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Dissertations / Theses on the topic 'Vector autoregressive VAR model'

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Published: 4 June 2021
Last updated: 27 July 2025

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1

Brüggemann, Ralf. "Model reduction methods for vector autoregressive processes /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0818/2003067373-d.html.

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Serpeka, Rokas. "Analyzing and modelling exchange rate data using VAR framework." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-94180.

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Abstract   In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. Finally, optimal portfolio of currencies with minimal Expected Shortfall is formed using one time period ahead forecasts
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.

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Tourism is currently the third largest industry within South Africa. Many African countries, including South Africa, have the potential to achieve increased economic growth and development with the aid of the tourism sector. As tourism is a great earner of foreign exchange and also creates employment opportunities, especially low–skilled employment, it is identified as a sector that can aid developing countries to increase economic growth and development. Accurate forecasting of tourism demand is important due to the perishable nature of tourism products and services. Little research on foreca
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Wong, Kin-man, and 黃健文. "A vector autoregression (VAR) model of housing starts and housing price in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/194603.

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It is observed that there are many different models about housing price. Yet, this is relatively smaller number of studies about housing starts. This thesis is an empirical study to work out the relationship between housing starts, housing price and other economic and policy instrumental factors. To achieve this objective, a Vector Autoregression (VAR) model is built since there is inter-relationship between housing starts and housing price. By applying previous models filled with the research gaps, a new VAR model about the housing starts and housing price in Hong Kong is built. Four hypot
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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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6

Pilström, Patrick, and Sebastian Pohl. "Forecasting GDP Growth : The Case of The Baltic States." Thesis, Jönköping University, JIBS, Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-9776.

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<p>The purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables.</p><p>The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with thos
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Jansson, Emelie, and Linda Kapple. "Vad styr företagens investeringar?En studie om hur förändringar i reporänta, makroekonomiska faktorer samt finansiella indikatorer påverkar investeringar hos svenska företag." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-121716.

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Bakgrund: I november 2014 beslutade Riksbanken att ta steget mot en nollränta och i februari 2015 gick Riksbanken ut med ytterligare en sänkning till -0,10 procent. På så vis fick Sverige för första gången en negativ reporänta. Enligt makroekonomisk teori ska en sänkning av reporäntan stimulera konsumtion och investeringar i ekonomin. Huruvida reporäntan och dess räntesänkningar skapar förutsättningar för företag att investera är ett aktuellt och viktigt forskningsområde. Forskningen i ämnet är tunn på den svenska marknaden och således är forskningsbidraget från denna studie av betydelse.Syfte
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Alsaedi, Yasir H. "An Investigation of the Effects of Solar and Wind Prices on the Australia Electricity Spot and Options Markets: A Time Series Analysis." Thesis, Griffith University, 2021. http://hdl.handle.net/10072/410472.

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Electricity pricing is recognised as being among the most important contemporary policy issues in Australia, and it also represents a critical component of current discussions concerning energy and climate-change policies. Attempts to move forward with energy and climate-change policies have been mostly stymied by concerns regarding potential increases in electricity prices. In relation to such policy discussions, renewable electricity generation is currently considered to be a fundamental factor influencing electricity prices. Due to the increasing penetration of both wind and solar power gen
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Ramanauskaitė, Giedrė. "Stress testing in credit risk analysis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080620_110415-38466.

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The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroe
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Figueiredo, Marta Isabel Fragoso Peralta de. "Análise da modelação dos preços do mercado de habitação na área de Lisboa entre 1972 e 2011." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10453.

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Mestrado em Gestão e Avaliação Imobiliária<br>O propósito deste estudo é investigarmos empiricamente os determinantes que influenciaram a formação do preço da habitação em Portugal. A evolução dos preços da habitação em Portugal reveste-se de grande importância para os profissionais do sector. Conhecer, estudar e analisar a evolução deste mercado ao longo dos últimos anos permite aos profissionais tomar decisões fundamentadas em análises profundas e cuidadas sobre quais foram os determinantes que influenciaram a procura e a oferta que por sua vez determinaram os preços. Pretendemos conhecer o
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Litvac, Basiliki Theophane Calochorios. "Núcleos de inflação no Brasil e poder preditivo da inflação total." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10598.

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Submitted by Basiliki Theophane Calochorios Litvac (basiliki.litvac@gmail.com) on 2013-03-06T22:27:11Z No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, checksum: 86dfce2ca595dfd933509d266c084a2d (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-07T12:53:10Z (GMT) No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, checksum: 86dfce2ca595dfd933509d266c084a2d (MD5)<br>Made available in DSpace on 2013-03-07T13:14:10Z (GMT). No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, che
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Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.

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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos sim
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Raksong, Saranya. "The stability of money demand and monetary transmission mechanism in Thailand." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/612.

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The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also
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Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu
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Andersson, Sebastian. "On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives." Thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.

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In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. This paper examines alternative specifications of the local models by estimating them as regime-switching VAR models, where transition probabilities between different states are studied using both constant and time-varying settings. The results show that regime-switching models are appealing as they yield i
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16

Schnücker, Annika [Verfasser]. "Model Selection Methods for Panel Vector Autoregressive Models / Annika Schnücker." Berlin : Freie Universität Berlin, 2018. http://d-nb.info/1176708147/34.

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Camehl, Annika [Verfasser]. "Model Selection Methods for Panel Vector Autoregressive Models / Annika Schnücker." Berlin : Freie Universität Berlin, 2018. http://d-nb.info/1176708147/34.

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18

Abdul-Hadi, Ahmad Ibrahim Malawi. "The impact of monetary policy on consumer durable goods : empirical study by using vector autoregression (VAR) models /." free to MU campus, to others for purchase, 1999. http://wwwlib.umi.com/cr/mo/fullcit?p9953841.

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19

Liu, Guangling. "Forecasting with DSGE models : the case of South Africa." Thesis, University of Pretoria, 2008. http://hdl.handle.net/2263/25396.

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The objective of this thesis is to develop alternative forms of Dynamic Stochastic General Equilibrium (DSGE) models for forecasting the South African economy and, in turn, compare them with the forecasts generated by the Classical and Bayesian variants of the Vector Autoregression Models (VARs). Such a comparative analysis is aimed at developing a small-scale micro-founded framework that will help in forecasting the key macroeconomic variables of the economy. The thesis consists of three independent papers. The first paper develops a small-scale DSGE model based on Hansen's (1985) indivisible
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Horton, Wendy Elizabeth. "A vector autoregressive model of a regional Phillips curve in the United States." Thesis, Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/30515.

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21

Wang, Jiayue. "Essays on oil price shocks and financial markets." Thesis, University of Edinburgh, 2012. http://hdl.handle.net/1842/6412.

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This thesis is composed of three chapters, which can be read independently. The first chapter investigates how oil price volatility affects the investment decisions for a panel of Japanese firms. The model is estimated using a system generalized method of moments technique for panel data. The results are presented to show that there is a U-shaped relationship between oil price volatility and Japanese firm investment. The results from subsamples of these data indicate that this U-shaped relationship is more significant for oil-intensive firms and small firms. The second chapter aims to examine
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22

Dahlberg, Magnus, and Gombrii Anders. "Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-439138.

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Riksbanken har under senaste åren blivit kritiserade för deras bristande prognoser av svenska valutakurser. I denna uppsats undersöks det om slumpvandring (RW) är den mest framgångsrika prognosmodellen eller om alternativa ekonometriska prognosmodeller (AR, VAR och VECM) kan estimera framtida växelkurser mer korrekt på kort sikt, ett kvartal fram, och medellång sikt, fyra kvartal fram. I dessa prognosmodeller behandlas fem Svenska makroekonomiska variabler som endogena; KPI, BNP, arbetslöshet, 3 månaders statsobligationer (T-bonds), samt en exogen variabel, Amerikansk-BNP. Den data som används
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23

Lee, Joo Young, and Youn Mi Lee. "Dynamic Impact of Aging on Income Inequality in the U.S. with Vector Autoregressive Model." Digital Commons @ East Tennessee State University, 2020. https://dc.etsu.edu/secfr-conf/2020/schedule/57.

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Income inequality has been showing a steady increase for past decades and will be worsened in the future (Piketty, 2014). One of the most important factors to explain the worsening income inequality can be aging. Previous studies on aging focus on its impact on traditional issues such as health, retirement, and economic growth. This study finds the direct relationship between aging and income inequality using the vector autoregressive (VAR) model (Blanchard and Quah, 1989). The VAR model is useful to analyze the long-run response of aging on income inequality. The empirical results will verify
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Crespo, Cuaresma Jesus, Gernot Doppelhofer, Martin Feldkircher, and Florian Huber. "Spillovers from US monetary policy: Evidence from a time-varying parameter global vector autoregressive model." Published by John Wiley & Sons Ltd on behalf of the Royal Statistical Society, 2019. http://dx.doi.org/10.1111/rssa.12439.

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The paper develops a global vector auto-regressive model with time varying pa- rameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed enables us to assess whether coefficients evolve gradually over time or are better characterized by infrequent, but large, breaks. Our find- ings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices and exchange rates against the US do
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Degerli, Mecit Mert. "Fault detection of bearings based on AutoRegressive modelling and Support Vector Machine classification." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2020.

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Bearings are the common mechanical components and they have an authentic role generally in every kind of machines or applications. Therefore it becomes more and more important to understand properly the behaviour and the nature of the bearing and also their working conditions. For this reason, the data from the components on the machine as bearings in the modern industry; the importance of reducing machine downtime and machine costs, increasing machine performance and achieving a more stable operation is increasing day by day. For that purpose, different solutions have been provided to detect
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Dashti, Hossein, Antonio J. Conejo, Ruiwei Jiang, and Jianhui Wang. "Weekly Two-Stage Robust Generation Scheduling for Hydrothermal Power Systems." IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2016. http://hdl.handle.net/10150/622668.

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As compared to short-term forecasting (e.g., 1 day), it is often challenging to accurately forecast the volume of precipitation in a medium-term horizon (e.g., 1 week). As a result, fluctuations in water inflow can trigger generation shortage and electricity price spikes in a power system with major or predominant hydro resources. In this paper, we study a two-stage robust scheduling approach for a hydrothermal power system. We consider water inflow uncertainty and employ a vector autoregressive (VAR) model to represent its seasonality and accordingly construct an uncertainty set in the robust
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Gkolitsis, Petros. "Interactions of monetary policies in South East Europe in a European Monetary Union context : a global-vector autoregressive model." Thesis, University of Sheffield, 2018. http://etheses.whiterose.ac.uk/21736/.

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This thesis discusses the interactions of monetary policies in the South-eastern European Countries (SEEC) in a European Monetary Union (EMU) context, by modelling via a Global Vector Autoregressive Model (G-VAR) the interdependencies arising between the member states and the related financial institutions in the region. The EMU and its relation to monetary or economic policy interactions has been heavily and effectively researched by numerous researchers including, indicatively, the Nobel laureate Mundell (1961) who theoretically and empirically considered and examined the effects of monetary
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Vargas, Rafael de Morais. "Análise de previsões de volatilidade para modelos de Valor em Risco (VaR)." Universidade Católica de Brasília, 2018. https://bdtd.ucb.br:8443/jspui/handle/tede/2412.

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Demeš, Jiří. "Ekonometrická analýza vývoje inflace v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4847.

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The degree work is focused on analysis of inflation with help of suitable econometric models. Inflation with it's forms and possibilities of measuring is described at the beginning of the paper. There is mentioned an importance of monitoring and analysing inflation in view of Czech national bank. Consequently there are described characteristics of time series, which are important from viewpoint of construction of econometric models. Next part of this paper is focused on characterization of econometrics models. At first there is vector autoregression model, in this connection there is discussed
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Ribeiro, Maria Josà Pontes. "A study on the impact of fiscal policy in the collection of VAT in the state of Ceara by vector autoregressive model." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4777.

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nÃo hÃ<br>This research aims to analyze quantitatively impacts of tax policy promoted by the Federal Government on the behavior of tax revenues of ICMS in CearÃ. Thus, we considered information on the tax revenues of industrial, trade and electric, beyond the rate of open unemployment in Fortaleza and how the transmission mechanism of fiscal policy used the ratio between expenditure and revenue of the Federal Government. The model used here is composed of vector autoregression and arguments based on Toda and Yamamoto (1995), and impulse response functions and variance decomposition. The result
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Polák, Michal. "Analýza vzájomnej previazanosti vybraných európskych burzových trhov a tendencia k ich integrácii." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-11279.

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This article compares the stock exchanges in Vienna, Budapest, Frankfurt and Milan. It settles basic information about their development, the subject of exchange and the classification of market segments. This work also characterizes the trade system of each of the stock exchanges and the liquidity of spot market, with particular emphasis on stock market. A part of this analysis is the comparison of markets based on aspects such as market capitalization, trade volume or the quantity of trade. Last chapter is devoted to the interconnection of stock markets, which is explored by the means of cor
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Assefa, Yared. "Time series and spatial analysis of crop yield." Thesis, Kansas State University, 2012. http://hdl.handle.net/2097/15142.

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Master of Science<br>Department of Statistics<br>Juan Du<br>Space and time are often vital components of research data sets. Accounting for and utilizing the space and time information in statistical models become beneficial when the response variable in question is proved to have a space and time dependence. This work focuses on the modeling and analysis of crop yield over space and time. Specifically, two different yield data sets were used. The first yield and environmental data set was collected across selected counties in Kansas from yield performance tests conducted for multiple years. T
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Fischer, Manfred M., Florian Huber, and Michael Pfarrhofer. "The regional transmission of uncertainty shocks on income inequality in the United States." WU Vienna University of Economics and Business, 2019. http://epub.wu.ac.at/6774/1/2018%2D01%2D10_FischerHuberPfarrhofer_Inequality.pdf.

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This paper explores the relationship between household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of inequality responses to a national uncertainty shock. The results suggest that income inequality decreases in most states, with a pronounced degree of heterogeneity in terms of the dynamic responses. By contrast, some few states, mostly located in the Midwest, display increasing levels of income inequality over time. Forecast error variance and historical decompositions highl
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Zhong, Jiansheng. "Essays on Small Open Economies." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1491951614255482.

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Jia, Mo (Maggie). "Housing market, banking sector and macroeconomy in China." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/279056.

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This thesis contains three main parts. In the first part, we adapt a model developed for the US economy to the unique Chinese economic and institutional context. The uniqueness is mainly from two perspectives: the dual-channel housing financing system in China and the existence of the shadow banking sector (which differs from the shadow banking in developed economies) in China’s housing market. It would be difficult to obtain a clear picture of the Chinese housing market and macroeconomy without a thorough understanding of these two characteristics. This is due to the crucial role played by sh
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Fischer, Manfred M., Florian Huber, and Michael Pfarrhofer. "The transmission of uncertainty shocks on income inequality: State-level evidence from the United States." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6368/1/us%2Dstates_uncertainty.pdf.

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In this paper, we explore the relationship between state-level household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of inequality responses to a national uncertainty shock. The results suggest that income inequality decreases in most states, with a pronounced degree of heterogeneity in terms of shapes and magnitudes of the dynamic responses. By contrast, some few states, mostly located in the West and South census region, display increasing levels of income inequality over ti
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Král, Ondřej. "Phillipsova křivka z pohledu analýzy časových řad v České republice a Německu." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360701.

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Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the t
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Hörnell, Fredrik, and Melina Hafelt. "Responsiveness of Swedish housing prices to the 2018 amortization requirement : An investigation using a structural Vector autoregressive model to estimate the impact of macro prudential regulation on the Swedish housing market." Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35533.

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This thesis analyzed and estimated the impact of the March 1, 2018 loan to income amortization requirement on residential real estate prices in Sweden. A four variables vector autoregressive model (VAR) was used to study the relationships between residential real estate prices, GDP, real mortgage rate and consumer price index over a time period from 2005 to 2017. First, a structural vector autoregressive (SVAR) model was used to test how a structural innovation in the error term for real mortgage rate affected residential real estate prices. Secondly, an unconditional forecast from our reduced
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Chi, Nam Yau. "Economically justified equity investment strategies capable of withstanding growing interest rate environment." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18823.

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Mestrado em Economia Monetária e Financeira<br>This thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the in
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Scheffer, Deise. "O CONSUMO DE ENERGIA ELÉTRICA ATRELADO AO DESENVOLVIMENTO SOCIOECONÔMICO NO BRASIL E OS IMPACTOS AMBIENTAIS GERADOS PELA EMISSÃO DE CO2." Universidade Federal de Santa Maria, 2016. http://repositorio.ufsm.br/handle/1/8411.

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This research studies the relationships in Electric Energy Consumption, Carbon Dioxide Emission and Theil Index in Brazil. The period of analysis includes annual data from 1980 to 2011 in a total of 31 observations. The series presented order of integration equal one with the presence of cointegration thus to measure these influences we used a vector error correction model (VEC). By Function Impulse Response (FIR) and Variance Decomposition Analysis (ADV) we observed how each variable behaves to an abrupt change. To analyze the behavior of variables, methods of vector autoregressive (VAR) and
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Akin, Serdar. "Do Riksbanken produce unbiased forecast of the inflation rate? : and can it be improved?" Thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-58708.

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The focus of this paper is to evaluate if forecast produced by the Central Bank of Sweden (Riksbanken) for the 12 month change in the consumer price index is unbiased? Results shows that for shorter horizons (h &lt; 12) the mean forecast error is unbiased but for longer horizons its negatively biased when inference is done by Maximum entropy bootstrap technique. Can the unbiasedness be improved by strict ap- pliance to econometric methodology? Forecasting with a linear univariate model (seasonal ARIMA) and a multivariate model Vector Error Correction model (VECM) shows that when controlling fo
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Oliveira, Jorge Manuel Caetano de. "Significado do 1º pilar da política monetária do Eurosistema." Master's thesis, Instituto Superior de Economia e Gestão, 2002. http://hdl.handle.net/10400.5/3582.

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Mestrado em Economia Monetária e Financeira<br>O presente estudo tem como objectivo fundamental investigar qual o significado do papel atribuído pelo Banco Central Europeu (BCE) ao agregado monetário largo M3 na condução da política monetária na zona euro. Partindo de um breve enquadramento teórico quanto ao papel atribuído pelo BCE à moeda, procede-se a uma análise empírica, baseada em vectores autoregressivos (usando essencialmente as variáveis macroeconómicas: taxa de crescimento do M3, hiato do M3 em termos reais, taxa de inflação e hiato do produto), no sentido de detectar evidência empír
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Rincón, Diana Constanza García. "Performane of partial directed coherence subject to volume consuction effects." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/3/3154/tde-12072017-131157/.

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The strong relationship between cognitive processing and coherent behaviour and neurocognitive networks justifies the current huge interest in cortical functional connectivity modeling. This has fostered the development of connectivity estimators from the classical bivariate coherence concept to the notion of multivariate partial directed coherence (PDC) which provides information about temporal dependencies exposing cause and effect relationships. This work examines PDC performance for scalp EEG data whose research value has been subject to much debate in the light of the presence of volume c
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Маринич, Тетяна Олександрівна, Татьяна Александровна Маринич, Tetiana Oleksandrivna Marynych та ін. "Моделювання коінтеграційних процесів для удосконалення механізму монетарної трансмісії". Thesis, Сумський державний університет, 2013. http://essuir.sumdu.edu.ua/handle/123456789/68086.

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Монетарний трансмісійний механізм – процес передачі змін у використанні інструментів монетарної політики центрального банку на фінансовий сектор економіки, а у подальшому – на макроекономічні змінні на основі використання певних каналів і зв’язків прямої та зворотної дії. Для його удосконалення необхідно виявлення терміну дії зв’язків між визначеними макроекономічними змінними та показниками грошово-кредитної та валютної політики. Він може бути як коротко так і довгостроковим. Дослідження часових рядів, представлених квартальними статистичними даними Національного банку України за 2
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Fischer, Manfred M., Florian Huber, Michael Pfarrhofer, and Petra Staufer-Steinnocher. "The dynamic impact of monetary policy on regional housing prices in the United States." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6658/1/2018%2D11%2D16_housing_favar_(002).pdf.

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This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices across metropolitan and micropolitan regions. To simultaneously estimate the model parameters and unobserved factors we rely on Bayesian estimation and inference. Policy shocks are identified using high-frequency suprises around policy announcements as an external instrument. Impulse reponse functions reveal differences in regional housing price responses, which in some cases are substantial. The heterogeneity in policy responses is found to be significantly re
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Amorin, Anderson Luis Walker. "O EFEITO DO RISCO BRASIL SOBRE OS RETORNOS DO MERCADO IMOBILIÁRIO E O MERCADO EM GERAL, E OS DETERMINANTES MACROECONÔMICOS DO PREÇO DE IMÓVEIS RESIDENCIAIS." Universidade Federal de Santa Maria, 2016. http://repositorio.ufsm.br/handle/1/8383.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>The study of Brazilian real estate market, it s getting importance over time. In this sense the compression of how the Brazilian real estate market works, just like the relations between the investment options are important to investors to know better the risk of those assets. Thus, a Vector Autoregressive Model was used to analyze the short term relations between Brazilian real estate assets, general market and the Brazil Risk. The same way, was modeled an ordinary least square linear regression to identify the macroeconomic deter
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Alves, Vladimir da Costa. "Os efeitos dos ciclos da construção civil na atividade econômica do Brasil." Universidade do Vale do Rio dos Sinos, 2017. http://www.repositorio.jesuita.org.br/handle/UNISINOS/6871.

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Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2018-02-07T12:55:00Z No. of bitstreams: 1 Vladimir da Costa Alves_.pdf: 1430205 bytes, checksum: a7c55af3297cf449b13a07261f5a2586 (MD5)<br>Made available in DSpace on 2018-02-07T12:55:00Z (GMT). No. of bitstreams: 1 Vladimir da Costa Alves_.pdf: 1430205 bytes, checksum: a7c55af3297cf449b13a07261f5a2586 (MD5) Previous issue date: 2017-11-30<br>Nenhuma<br>Este trabalho tem o objetivo de verificar a existência de ciclos na indústria da construção civil no Brasil e analisar seus efeitos em outras atividades da economia brasileira, bem co
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Fidalgo, Cristina Patrícia Gouveia Dias. "Teoria generalizada da paridade do poder de compra : uma aplicação às economias da Europa Central." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21111.

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Mestrado em Econometria Aplicada e Previsão<br>No presente estudo pretende-se analisar se os três países da Europa Central em vias de aderir à União Económica Monetária - Hungria, Polónia e República Checa - constituem, de facto, uma Zona Monetária Ótima no espírito de Mundell (1961) com os países da Zona Euro vis-à-vis a economia da Alemanha, colocando, assim, um fim à fase de transição dos últimos 16 anos. Para tal, recorre-se à teoria Generalizada da Paridade do Poder de Compra, inicialmente proposta por Enders e Hurn (1994), empiricamente testável com recurso ao modelo vetorial de correção
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Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.

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Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este
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Kang, Shin-jae. "Korea's export performance : three empirical essays." Diss., Manhattan, Kan. : Kansas State University, 2008. http://hdl.handle.net/2097/767.

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