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Author : Mardi Dungey
Publisher :
ISBN 13 : 9781740320207
Total Pages : 35 pages
Book Rating : 4.3/5 (22 download)
Download or read book A Multi-country Structural VAR Model written by Mardi Dungey and published by . This book was released on 2001 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Filippo di Mauro
Publisher : OUP Oxford
ISBN 13 : 0191649082
Total Pages : 299 pages
Book Rating : 4.1/5 (916 download)
Download or read book The GVAR Handbook written by Filippo di Mauro and published by OUP Oxford. This book was released on 2013-02-28 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1108195288
Total Pages : 758 pages
Book Rating : 4.1/5 (81 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Author : Tilak Abeysinghe
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Trade Linkages and Output-Multiplier Effects written by Tilak Abeysinghe and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a structural VAR model to measure how a shock to one country affects other countries' GDP. It uses trade linkages to estimate the multiplier effects as a shock is transmitted through output fluctuations and introduces a new specification strategy that reduces the number of unknowns and allows cross-country relationships to vary over time. This model is used to examine the impact of shocks to 11 Asian countries, the US, and the rest of the OECD. Impulse-response matrices suggest that these multiplier effects are large and can transmit shocks in very different patterns than predicted from a bilateral-trade matrix.
Author : J.A.J Alders
Publisher : Springer Science & Business Media
ISBN 13 : 1461312493
Total Pages : 149 pages
Book Rating : 4.4/5 (613 download)
Download or read book Monetary Policy in a Converging Europe written by J.A.J Alders and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary Policy in a Converging Europe covers the most important monetary issues in the transition towards an Economic and Monetary Union in Europe, containing contributions from renowned experts in relevant research and policy areas. Among other things, the contributions discuss the scope for inflation targeting, monetary interdependencies within the `core' ERM countries, money demand within the European Union, the difference between the monetary transmission mechanisms in the various European countries, and the preferred exchange rate policy in Stage Two of EMU. The book provides an excellent overview of current issues for anyone interested in monetary policy in a converging Europe.
Author : Takashi Kano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Structural VAR Approach to the Intertemporal Model of the Current Account written by Takashi Kano and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The intertemporal current account approach predicts that the current account of a small open economy is independent of global shocks, and that responses of the current account to country-specific shocks depend on the persistence of the shocks. This paper shows that these predictions impose cross-equation restrictions (CERs) on a structural vector autoregression (SVAR). To test the CERs, this paper develops identification schemes of the SVAR that exploit the orthogonality of the world real interest rate and country-specific shocks as well as the lack of a long-run response of net output to transitory shocks. Tests of the SVAR reveal two puzzling aspects of the Canadian and U.K. current account: (i) the response of the current account to a country-specific transitory shock is too large and (ii) the fluctuations in the current account are dominated by country-specific transitory shocks that explain almost none of the fluctuations in net output growth. These results imply the crucial role of consumption-tilting factors in explaining current account fluctuations of the two economies.
Author : Patrick T. Brandt
Publisher : SAGE
ISBN 13 : 1412906563
Total Pages : 121 pages
Book Rating : 4.4/5 (129 download)
Download or read book Multiple Time Series Models written by Patrick T. Brandt and published by SAGE. This book was released on 2007 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features: * Offers a detailed comparison of different time series methods and approaches. * Includes a self-contained introduction to vector autoregression modeling. * Situates multiple time series modeling as a natural extension of commonly taught statistical models.
Author : Lionello F. Punzo
Publisher : Routledge
ISBN 13 : 0415508479
Total Pages : 322 pages
Book Rating : 4.4/5 (155 download)
Download or read book Beyond the Global Crisis written by Lionello F. Punzo and published by Routledge. This book was released on 2012 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book aims at offering a comparative, multi-perspective analysis of the different, at times parallel, at times with varying degrees of interdependence, macroeconomic and structural adjustments in the two continents against the backdrop of important processes of regional integration. Its reading offers a multifaceted appreciation of the reality emerging from the mixing up of longer run tendencies deepened by the brute force of the financial and then industrial crisis.
Author : Diego A. Cerdeiro
Publisher : International Monetary Fund
ISBN 13 : 1475595913
Total Pages : 25 pages
Book Rating : 4.4/5 (755 download)
Download or read book Taking Stock written by Diego A. Cerdeiro and published by International Monetary Fund. This book was released on 2017-05-04 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effect that the recent decline in the price of oil has had on growth is far from clear, with many observers at odds to explain why it does not seem to have provided a significant boost to the world economy. This paper aims to address this puzzle by providing a systematic analysis of the effect of oil price shocks on growth for 72 countries comprising 92.8% of world GDP. We find that, on net, shocks driving the oil price in 2015 shaved off 0.2 percentage points of growth for the median country in our sample, and 0.17 percentage points in GDP-weighted terms. While increases in oil supply and shocks to oil-specific demand actually boosted growth in 2015 (by about 0.2 and 0.4 percentage points, respectively), weak global demand more than offset these gains, reducing growth by 0.8 percentage points. Counterfactual simulations for the 72 countries in our sample underscore the importance of diversification, rather than low levels of openness, in shielding against negative shocks to the world economy.
Author : Yoosoon Chang
Publisher : Emerald Group Publishing
ISBN 13 : 1837532141
Total Pages : 382 pages
Book Rating : 4.8/5 (375 download)
Download or read book Essays in Honor of Joon Y. Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
ISBN 13 : 1484304799
Total Pages : 52 pages
Book Rating : 4.4/5 (843 download)
Download or read book Seychelles written by International Monetary Fund. African Dept. and published by International Monetary Fund. This book was released on 2017-06-20 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper discusses measures to enhance resilience to climate and natural disasters in Seychelles. Rising sea levels, changing rainfall patterns, increasingly intense and frequent tropical cyclones, and massive coral bleaching are compounding economic and social risks in Seychelles. A policy mix focused on combining adaptation and mitigation strategies is ideal for Seychelles. Such policies should not only be aligned with Seychelles’ Nationally Determined Contribution, but also with the technical and financial capacity of the government. Experience from other small states suggests that small policy changes can still have a significant impact. To the extent adaptation and mitigation measures are inadequate, insurance policies and innovative financial instruments need to be exploited further.
Author : Evans Osabuohien
Publisher : Taylor & Francis
ISBN 13 : 1000773698
Total Pages : 333 pages
Book Rating : 4.0/5 (7 download)
Download or read book Socioeconomic Shocks and Africa’s Development Agenda written by Evans Osabuohien and published by Taylor & Francis. This book was released on 2022-11-10 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates how African countries respond to socioeconomic shocks, drawing out lessons to help to inform future policy and development efforts. The challenges posed by the COVID-19 pandemic affected all sectors of the economy, exposing substantial structural weaknesses and complexities in supply chains and logistics across the African continent. This book examines the disruptive impact of the pandemic across Africa. However, it also goes beyond the current crisis to investigate how socioeconomic pressures in general impact commodity prices, national budgeting processes, food, business, energy sectors, education, health, and sanitation. Overall, the book presents evidence-based solutions and policy recommendations to enable readers to improve resilience and responses to future crises. The insights provided by this book will be of interest to policymakers and development agencies, as well as to researchers of global development, politics, economics, business, and African studies.
Author : Anthony Garratt
Publisher : Oxford University Press (UK)
ISBN 13 : 0199650462
Total Pages : 402 pages
Book Rating : 4.1/5 (996 download)
Download or read book Global and National Macroeconometric Modelling written by Anthony Garratt and published by Oxford University Press (UK). This book was released on 2012-03-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.
Author : Refet S. Gürkaynak
Publisher : Edward Elgar Publishing
ISBN 13 : 1800375328
Total Pages : 533 pages
Book Rating : 4.8/5 (3 download)
Download or read book Research Handbook of Financial Markets written by Refet S. Gürkaynak and published by Edward Elgar Publishing. This book was released on 2023-05-09 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.
Author : Mr.Sohrab Rafiq
Publisher : International Monetary Fund
ISBN 13 : 1475573723
Total Pages : 48 pages
Book Rating : 4.4/5 (755 download)
Download or read book The Growth and Stabilization Properties of Fiscal Policy in Malaysia written by Mr.Sohrab Rafiq and published by International Monetary Fund. This book was released on 2013-06-19 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the size of the fiscal multiplier values generated in Malaysia. The results show that a government spending shock leads to broad positive economic effects. Although, the effectiveness of fiscal policy alters across macroeconomic states. The estimates show that since the Asian financial crisis the medium- and long-run effect of fiscal policy spending has declined. Some of this is down to greater credit availability and less investment spending.
Author : Sangyup Choi
Publisher : International Monetary Fund
ISBN 13 : 1513507915
Total Pages : 60 pages
Book Rating : 4.5/5 (135 download)
Download or read book International Fiscal-financial Spillovers: The Effect of Fiscal Shocks on Cross-border Bank Lending written by Sangyup Choi and published by International Monetary Fund. This book was released on 2019-07-12 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous domestic fiscal shocks (both measured by spending and revenue) between 1990Q1 and 2012Q4, we find that expansionary domestic fiscal shocks lead to a statistically significant increase in cross-border bank lending. The magnitude of the effect is also economically significant: the effect of 1 percent of GDP increase (decrease) in spending (revenue) is comparable to an exogenous decline in the federal funds rate. We also find that fiscal shocks tend to have larger effects during periods of recessions than expansions in the source country, and that the adverse effect of a fiscal consolidation is larger than the positive effect of the same size of a fiscal expansion. In contrast, we do not find systematic and statistically significant differences in the spillover effects across recipient countries depending on their exchange rate regime, although capital controls seem to play some moderating role. The extension of the analysis to a panel of 16 small open economies confirms the finding from the U.S. economy.
