Vector Auto-Regression (VAR)

Part 2 of ebook "Economic and financial modelling with EViews: A guide for students and professionals" provides readers with contents including: Chapter 8 - Modelling volatility in finance and economics - ARCH, GARCH and EGARCH models; Chapter 9 - Limited dependent variable models; Chapter 10 - Vector autoregression (VAR) model; Chapter 11 - Panel data analysis; Chapter 12 - Capital asset pricing model (CAPM);...

139p daonhiennhien 03-07-2024 4 2   Download

This paper investigates the impact of the pandemic on the Vietnamese stock market (VNX). Historically, pandemics have often caused major disruptions to the economies of many countries, and stock markets are quick to reflect these impacts. The pandemic has created major challenges for the VNX, even though Vietnam has successfully controlled the pandemic. This paper uses the Vector Autoregression (VAR) method to quantify the impact of on the VNX. The VAR model is used to analyze the dynamic interactions between time series variables.

12p leminhvu111 07-06-2024 1 0   Download

Geopolitical events are expected to affect all countries, asset classes, and sectors. Vietnam is a large open economy, actively participating in a vast network of free trade agreements. This study will give a better overview of the relationship between GPR and stock return’s spillover in the Vietnamese stock market considering data from a variety of industries.

11p vijeff 30-11-2023 5 4   Download

This study is an attempt to explore the dynamic relationship among world gold price, world crude oil WTI price, exchange rate of VND/USD and Vietnamese stock market index returns. Daily data from 2nd May 2013 to 27th April 2018 is taken, constituting 1245 observations. To capture dynamic and stable relationship among these variables, we use Vector Autoregressive Technique. The results show that each variable is highly affected by changes of value and past value of its and the other variables’ at different degree.

13p tethientran 27-07-2023 7 4   Download

The author build and use the vector autoregressive model (VAR) to discover factors affecting the gold price in Vietnam and the impact of each factor. Data research used in this study were monthly data for the period December 2000 to December 2019, including 10 variables. The results show that the current gold price in Vietnam is mostly affected by its historical prices, and is also affected by four other factors: world gold price, investors’ expectations, foreign exchange rate, and M2 money supply.

15p nhanchienthien 25-07-2023 11 6   Download

This study investigates the causality among export, foreign direct investment (FDI) inflows and economic growth in Vietnam using quarterly time-series data from 2000Q1 to 2017Q4. The vector autoregression (VAR) model is employed to explore the relationship among variables in the long term as well as the short term.

10p viwolverine 11-07-2023 7 3   Download

Bài viết Đầu tư và tăng trưởng du lịch ở tỉnh Thừa Thiên Huế được nghiên cứu nhằm đánh giá quá trình phát triển của ngành du lịch và thu hút đầu tư. Nghiên cứu sử dụng chuỗi dữ liệu dài từ niên giám thống kê trong thời gian từ 1995–2019 và áp dụng phương pháp tự hồi qui vec-tơ VAR (Vector Autoregression) để phân tích mối quan hệ nhân quả giữa đầu tư và du lịch tại tỉnh Thừa Thiên Huế.

24p vistarlord 15-06-2023 6 2   Download

The article will shed lights on the impact of oil price on some macroeconomics indicators of Vietnam, specifically the Consumer Price Index (CPI) and the Index of Industrial Production (IIP). The research will employ the Vector Autoregression (VAR) model, the samples include oil price, which is the Consumer Price Index (CPI) and Index of Industrial Production (IIP) recorded monthly in the period from January 2015 to December 2019. Results have shown the impact oil price has on macroeconomic indicators in Vietnam.

8p alucardhellsing 04-05-2022 15 2   Download

Mục tiêu của bài báo này xác định mối quan hệ giữa thâm hụt ngân sách và các biến số vĩ mô. Dữ liệu của mô hình được thu thập từ ấn phẩm Châu Á Thái Bình Dương năm 2013. Bằng cách sử dụng dữ liệu chuỗi thời gian từ năm 1990 đến 2014 với kỹ thuật phân tích theo mô hình tự hồi quy vectơ (Vector autoregression).

7p visergeybrin 26-11-2021 51 5   Download

The study was conducted with the objective of examining the impact of real effective exchange rate volatility on trade balance in Vietnam during the period of 2002 - 2019 at the quarterly frequency. The VAR model was used to achieve the proposed research objective. The volatility of real effective exchange rate (vol_reer) is calculated through the GARCH (1,1) model based on the quarterly data on real effective exchange rate (reer) of the Vietnamese currency with 143 major trading partners of Vietnam.

9p viwendy2711 05-10-2021 27 3   Download

Nghiên cứu này phân tích mối liên hệ giữa phát triển tài chính theo chiều sâu và tăng trưởng kinh tế tại Việt Nam trong giai đoạn từ năm 1995 đến năm 2010. Kết quả khi sử dụng kiểm định nhân quả (Granger test) và kiểm định mô hình VAR (Vector Autoregression Model) cho thấy tồn tại mối quan hệ dài hạn giữa vốn khu vực tư, vốn khu vực công, lực lượng lao động, tỷ lệ tín dụng khu vực tư nhân/GDP, tỷ lệ M2/GDP và tăng trưởng kinh tế.

84p lovebychance08 02-08-2021 30 2   Download

Mục đích của bài viết nhằm phân tích tác động của FDI lên tăng trưởng kinh tế Việt Nam trong dài hạn và ngắn hạn sử dụng mô hình vector error correction model (VECM) và mô hình Vector autoregression (VAR). Để hiểu rõ hơn mời các bạn cùng tham khảo nội dung chi tiết của bài viết này.

13p wangxinling 23-07-2021 51 5   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

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

This study aims to investigate the association between Thai stock market and the commodity markets using 20-year historical monthly data from January 2000 to January 2020. Commodity prices used in the research consist of the prices of crude oil, natural gas, liquified natural gas, commodity agricultural raw materials, and gold. The traditional VAR is used in analyzing the relations between the commodity prices and stock index. The findings show how changes in each commodity prices had significant influence on the stock market.

7p nguaconbaynhay10 22-02-2021 21 2   Download

The paper used a cointegration test, the Granger causality test, and a vector autoregression (VAR) model to determine the relationship between the international coffee price on the spot market and the Vietnamese coffee export price from January 2004 to December 2017. The study found international coffee prices to have a significant effect on Vietnamese coffee export prices, but not vice versa.

17p cothumenhmong9 04-01-2021 14 2   Download

The purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN). The study uses cointegration test, Granger causality test and vector autoregression (VAR) model.

13p trinhthamhodang9 10-12-2020 16 0   Download

Bài viết áp dụng phương pháp tự hồi quy véc-tơ VAR (Vector Autoregression) nhằm đánh giá ảnh hưởng của các cú sốc giá dầu đến các biến ngân sách Việt Nam trong giai đoạn từ năm 1990-2019.

13p nguyentanloc09 17-10-2020 26 2   Download

This paper estimates the impact of key macroeconomic indicators on manufacturing performance in Nigeria using the method of vector autoregression (VAR). The study focused on the industrial strategy based on small-scale industrialization.

16p cleopatrahuynh 01-06-2020 15 0   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