Variance decomposition approach

The crude oil price fluctuation investigation is to explore the impact of crude oil price shocks on the countries’ economic growth. The Vector Autoregressive Model (VAR) was applied and the variance decomposition is to analyze the impact of the GDP growth due to the shock of the crude oil price.

11p caygaocaolon11 18-04-2021 30 3   Download

The aim of the study is to find the empirical analyses of the impact of oil price fluctuation on the monetary instrument in Nigeria, by looking at their relationships. Specifically, we analyzed the role of Exchange rate, Inflation, Interest rate and how they respond to shocks in oil price. We explored the frequently used Toda–Yamamoto model (TY), by adopting the TY modified Wald (MWALD) test approach to causality, forecast error variance decomposition (FEVD) and impulse response functions (IRFs).

8p kethamoi7 15-08-2020 28 2   Download

This study examines the dynamic linkages between crude petroleum imports and GDP of Turkey. The vector autoregression analysis is carried on quarterly data for the period 1998Q1 to 2013Q2. This study utilized the generalized approach to forecast error variance decomposition and impulse response analysis which have many advantages against the traditional orthogonalized approach. The empirical results suggest that petroleum imports have positive impact on GDP until the second quarter. But, after the second quarter crude petroleum imports have negative impact on GDP.

12p trinhthamhodang2 21-01-2020 31 0   Download

This paper investigates empirically the causal relationship between capital account liberalization and economic growth using the Toda and Yamamoto’s approach for selected emerging countries during the period 1975-2011. The evidence seems to be supportive of a causality running from capital account liberalization to economic growth. This causality is found to be unidirectional in general with exception of Malaysia and South Korea where the causality in the other direction is also significant.

15p trinhthamhodang2 21-01-2020 30 0   Download

The paper proposes an empirical VAR for the UK open economy in order to measure the effects of monetary policy shocks from 1981 to 2003. The identification of the VAR structure is based on short-run restrictions that are consistent with the general implications of a New Keynesian model. The identification scheme used in the paper is successful in identifying monetary policy shocks and solving the puzzles and anomalies regarding the effects of monetary policy shocks.

37p pnq9292 14-03-2017 68 3   Download