to proxy VARs and show that such an approach is valid for models with a certain class of Taylor rules. Estimating a DSGE‐SVAR based on a standard DSGE model with fiscal rules and narrative data, I find that the DSGE model identification is at odds with the narrative information as measured by the marginal likelihood. I trace this discrepancy to differences in impulse responses, identified historical shocks and policy rules. The results indicate monetary accommodation of fiscal shocks.
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2

Subagyo, Ahmad, and Armanto Witjaksono. "Impact of Some Overseas Monetary Variables on Indonesia: SVAR Approach." ECONOMICS 5, no. 2 (December 20, 2017): 117–23. http://dx.doi.org/10.1515/eoik-2017-0027.

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Summary This study aims to investigate how the influence of monetary variables from abroad to Indonesia’s monetary conditions. This study uses exchange rate variables, interest rates of U.S. central banks, world oil prices and interest rates of Indonesian banks. This study proposes a short-term SVAR analysis using FEVD and IRF as an additional analysis tool. From the research done in the explanation that with SVAR model that in the proposal is less precise, the result for IRF and FEVD analysis can not be made as additional material of analysis tool from SVAR model which in proposal.
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3

Dobricic, Srdjan. "A Sequential Variational Algorithm for Data Assimilation in Oceanography and Meteorology." Monthly Weather Review 137, no. 1 (January 1, 2009): 269–87. http://dx.doi.org/10.1175/2008mwr2500.1.

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Abstract This study theoretically establishes a sequential variational (SVAR) method for the data assimilation in oceanography and meteorology defined on the model space. Requiring a significantly smaller amount of computer memory, theoretically SVAR gives the same optimal model state estimate as the four-dimensional variational data assimilation method. Its computational cost is similar to that of the four-dimensional variational data assimilation and representer methods. In addition to the optimal state estimates, SVAR computes error covariances at the end of the assimilation window. These advantageous properties of the new algorithm are obtained by combining the sequential methodology with suitable definitions of several new l2 norms, which implicitly provide required estimates.
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4

Kharismawan, Infan Nur, Rukun Santoso, and Budi Warsito. "ANALISIS DAMPAK SHOCK VOLUME PERDAGANGAN SAHAM PADA INDEKS HARGA SAHAM CONSUMER GOODS DENGAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)." Jurnal Gaussian 7, no. 2 (May 30, 2018): 153–63. http://dx.doi.org/10.14710/j.gauss.v7i2.26647.

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The stock trading in the capital market will result daily volume of trading stock that impact on stock price. One of the indicators that describes the stock price movement is stock index. There are many types of stock index, one of them is consumer goods stock index. Stock index is a sensitive economic variable affected by shock and need a restriction to form its economic model. Based on that, Structural Vector Autoregressive (SVAR) is used to describe its economic model. SVAR is formed by a stable VAR, fulfilled white noise, k-variate normal distribution. The purpose of this study are to forecast data on each variables and analyze the impact of the shock through the descriptions of variance decomposition. VAR used as the basis for SVAR is VAR(8) whose the forming variable stationary at the first different degree. Performances of forecasting SVAR using MAPE (Mean Absolute Percentage Error) for in sample data are 13.87434% (volume of trading stock) and 0.87045% (consumer goods stock index) and for out sample data are 14.22964% (volume of trading stock) and 1.76054% (consumer goods stock index). Response of consumer goods stock index to the impact of the volume of trading stock shock shown by proportion of variance decomposition tends to increase, while the shock by itself has decreased until reach its equilibrium point. Keywords:cosumer goods stock index, SVAR, variance decomposition, volume of trading stock
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Teapon, Rizal Rahman H., and Rachman Dano Mustafa. "Shock of Monetary Policy Transmission and Macroeconomic Variable in Indonesia: A Structural VAR Approach." Jurnal Economia 14, no. 2 (October 1, 2018): 177–96. http://dx.doi.org/10.21831/economia.v14i2.21480.

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Abstract: Shock of Monetary Policy Transmission and Macroeconomic Variable in Indonesia: A Structural VAR Approach. The purpose of this paper is to find out how much the shock of monetary policy transmission affects macroeconomic variables in Indonesia and vice versa by using Structural Vector Autoregression (SVAR) model. The results showed that the transmission of monetary policy in Indonesia only gives a weak influence toward inflation, but it greatly stimulates economic growth. However, the shock of macroeconomic variables influences the transmission of monetary policy in Indonesia significantly. Keywords: Structural Vector Autoregression (SVAR), monetary policy, macroeconomic policy.Abstrak: Kejutan Transmisi Kebijakan Moneter dan Variabel Makro Ekonomi di Indonesia: Suatu Pendekatan Structural Vector Autoregression. Tujuan dari tulisan ini adalah untuk mengetahui berapa besar guncangan transmisi kebijakan moneter mempengaruhi variabel makro ekonomi di Indonesia dan sebaliknya, dengan menggunakan model Structural Vector Autoregression (SVAR). Hasil penelitian menunjukan bahwa transmisi kebijakan moneter di Indonesia masih lemah dalam mempengaruhi inflasi tetapi sangat kuat dalam merangsang pertumbuhan ekonomi. Sebaliknya, guncangan variabel makro ekonomi sangat signifikan dalam mempengaruhi transmisi kebijakan moneter di Indonesia. Kata kunci: Structural Vector Autoregression (SVAR), kebijakan moneter, kebijakan makro ekonomi
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6

DUNGEY, MARDI, and ADRIAN PAGAN. "Extending a SVAR Model of the Australian Economy." Economic Record 85, no. 268 (March 2009): 1–20. http://dx.doi.org/10.1111/j.1475-4932.2008.00525.x.

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7

Dobricic, Srdjan. "An Application of Sequential Variational Method without Tangent Linear and Adjoint Model Integrations." Monthly Weather Review 141, no. 1 (January 1, 2013): 307–23. http://dx.doi.org/10.1175/mwr-d-11-00012.1.

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Abstract The sequential variational (SVAR) method minimizes the weakly constrained four-dimensional cost function by splitting it into a set of smaller cost functions. This study shows how it is possible to apply SVAR in practice by reducing the computational effort required by the algorithm. A major finding of the study is that, instead of using tangent linear and adjoint models, it is possible to estimate the largest eigenvalues and the corresponding eigenvectors of the evolution of the background error covariances only by applying successive nonlinear model integrations. Another major finding is that the impact of future observations on previous state estimates may be obtained in an accurate and numerically stable way by using suitably defined cost functions and control space transformations without any additional model integrations. The new method is applied in a realistic data assimilation experiment with a primitive equations ocean model.
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8

Rakhmat, Perry Warjiyo, and Andi Muhammad Sadli. "The Influence of Exchange Rate and Foreign Capital on the Performance of Inflation Targeting Framework in Indonesia." International Journal of Sustainable Development and Planning 17, no. 5 (August 31, 2022): 1585–92. http://dx.doi.org/10.18280/ijsdp.170523.

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This study provides empirical evidence on the problem of the trilemma of monetary policy in an open economy, in the context of the effect of exchange rates and foreign capital flows on the performance of the ITF in Indonesia. The method used as an empirical estimate is the Structural Vector Autoregressive (SVAR) model. This model allows to include restrictions in the empirical estimation of parameters that measure the contemporaneous effect of one variable on another variable according to the structure of the macroeconomic model. Meanwhile, the lagged effects are estimated according to the VAR model. Therefore, the SVAR model is considered more appropriate than the ordinary VAR model because it can measure both the instantaneous effect and the intertemporal effect of the problem under study. The SVAR model uses restrictions that are consistent with the theoretical model in its estimation, regardless of the time-to-time effect of one variable on another. There are 9 variables in the SVAR model, namely: global risk, oil prices, federal funds rate, economic growth, inflation, interest rates, monetary policy, credit interest rates, foreign portfolio investment flows, and the rupiah exchange rate. All data used were obtained from several sources, including: Bank Indonesia, Central Statistics Agency, and IMF. Based on the estimation results, the exchange rate and foreign capital flows have a significant effect on inflation and economic growth, thus affecting the performance of the ITF in Indonesia. In particular, there is a relative influence between external factors, particularly global commodity prices, US monetary policy interest rates, and global risks, and domestic factors, particularly economic growth, monetary policy interest rates, and bank interest or credit rates. This study also concludes that in addition to inflation and economic growth considerations, Bank Indonesia also considers exchange rate movements in determining its interest rate policy response.
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9

Wardani, Daivi, Adi Setiawan, and Didit Nugroho. "Peramalan Dengan Model SVAR Pada Data Inflasi Indonesia Dan Nilai Tukar Rupiah Terhadap Dolar Amerika Dengan Menggunakan Metode Bootstrap." d'CARTESIAN 5, no. 1 (April 29, 2016): 28. http://dx.doi.org/10.35799/dc.5.1.2016.12730.

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Model Structural Vector Autoregression (SVAR) pada data inflasi Indonesia dan nilai tukar rupiah terhadap dolar Amerika telah dikaji dan dihasilkan estimasi untuk parameter model. Dalam studi ini, metode bootstrap diaplikasikan untuk mengestimasi parameter-parameter dari model. Metode bootstrap merupakan metode resampling dari data asli untuk mendapatkan data baru dengan banyak pengulangan yang terjadi. Dengan bantuan Software R i386 3.0.1, dari metode bootstrap diperoleh estimasi titik (median bootstrap) dan interval konfidensi bootstrap persentil yang mengandung hasil prediksi dengan metode klasik. Hasil peramalan menunjukkan bahwa, hasil darimetode langsung yang diperoleh dalam kajian sebelumnya lebih baik daripada dengan menggunakan metode bootstrap. Kata kunci : Inflasi, Metode Bootstrap, Nilai Tukar Rupiah Terhadap USD, SVAR.
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10

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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11

Yang, Kuen-Cheh, Yin-Yin Liao, Ke-Vin Chang, Kuo-Chin Huang, and Der-Sheng Han. "The Quantitative Skeletal Muscle Ultrasonography in Elderly with Dynapenia but Not Sarcopenia Using Texture Analysis." Diagnostics 10, no. 6 (June 12, 2020): 400. http://dx.doi.org/10.3390/diagnostics10060400.

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(1) Background: Dynapenia is defined as lower muscle strength alone. Only a few studies have investigated muscle quality in subjects with dynapenia. (2) Methods: The muscle quality, characterized by texture parameters of biceps brachii, triceps brachii, rectus femoris, and medial gastrocnemius muscles, were collected using ultrasonography. The risk of dynapenia was assessed by the multiple logistic regression model. (3) Results: There were a total of 36 participants (72.7 ± 5.8 yrs, 1:1 case-control matched). The values of texture parameters of autocorrelation (AUT) and sum variance (SVAR) in all four muscles were higher in the dynapenia group significantly (p < 0.05). AUT and SVAR had the significant associations for dynapenia in biceps (dds ratio[OR]:2.51, 95% CI = 1.25–5.07 for AUT; OR = 1.45, 95% CI:1.1–1.91 for SVAR), triceps (OR: 2.48, 95% CI = 1.60–5.3 for AUT; OR: 1.57, 95% CI = 1.08–2.28 for SVAR), and rectus femoris (OR: 1.58, 95% CI = 1.01–2.46 for AUT; OR: 1.2, 95% CI = 1.0–1.44 for SVAR). The areas under the receiver-operating curves of all texture parameters was between 0.84–0.94 after adjusting confounding factors. (4) Conclusions: The muscle quality in the dynapenia can be detected by the texture-feature quantitative ultrasound. Ultrasound measurement in the aging muscle might be promising, and further studies should validate its application in the context of dynapenia.
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12

Leu, Shawn Chen-Yu. "A New Keynesian SVAR model of the Australian economy." Economic Modelling 28, no. 1-2 (January 2011): 157–68. http://dx.doi.org/10.1016/j.econmod.2010.09.015.

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13

Khan, Muhammad Arshad, and Saima Nawaz. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis." Pakistan Development Review 57, no. 2 (June 1, 2018): 175–202. http://dx.doi.org/10.30541/v57i2pp.175-202.

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This study empirically examines the contribution of monetary fundamentals in explaining nominal exchange rate movements in the case of Pak-rupee vis-à-vis US-dollar over the period 1982Q2 to 2014Q2. The empirical results support the existence of cointegration relationship between nominal exchange rate and monetary fundamentals. The results reveal that relative money stocks and real income are the key drivers of exchange rate determination in Pakistan in the long-run. For dynamic interaction, the Structural Vector Autoregressive (SVAR) method is applied. Results from the SVAR show that the responses of exchange rate to shocks, originated from money supply, income, interest rate and inflation differentials, are consistent with the predictions of the flexible-price variant of the monetary model of exchange rate in the short-run. More specifically, the results indicate that inflation and interest rate differential explain maximum variations in exchange rate in the short-run. In essence, results suggest that monetary fundamentals are the key drivers of exchange rate fluctuations in Pakistan, especially in the short-run. JEL Classification: F31, F33, C32, F41 Keywords: Monetary Model, Exchange Rate, SVAR, Pakistan
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Hafidh, Aula Ahmad. "Responses of Islamic banking variables to monetary policy shocks in Indonesia." Islamic Economic Studies 28, no. 2 (July 7, 2021): 174–90. http://dx.doi.org/10.1108/ies-11-2020-0049.

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PurposeThis paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function (IRF), forecasting error decomposition variation (FEDV) is used to track the impact of Sharīʿah variables on inflation (prices).Design/methodology/approachThis research uses quantitative approach with SVAR model to reveal the problem.FindingsThe empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate (RDEP). The impact of both conventional (7DRR) and Sharīʿah (SBIS) policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.Originality/valueThe empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate ‘RDEP’. The impact of both conventional “7DRR” and Sharīʿah “SBIS” policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.
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15

Syuhada, Khreshna. "The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability." Journal of Probability and Statistics 2020 (March 10, 2020): 1–5. http://dx.doi.org/10.1155/2020/7638517.

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A risk measure commonly used in financial risk management, namely, Value-at-Risk (VaR), is studied. In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to the nominal. To do so, we pay attention to the effect of estimator variability such as asymptotic bias and mean square error. Numerical analysis is carried out to illustrate this calculation for the Autoregressive Conditional Heteroscedastic (ARCH) model, an observable volatility type model. In comparison, we find VaR for the latent volatility model i.e., the Stochastic Volatility Autoregressive (SVAR) model. It is found that the effect of estimator variability is significant to obtain VaR forecast with better coverage. In addition, we may only be able to assess unconditional coverage probability for VaR forecast of the SVAR model. This is due to the fact that the volatility process of the model is unobservable.
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Bista, Raghu Bir, and Kiran Prasad Sankhi. "Assessing Multiplier Effects of Public Expenditures on Economic Growth in Nepal: SVAR Model Analysis." Quantitative Economics and Management Studies 3, no. 2 (April 29, 2022): 162–72. http://dx.doi.org/10.35877/454ri.qems755.

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This paper assesses the multiplier effects of public expenditures on economic growth in Nepal, covering time series data sets of public expenditures and economic growth from 1974-75 to 2018-19 by using the SVAR model. As a result of the SVAR model, the multiplier effect of public expenditure, recurrent expenditure, and capital expenditure is positive for economic growth. In a result, the multiplier effect of recurrent expenditure is found to be more promising than capital expenditure for economic growth in the short run, but in the long run, it is lower. Similarly, the multiplier coefficient value of capital expenditure is lower in the short run. This is probably due to leakages in the economy, corruption and improper management of development funds, seasonal expenditure trends, and poor management of development projects. Therefore, the government should improve the efficiency of public expenditure and the ratio of capital expenditure and private investment to improve the higher multiplier variable in the long run.
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17

Naeem Nawaz, Shahzada M., and Ather Maqsood Ahmed. "New Keynesian Macroeconomic Model and Monetary Policy in Pakistan." Pakistan Development Review 54, no. 1 (March 1, 2015): 55–71. http://dx.doi.org/10.30541/v54i1pp.55-71.

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The New Keynesian (NK) models have advantage over the Real Business Cycle (RBC) models as they allow rigidities in the structure of the model, hence provide built-in mechanism to incorporate the structural shocks. The estimation of the NK model for Pakistan’s economy remains a relatively unexplored area. This study attempts to estimate a closed economy version of the NK model using robust econometric technique. On the empirical side macroeconomic dynamics have been investigated in response to unanticipated monetary shock. The reaction of the monetary authority (the State Bank of Pakistan) in response to structural shocks has been assessed by exploring the role of forward looking expectations. The SVAR model has been employed to estimate the structural parameters. The response of macroeconomic aggregates to structural shocks has also been simulated along with discussing the forecast error variance decomposition. The role of forward looking expectations is found to play prominent role in the prevailing market structure of the country. The State Bank of Pakistan (SBP) has been found to respond to shocks after a lag of one or more periods indicating time inconsistency problem which is due to discretionary monetary policy stance being adopted by the monetary authority. The distorted beliefs of economic agents about the stance of monetary policy have pointed towards weak effectiveness of the monetary policy. The results suggest that the SBP would have to adopt an independent and transparent monetary policy by following some sort of Taylor-type rule. JEL Classification: C32, C51, E52, E58 Keywords: New Keynesian Models, Real Business Cycle Models, Forward Looking Expectations, SVAR Model, Price Puzzle
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KAPUSUZOGLU, Ayhan, Xi LIANG, and Nildag Basak CEYLAN. "Macroeconomic impacts of global food price shocks on the economy of Turkey." Agricultural Economics (Zemědělská ekonomika) 64, No. 11 (November 26, 2018): 517–25. http://dx.doi.org/10.17221/261/2017-agricecon.

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The purpose of this study is to examine the impact of food prices on the macroeconomic variables of Turkey. The effects are investigated using monthly data for the period January 1980–January 2016. A structural vector autoregressive (SVAR) model is employed for the analysis. Impulse response functions are obtained to assess the impact of food price shocks on the macroeconomic variables of Turkey. To this end, SVAR model is employed as suggested by Cushman and Zha (1997). The impulse responses gathered suggest that the food price causes Turkish Lira (TRY) to appreciate and inflation to increase contemporaneously. This study provides an important contribution to the literature in terms of determining the factors and presenting the measures to be taken against these factors for Turkey which is a developing country and sensitive to macroeconomic factors.
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Kularatne, Thilini Dulanjali, Jackie Li, and Yanlin Shi. "Forecasting Mortality Rates with a Two-Step LASSO Based Vector Autoregressive Model." Risks 10, no. 11 (November 17, 2022): 219. http://dx.doi.org/10.3390/risks10110219.

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This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the VAR framework, recent studies have developed a spatial–temporal autoregressive (STAR) model, in which age-specific mortality rates are related to their own historical values (temporality) and the rates of the neighboring cohorts (spatiality). Despite its desirable age coherence property and the improved forecasting accuracy over the widely used Lee–Carter (LC) model, STAR employs a rather restrictive structure that only allows for non-zero cohort effects of the same cohorts and the neighboring cohorts. To address this limitation, the proposed 2-LVAR model adopts a data-driven principle, as in a sparse VAR (SVAR) model, to offer more flexibility in the parametric structure. A two-step estimation strategy is developed accordingly to resolve the challenging objective function of 2-LVAR, which consists of non-standard L2 and LASSO-type penalties with constraints. Using empirical data from Australia, the United Kingdom, France, and Switzerland, we show that the 2-LVAR model outperforms the LC, STAR, and SVAR models in most of our forecasting results. Further simulation studies confirm this outperformance, and analyses based on life expectancy at birth empirically support the existence of age coherence. The results of this paper will help researchers understand the mortality projections in the long run and improve the reserving/ratemaking accuracy for life insurers.
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Kamuinjo, Albert V., Ravinder Rena, and Andrew Maredza. "Impact of credit risk and profitability on liquidity shocks of Namibian banks: an application of the structural VAR model." Journal of Life Economics 8, no. 3 (July 31, 2021): 349–59. http://dx.doi.org/10.15637/jlecon.8.3.07.

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The main purpose of this paper was to investigate the relationship between banks’ credit risk and profitability and liquidity shocks in Namibia for the period 2009 to 2018 using the SVAR model. In estimating the SVAR regression model, granger causality, impulse-response functions and forecast error variance decomposition were employed and evaluated. The sample consisted of Namibian commercial banks. By auditing liquidity data between 2009 and 2018, empirical results showed that liquidity risk is caused by a combination of structural shocks. The granger causality, impulse-response functions and forecast error variance decomposition documented that credit risk (non-performing loans) is key factor affecting liquidity conditions in Namibia in the medium to long run. In addition, the empirical results showed that quality earnings (ROA) have minimal impact on liquidity conditions in the short run. Reforming assets quality policies and earnings quality policies can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks in Namibia.
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Abubakar, Attahir B. "Oil Price and Exchange Rate Nexus in Nigeria: Are there Asymmetries." Central Bank of Nigeria Journal of Applied Statistics, Vol. 10 No. 1 (August 27, 2019): 1–28. http://dx.doi.org/10.33429/cjas.10119.1/6.

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This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price and exchange rate. Findings from the SVAR model show gradual appreciation (though with some time lag) of naira following positive shocks to oil price. The study recommends among others the need for diversification of foreign exchange earnings base of the economy, so as to minimise the effect of negative shocks to oil price.
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Saysombath, Phouthanouphet. "An Examination of the Causal Relationship between Budget Deficit and Inflation: a Case Study of Lao PDR." Journal of Social and Development Sciences 5, no. 2 (June 30, 2014): 43–49. http://dx.doi.org/10.22610/jsds.v5i2.804.

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In this study we try to attempt investigating the dynamic relation between budget deficit and the inflation in the Lao PDR. Using annual data for the period 1980-2010, we apply ARDL cointegration method in conjunction with the structural VAR (SVAR) analysis to provide evidence for both the long and short run dynamics between the variables. We find that there is no long-run relation between the budget deficit and the inflation in Laos. In addition, we also find that there is Granger causality between the budget deficit and the inflation in Laos. The impulse response results in the SVAR model indicate that the budget deficit does not cause inflation but the inflation does cause the budget deficit.
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Şıklar, İlyas, and Suzan Şahin. "Measures of the Output Gap in Turkey: An Empirical Assessment of Selected Methods." International Journal of Economics and Financial Research, no. 511 (November 1, 2019): 238–51. http://dx.doi.org/10.32861/ijefr.511.238.251.

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The output gap indicating the difference between the actual and potential levels of output is a critical factor for estimating the inflationary pressures in an economy. If the main target of a central bank is ensuring and maintaining the price stability, estimating the output gap with a minimum error is crucial for the efficiency of the monetary policy. In this study, we estimated the output gap in Turkey for the 2002-2014 period by using four different methods. Two of these estimation methods are purely statistical (Linear Trend and Hodrick-Presscot (HP) Filtering) while the others are integrated with the relations suggested by the economic theory (multivariate structural model and structural autoregressive (SVAR) model). By using empirical decision criteria common in the literature, we conclude that SVAR model produces the most reliable output gap estimates to explain inflationary pressures in Turkey. However, we also found that the Hodrick-Presscot filtering method is the second best methodology in the output gap estimation process.
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Wang, Gang, and Yucheng Jiang. "Monetary Policy Effects on the Stock Market in China: Comparing Two Restriction Schemes in the SVAR Model." Review of Pacific Basin Financial Markets and Policies 23, no. 04 (October 27, 2020): 2050033. http://dx.doi.org/10.1142/s0219091520500332.

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This paper analyzes and compares the effects of the monetary policy on the stock price in China based on SVAR models with two different restriction schemes. As suggested by existing literature, there are four major monetary policy instruments used by the People’s Bank of China. They are the seven-day repo rate, the one-year benchmark lending rate, the M2, and the total loan. We run SVARs with the monetary policy instrument, the stock index, and the macroeconomic variables and show the impulse responses of the stock index to the monetary policy shocks. After comparing two restriction schemes, the short-run Cholesky restrictions and the short-run and long-run combined restrictions for identification, we conclude that the latter restriction method leads to better estimation than the former one. In general, a contractionary monetary policy shock lowers the stock price, appreciates the Chinese currency, reduces the output gap, injects deflation, and shrinks the commodity price gap. We find that the benchmark lending rate is more effective in regulating the Chinese stock market than the other monetary policy instruments. In addition, a combination of price-based and quantity-based monetary policy instruments is suggested for impacting the stock market and stabilizing the economy in China.
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Chotia, Varun. "The impact of fiscal consolidation and economic growth on debt: Evidence from India." Ekonomski anali 64, no. 222 (2019): 63–80. http://dx.doi.org/10.2298/eka1922063c.

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This paper analyses the challenges debt reduction faces as a result of fiscal consolidation and the effect of growth on India?s debt ratio. Simulations are conducted based on India?s current revenue and debt levels and project different cases of fiscal tightening and their effect on changes in debt stock with respect to the change in GDP, i.e., changes in the debt ratio. The estimates for multipliers that are used in the Structural Vector Auto Regression (SVAR) model are obtained empirically by giving shocks to fiscal instruments such as expenditure and taxes. A non-technical approach to the SVAR methodology is used to analyse the dynamics of the studied framework by subjecting it to unexpected shocks. A more measured act of consolidation may be implemented in an attempt to normalise multiplier values in order to create an appropriate environment for reducing government spending. The drawbacks include the limitations of the SVAR methodology such as the orthogonality condition, which makes the entire analysis fairly restrictive. The framework used for the analysis is a modern approach towards understanding macroeconomic trends and variables in the context of the Indian economy and seeks to apply recently developed analytical tools.
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Anward, Ryan Juminta, Handry Imansyah, Syahrituah Siregar, and Ruddy Syafruddin. "PEMODELAN RESPON OPTIMAL KEBIJAKAN MONETER TERHADAP STABILITAS SEKTOR PERUMAHAN DAN INFLASI DI INDONESIA." At-Taradhi: Jurnal Studi Ekonomi 8, no. 1 (October 6, 2017): 43. http://dx.doi.org/10.18592/at-taradhi.v8i1.1518.

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Pengalaman krisis keuangan global yang telah terjadi menunjukkan kebijakan moneter perlu untuk memperluas tujuannya, yakni tidak hanya terpaku terhadap tujuan tradisional kebijakan moneter (inflasi) namun juga memperhatikan harga asset. Struktural Vector Autoregression (SVAR) dengan restriksi jangka pendek digunakan dalam penelitian ini untuk mengidentifikasi respon dan dampak kebijakan moneter terhadap harga perumahan dan inflasi termasuk juga variabel makro ekonomi lainnya (output dan nilai tukar) di Indonesia. Data yang digunakan dalam penelitian ini adalah data triwulan selama periode 2001Q1-2005Q4. Hasil simulasi dari model SVAR menunjukkan suku bunga kebijakan (BI Rate) berdampak signifikan terhadap harga perumahan dan tingkat inflasi. Kebijakan moneter yang dilakukan melalui perubahan BI Rate merespon secara cepat terhadap shock inflasi, output dan nilai tukar namun tidak memberikan respon terhadap fluktuasi harga perumahan. Model yang dikembangkan dalam penelitian ini juga mengindikasikan kurang efektifnya transmisi kebijakan moneter di Indonesia.Kata kunci: kebijakan moneter, harga perumahan, structural VAR
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Matilla-García, Mariano. "A SVAR model for estimating core inflation in the Euro zone." Applied Economics Letters 12, no. 3 (February 20, 2005): 149–54. http://dx.doi.org/10.1080/1350485042000307125.

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宋, 洁. "Analysis of Core Inflation Rate in China Based on SVAR Model." Statistics and Application 07, no. 06 (2018): 636–48. http://dx.doi.org/10.12677/sa.2018.76073.

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Sobczak, Wioleta, Bolesław Borkowski, and Rafał Zbyrowski. "SPATIAL INTEGRATION OF VEGETABLE WHOLESALE MARKETS IN POLAND ON THE SELECTED EXAMPLE." Acta Scientiarum Polonorum. Oeconomia 17, no. 4 (December 30, 2018): 151–58. http://dx.doi.org/10.22630/aspe.2018.17.4.62.

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This article attempts to verify the phenomenon of price transmission between wholesale markets of carrots in Poland. Determining the level of spatial integration of markets will indicate their efficiency and thus can make it easier for producers to take decisions about where to sell their products. The empirical data includes daily quotations of carrot prices on fruit and vegetable wholesale markets in Bronisze, Kalisz, Poznań, Radom and Sandomierz. The time range of the studies covered the years 2011–2016. This research is based on dynamic econometric methods (sVAR model) and the Granger causality tests. The research carried out using dynamic econometric methods has shown that despite the occurrence of significant variation in the level of carrot prices in the examined markets, their interaction was observed. Moreover, the results of the sVAR model estimation indicate that the changes in carrot prices on a particular market are stronger influenced by the price changes from the same market. This is an autoregressive effect. It also means that the carrot price information coming from other wholesale markets (price transmission effect) has a much weaker effect.
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Balina, Signe, and Rita Freimane. "Empirical Assessment of the Eurozone Monetary Policy Transmission in Latvia." New Trends and Issues Proceedings on Humanities and Social Sciences 2, no. 3 (December 7, 2016): 1–8. http://dx.doi.org/10.18844/prosoc.v2i3.1048.

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The purpose of the paper is to evaluate the international transmission effects of euro area monetary policy shocks on the main economic and financial variables in Latvia in period from 2000 to 2014. Empirical assessment is made using a standard structural vector autoregression (SVAR) model of the euro area, augmented by the Latvian variables of interest (real GDP per capita, annual inflation and money market interest rate, and consecutively by additional variables: real private consumption per capita, investments, exports and imports, various loan interest rates and real wages). The estimated SVAR model shows that a negative monetary policy shock in the euro area has a strong and persistent effect on Latvian economy via interest rate and foreign demand channels. The main results shown by impulse response functions suggest that the estimated reaction of Latvian variables is several times stronger than the reaction of euro area aggregates. Volatility of reactions can be explained by the small size and high openness level of Latvian economy.    Keywords: Monetary transmission; Euro area; Structural VARÂ
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AMALI, Ebele, and Tersoo Shimonkabir SHITILE. "Household Consumption and Unconventional Monetary Policy: Insights from a Bayesian SVAR Model." Journal of Social Science Studies 7, no. 2 (July 27, 2020): 135. http://dx.doi.org/10.5296/jsss.v7i2.17436.

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This study uses a Bayesian SVAR to demonstrate that movements in household consumption can be explained by expansionary credit easing policy. The latter reflects ongoing heterodox monetary policy regimes in many countries, especially emerging markets and developing economies (EMDEs). Using Nigeria’s data over the period from Q1 1995 to Q4 2018, the empirical analysis reveals that the role of credit easing in the household consumption is not important in Nigeria, as a large part of the variation in household consumption can be explained by shocks to other economic activities. The findings also indicate a rough estimate that the impact threshold of credit easing on household consumption is no more than 2 percent, thus requiring accelerators and accelerator policy to overcome the threshold. Our results suggest the need for a broad-based policy response to fully maximize the positive effect of credit supply shock on private spending and aggregate demand in general.
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Ghassan, Hassan, and Essam El-Jeefri. "The Current Account of Saudi Economy through Intertemporal Model: Evidence from SVAR." Arab Economic and Business Journal 13, no. 1 (June 2018): 39–59. http://dx.doi.org/10.1016/j.aebj.2017.05.001.

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Wang, Shudong, Man Zhang, Yuanzhuo Wang, and Hui Meng. "Construction of Grain Price Determinants Analysis Model Based on Structural Vector Autoregressive Model." Scientific Programming 2022 (January 19, 2022): 1–10. http://dx.doi.org/10.1155/2022/5694780.

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In 2020, the sudden global epidemic of novel coronavirus pneumonia (COVID-19) caused abnormal fluctuations in the global grain market and posed severe challenges to world grain security. Therefore, it is very important for countries around the world to analyze the determinants of grain price and put forward corresponding strategies to ensure grain safety. In this paper, we theoretically discussed the relationship between financial liquidity, speculation, and grain price for the first time. Based on the analysis of Fisher’s equation, this paper argues that the theoretical basis of grain financialization is closer to the volatility theory of the money market. Then, we employ the structural vector autoregression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity, and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are more significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.
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Chahrour, Ryan, Stephanie Schmitt-Grohé, and Martín Uribe. "A Model-Based Evaluation of the Debate on the Size of the Tax Multiplier." American Economic Journal: Economic Policy 4, no. 2 (May 1, 2012): 28–45. http://dx.doi.org/10.1257/pol.4.2.28.

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The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 and the latter of about 3. The two approaches differ along two important dimensions: the identification scheme and the reduced-form transmission mechanism. This paper uses a DSGE-model to evaluate the hypothesis that the difference in multipliers is due to differences in transmission mechanisms. The main finding of the paper is that this hypothesis is rejected. Instead, the observed differences in estimated multipliers are due either to the models failing to identify the same tax shock, or to small-sample uncertainty. (JEL E13, E23, E32, E62, H20)
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35

Balcilar, Mehmet, Rangan Gupta, and Charl Jooste. "South Africa’s economic response to monetary policy uncertainty." Journal of Economic Studies 44, no. 2 (May 8, 2017): 282–93. http://dx.doi.org/10.1108/jes-07-2015-0131.

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Purpose The purpose of this paper is to study the evolution of monetary policy uncertainty and its impact on the South African economy. Design/methodology/approach The authors use a sign restricted SVAR with an endogenous feedback of stochastic volatility to evaluate the sign and size of uncertainty shocks. The authors use a nonlinear DSGE model to gain deeper insights about the transmission mechanism of monetary policy uncertainty. Findings The authors show that monetary policy volatility is high and constant. Both inflation and interest rates decline in response to uncertainty. Output rebounds quickly after a contemporaneous decrease. The DSGE model shows that the size of the uncertainty shock matters – high uncertainty can lead to a severe contraction in output, inflation and interest rates. Research limitations/implications The authors model only a few variables in the SVAR – thus missing perhaps other possible channels of shock transmission. Practical implications There is a lesson for monetary policy: monetary policy uncertainty, in isolation from general macroeconomic uncertainty, often creates unintended adverse consequences and can perpetuate a weak economic environment. The tasks of central bankers are incredibly difficult. Their models project output and inflation with relatively large uncertainty based on many shocks emanating from various sources. It matters how central bankers react to these expectations and how they communicate the underlying risks associated with setting interest rates. Originality/value This is the first study that looks into monetary policy uncertainty into South Africa using a stochastic volatility model and a nonlinear DSGE model. The results should be very useful for the Central Bank as it highlights how uncertainty, that they create, can have adverse economic consequences.
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Phuong, Nguyen Van. "Sources of Exchange Rate Fluctuation in Vietnam: An Application of the SVAR Model." Asian Economic and Financial Review 5, no. 4 (2015): 671–79. http://dx.doi.org/10.18488/journal.aefr/2015.5.4/102.4.671.679.

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SUGIARTO, TEGUH. "SVAR MODEL TO EXAMINE THE SHORT AND LONG TERM MONETARY POLICY IN INDONESIA." International Journal of Economic Sciences IV, no. 4 (2015): 66–77. http://dx.doi.org/10.20472/es.2015.4.4.005.

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Li, Zhi-Guo, Dong-Ming Wei, and Piotr Kowalski. "Transmission and influence of International oil price on China’s macroeconomic –based SVAR model." Journal of Discrete Mathematical Sciences and Cryptography 19, no. 3 (May 3, 2016): 535–48. http://dx.doi.org/10.1080/09720529.2016.1177961.

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Karakoyun, Hulya Deniz, and Nurtac Yildirim. "Demand-side factors of housing price increases in Turkey: Blanchard-Quah SVAR model." Business and Economic Horizons 13, no. 3 (2017): 312–32. http://dx.doi.org/10.15208/beh.2017.23.

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CHARFI, FATMA MARRAKCHI, and MOHAMED KADRIA. "INCOMPLETE EXCHANGE RATE PASS-THROUGH TRANSMISSION TO PRICES: AN SVAR MODEL FOR TUNISIA." Annals of Financial Economics 11, no. 04 (December 2016): 1650017. http://dx.doi.org/10.1142/s2010495216500172.

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In this paper, we tried to revisit the transmission degree of exchange rate variations to domestic prices (import prices, MPI; producer prices, PPI; and consumer prices, CPI) in Tunisia. To do this, we used the VAR–SVAR methodology, over the 2000:1–2013:12 period. The adopted mode is gathering national prices, nominal exchange rates, foreign prices and a control variable that is the interest rate. The findings highlights that the pass-through is incomplete for all considered prices. However, the degree of the exchange rate pass-through is the highest on import prices, is moderate on producer prices and is the lowest on consumer prices. Besides, the incomplete pass-through of MPI results from the pricing to market behavior and the lowest pass-through for CPI is due basically to the composition of this index which is administrated by 30% of its components. The impulse response functions analysis, that largely corroborates to the variance decomposition, shows that when the central bank conducts a restrictive monetary policy the inflation decreases without widening the output gap.
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Fry, Renée. "International demand and liquidity shocks in a SVAR model of the Australian economy." Applied Economics 36, no. 8 (May 10, 2004): 849–63. http://dx.doi.org/10.1080/0003684042000229569.

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42

张, 昆鹏. "Discussion Based on the SVAR Model of Commodity Price Volatility and Consumer Relations." E-Commerce Letters 01, no. 03 (2012): 21–26. http://dx.doi.org/10.12677/ecl.2012.13005.

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Anh, Vo The, Le Thai Thuong Quan, Nguyen Van Phuc, Ho Minh Chi, and Vo Hong Duc. "Exchange Rate Pass-Through in ASEAN Countries: An Application of the SVAR Model." Emerging Markets Finance and Trade 57, no. 1 (September 20, 2018): 21–34. http://dx.doi.org/10.1080/1540496x.2018.1474737.

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44

Syssoyeva-Masson, Irina, and Andrade Sousa. "Are PIIGS so different? An empirical analysis of demand and supply shocks." Panoeconomicus 64, no. 2 (2017): 189–222. http://dx.doi.org/10.2298/pan1702189s.

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This paper analyses responses to supply and demand shocks in PIIGS countries. We compare the results obtained for PIIGS with those of Germany and the USA, and also with those of France, which despite its government?s efforts demonstrate relatively poor recent economic performance. The main objective of this paper is to establish whether it is still reasonable to consider PIIGS as a group apart. Our methodological strategy is based on the Okun Law (OL) which is incorporated in a Structural Vector Autoregression (SVAR) model with Blanchard-Quah (BQ) restrictions. We address two drawbacks that usually present in the OL: the interdependency problem and the non-stationarity problem. By using a non-parametric representation of OL, we identify the heterogeneity between countries. We build stable VAR models for each of the economies and use the BQ SVAR impulses to analyse the importance of contemporary and long-run effects of supply and demand shocks. The main conclusion of this paper is that it does not make any sense today to identify PIIGS as a separate group. Additionally, a country that stands out from our analysis is France. The question can thus be posed that if ?PIIGS? signifies ?countries with poor economic performances? then should not France also belong to this group?
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SIKLAR, Emel, and Ilyas SIKLAR. "Uncertainty and Monetary Policy: A Svar Analysis for Turkey." International Journal of Economics, Business and Management Research 06, no. 07 (2022): 31–53. http://dx.doi.org/10.51505/ijebmr.2022.6704.

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It is known that periods of high uncertainty in a country have significant effects on economic activities. Therefore, monetary policymakers should consider the degree of uncertainty in the decision-making process. In Turkey, changing the form of government from the parliamentary system to a presidential system in 2018, combined with the global Covid pandemic that started in 2020, caused an extraordinary increase in uncertainty and became one of the main sources of economic problems in the country. This study quantifies the effects of uncertainty on the Turkish economy through an SVAR model estimated with Bayesian techniques. The results show that high uncertainty has a negative and significant effect on economic activities, mainly with the decrease in consumption and investment expenditures. The Central Bank of the Republic of Turkey reacts to these developments with an expansionary monetary policy that injects liquidity into the economy. However, it should not be overlooked that such a policy has limitations due to its long-term negative effects.
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賴素鈴, 賴素鈴, and 甘錫昫 甘錫昫. "貿易對抗：人民幣外匯市場不對稱性與干涉政策 — 應用 時變馬爾可夫切換模型 和 結構式向量自我迴歸模型." 多國籍企業管理評論 15, no. 1 (March 2021): 021–40. http://dx.doi.org/10.53106/181345482021031501002.

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<p>本文研究了中國人民銀行（PBOC）是否干涉了外匯市場的不對稱性。為了檢測2014:M7-2015:M8期間，PBOC阻止RMB升值所採取的是「逆風干涉 (leaning-against-the-wind-intervention)」政策。理論建構上，我們發現RMB存在單根檢定的不穩態，而且「時變馬爾可夫切換檢測(Time Varying Markov-Switching test)」指出RMB走勢呈現兩階段的不對稱切換。因此，我們使用「結構式向量自我迴歸 (SVAR) 模型」 與「衝擊反應 (Impulse-Response)函數」，檢測得知「購買力平價值 (Purchasing Power Parity; PPP)」無法循跡衝擊RMB，據此以實證RMB干涉政策是存在的，來呼籲PBOC能夠公布RMB干涉之對沖買賣的歷史資料，以利學術界研究。</p> <p>&nbsp;</p><p>This paper investigates whether the People’s Bank of China (PBOC) intervenes in exchange market asymmetry. During the 2014: M7-2015: M8 period, the PBOC adopted a &ldquo;leaning against the wind intervention&rdquo; policy to intervene in RMB appreciation. Theoretically, we found that the RMB exhibits nonstationarity from a unit root test, and a time-varying Markov-switching test indicates that RMB trends exhibit two-phase regime asymmetry. Therefore, we use &ldquo;PPP cannot measure RMB&rdquo; as measured by SVAR and impulse response to prove that an RMB intervention policy exists, and we call for the PBOC to publish historical data on RMB intervention hedge trading to facilitate further academic research.</p> <p>&nbsp;</p>
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Ogwang, Geoffrey, Tomson Odongo, and Dick N. Kamuganga. "An Assessment of the Effect of World Oil Price Shocks on Uganda’s Official Development Assistance." International Journal of Economics and Financial Research, no. 65 (May 25, 2020): 96–110. http://dx.doi.org/10.32861/ijefr.65.96.110.

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This study assesses the effect of world oil price shocks on Uganda’s official development assis-tance using Structural Vector Autoregressive Model (SVAR). The results in this study show in-significant pass-through effect of world oil price shocks to Uganda’s Official Development As-sistance received in the period under the study. The policy implication in this study is that Offi-cial Development Assistance received by Uganda is independent of world oil price shocks.
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48

Bista, Raghu Bir, and Kiran Prasad Sankhi. "Assessing Multiplier Effects of Public Expenditures on Economic Growth in Nepal: SVAR Model Analysis." Journal of Economic Impact 4, no. 1 (March 22, 2022): 50–58. http://dx.doi.org/10.52223/jei4012206.

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Expansionary public expenditure is a popular important fiscal measure in the constraint of budgetary resources to achieve higher economic growth with the expectation of higher multiplier effect on productive sectors in the world. Since the actual multiplier effect contradicts with the expected multiplier effect in this discretionary fiscal practice, the goal of higher economic growth is not well achieved. In this context, the practice of public expenditure is a key concern of scholars to understand whether it is the best one or whether its multiplier effect is higher. In this context, this study is an important attempt. This paper assesses the multiplier effects of public expenditures on economic growth in Nepal, covering time series data sets of public expenditures and economic growth from 1974-75 to 2018-19 by using the structural vector auto-regressive (SVAR) model. As a result of the SVAR model, the multiplier effect of public expenditure, recurrent expenditure, and capital expenditure is positive for economic growth. In the results, the multiplier effect of recurrent expenditure is found to be more promising than capital expenditure for economic growth in the short run, but in the long run, it is lower. Similarly, the multiplier coefficient value of capital expenditure is lower in the short run. This is probably due to leakages in the economy, corruption and improper management of development funds, seasonal expenditure trends, and poor management of development projects. Thus, public expenditure is an important fiscal measure to developing economy like Nepal to create a multiplier effect through aggregate demand on national income and employment. Therefore, the government should improve the efficiency of public expenditure and the ratio of capital expenditure and private investment to improve the higher multiplier variable in the long run. The result of this paper will be a valuable input to the policymaker and the planner of Nepal to improve the efficiency of public expenditure through the implementation of a mid-term expenditure framework.
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Yan, Huan, Weiguo Xiao, Qi Deng, and Sisi Xiong. "How Does Fiscal Policy Affect Bank Credit? Evidence from China." Discrete Dynamics in Nature and Society 2021 (December 23, 2021): 1–8. http://dx.doi.org/10.1155/2021/6790245.

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Using a set of Chinese economic data and a structural vector autoregression (SVAR) model, this paper investigates the transmission channels of fiscal policy to bank credit in China. We find that increases in tax revenue can increase bank credit through external financing premium channel, collateral channel, and bank liquidity channel. We also find that increases in government spending can reduce bank credit through bank liquidity channel and increase bank credit through external financing premium channel and collateral channel.
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Satria, Doni, Nachrowi Djalal Nachrowi, Telisa A. Falianty, and Iskandar Simorangkir. "DYNAMIC RELATIONSHIP BETWEEN CAPITAL INFLOWS AND BANK LENDING: THE ROLE OF COMMODITY PRICE AND GLOBAL FINANCIAL MARKET SHOCKS." Buletin Ekonomi Moneter dan Perbankan 24, no. 4 (February 18, 2022): 589–630. http://dx.doi.org/10.21098/bemp.v24i4.1170.

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This paper investigates the dynamic relationship between capital inflows and bank lending in Indonesia. We use a Structural Vector AutoRegression (SVAR) model that allows exogenous international commodity prices and global financial market fluctuations to influence capital inflows. We find that commodity price shocks are more important as compared to global financial shocks in explaining the variance of capital inflows in the long run. Furthermore, shocks from capital inflows lead to a change in bank lending allocation across economic sectors.
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