Variance decomposition

The study uses the VAR model through unit root test, Granger causality, impulse response, and variance decompositions to achieve the goal of finding the impacts of FDI on economic growth. In this context, this study is written in parallel to provide a systematic study on the determinants of FDI and its potential impacts on the economy of Vietnam.

15p viberkshire 09-08-2023 8 5   Download

Lecture Introduction to Machine learning and Data mining: Lesson 10. This lesson provides students with content about: regularization; revisiting overfiting; the bias-variance decomposition; bias-variance tradeoff; regularization in ridge regression; regularization in lasso;... Please refer to the detailed content of the lecture!

25p hanlamcoman 26-11-2022 10 5   Download

The study empirically investigate the relationship between tourism receipts, exchange rate and economic growth in the period 1990-2017 and define whether the tourism -led growth (TLG) hypothesis for Vietnam. The study implements Vector Error correction Model, Granger causality tests, variance decomposition with data in the periods 1990 -2017.

11p nguaconbaynhay12 01-06-2021 12 1   Download

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

Crude oil is considered as a major resource of any developing country it may be either Oil importing or exporting countries. The present study examines the relationship between the Exchange rate, Crude oil and Stock market returns. The study analyse the monthly observations from April 1, 2003 to March 31, 2019 with the help of Co integration, Granger causality, Variance Decomposition. The overall findings of the study indicate a significant effect of Crude oil on USD/INR Exchange rate.

6p caygaocaolon11 18-04-2021 21 4   Download

The inconclusiveness of findings from various studies on Nigeria on the effect of crude oil price fluctuation on the stock market has led to an argument in literature, thus necessitating further exploration of the subject. This study examines the effect of variations in the price of crude oil on selected stock market performance variables in Nigeria using monthly frequency data covering January 1997-December 2016. Variance decomposition, impulse response analysis, and VAR estimations were employed for the study.

10p caygaocaolon11 18-04-2021 21 2   Download

The study finds that remittances significantly improve the control of corruption in Nigeria. We further examine the robustness test of the results using dynamic OLS estimation, variance decomposition and impulse response analysis. Our results remain significant and consistent to the earlier one reported in ARDL framework which supports the extant literature.

15p nguaconbaynhay11 07-04-2021 16 1   Download

For many practical hypothesis testing (H-T) applications, the data are correlated and/or with heterogeneous variance structure. The regression t-test for weighted linear mixed-effects regression (LMER) is a legitimate choice because it accounts for complex covariance structure.

14p vijisoo2711 27-10-2020 10 1   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

The key finding of the research is that from the impulse response results, the transmission of exchange rate shocks to inflation is significant in Vietnam, and this is incomplete exchange rate pass-through. Moreover, the evidence from variance decompositions argues that exchange rate is an important factor to explain the fluctuation of inflation.

12p caygaocaolon5 19-05-2020 12 1   Download

This study investigates the dynamic relationship between stock return and trading volume in the banking sector of Amman Stock Exchange (ASE). In addition, it reveals the nature and direction of this relationship. Therefore, several tests were utilized to include: Bivariate regression model, vector error correction model (VECM), variance decomposition technique, impulse responds function, pairwise Granger causality and Johansen’s cointegration tests. The empirical results show that there is no significant relationship between trading volume and stock return on the sub-index level.

20p covid19 19-04-2020 27 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 quantifies exposure to all the possible ways the Lebanese yield curve changed since 2006. It studies the interest rate risk impact on a portfolio consisting of interest-rate depending assets belonging to a Lebanese commercial bank using principal components analysis or risk decomposition strategy. TBs monthly yields are used with five different maturities since 2006. Deltas for the portfolio are calculated using partial duration and the DV01. The first factor identified corresponds to a parallel shift in the yield curve and the second to a change of slope of the yield curve.

8p trinhthamhodang2 21-01-2020 39 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

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000- 2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30 VAR models. According to the analysis, the fact that the US stock market returns cause stock market volatilities is revealed to be the most prominent result in the whole period.

27p trinhthamhodang2 21-01-2020 45 4   Download

I study a vector autoregression model to estimate the effects of U.S. Quantitative Easing Monetary Policy on the Chinese stock market. I find that the increase of U.S. money supply would result in a significant increase in the Chinese stock market return but the influence is insignificant in the long run. Then I examine three potential mechanisms through which U.S. monetary policy transmits to China: short-term capital flow, monetary policy dependence and stock co-movement.

1p chauchaungayxua2 19-01-2020 7 0   Download

The United State of America has been experiencing high debt to GDP ratio of more than 100% and these Public debts are detrimental. The main purpose of this study was to examine the shocks of the variables on others in the USA economy by using quarterly data. The variance decomposition and the Generalised Impulse Response Function techniques were employed to analyse the data. The result revealed that high variation of shocks in real federal debt is explained by their own innovations in the short run, by CPI followed by real federal debt its self.

8p chauchaungayxua2 09-01-2020 48 0   Download

Vector Autogressive Model (VAR), variance decomposition, and impulse response function are used, with three variables under consideration: the exchange rate between VND and USD, the export value of pangasius, and the inflation rate of Vietnam.

17p danhnguyentuongvi 18-12-2018 25 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

In this paper, we follow Lanne, Lutkepohl, and Maciejowska (2010), and obtain over-identifying information from Markov switching variance models to test whether the assumed long run structural restrictions are appropri- ate or not. Markov switching variance VAR models provide over-identifying information from decomposition of covariance matrices across states to test the assumed structural restrictions, which is essential for the correct identi- cation of fundamental and nonfundamental shocks.

50p bocapchetnguoi 06-12-2012 42 2   Download