Variance decomposition approaches and impulse response functions in the energy-growth nexus

2021 ◽  
pp. 241-252
Author(s):  
Angeliki Menegaki
Keyword(s):  
Impulse Response ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Energy Growth

Results and Discussion 2

2014 ◽  
pp. 180-225
Keyword(s):  
Financial Development ◽  
Impulse Response ◽  
Productivity Growth ◽  
Variance Decomposition ◽  
Dynamic Responses ◽  
Response Analysis ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
The Empirical Analysis

The empirical analysis of this chapter provides insights into the functioning of the economies of three selected countries. Later in the chapter, the dynamic responses of the model to shocks in indicators of financial development are investigated. To obtain credible impulse response analysis, economic theory is used to set the required identifying restrictions instead of using an “unrestricted” vector autoregressive model. The structural form of the model then is summarised in the chapter by the variance decomposition and impulse response functions. The general results from impulse response functions advocate the theory of financial intermediation arguing that the development of the financial market helps to promote economic growth. Furthermore, the results of variance decomposition shows that different measures of financial development influence the variation of growth variables, particularly investment, savings, and productivity growth.

scholarly journals International Equity Markets Cross Border Trading, Or Leading?

2010 ◽  
Vol 9 (7) ◽  
Author(s):  
Paolo Miranda
Keyword(s):  
Impulse Response ◽  
Equity Markets ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
International Equity Markets ◽  
Cross Border ◽  
Model Based ◽  
International Equity

This paper studies the mechanisms that lead to the conclusion that one market leads another. The results of a model, based on Kyle (1985), suggest cross border trading and industry commonality as mechanisms. The data confirms the results obtained by the model showing that countries heavily engaged in cross border trading appear in variance decomposition / impulse response functions as leading other markets.

scholarly journals Impact of credit risk and profitability on liquidity shocks of Namibian banks: an application of the structural VAR model

2021 ◽  
Vol 8 (3) ◽  
pp. 349-359
Author(s):  
Albert V. Kamuinjo ◽  
Ravinder Rena ◽  
Andrew Maredza
Keyword(s):  
Credit Risk ◽  
Granger Causality ◽  
Impulse Response ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Liquidity Shocks ◽  
Forecast Error Variance

The main purpose of this paper was to investigate the relationship between banks’ credit risk and profitability and liquidity shocks in Namibia for the period 2009 to 2018 using the SVAR model. In estimating the SVAR regression model, granger causality, impulse-response functions and forecast error variance decomposition were employed and evaluated. The sample consisted of Namibian commercial banks. By auditing liquidity data between 2009 and 2018, empirical results showed that liquidity risk is caused by a combination of structural shocks. The granger causality, impulse-response functions and forecast error variance decomposition documented that credit risk (non-performing loans) is key factor affecting liquidity conditions in Namibia in the medium to long run. In addition, the empirical results showed that quality earnings (ROA) have minimal impact on liquidity conditions in the short run. Reforming assets quality policies and earnings quality policies can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks in Namibia.

scholarly journals The response of remittances inflows to asymmetric oil price shocks in Egypt

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohamed Samir Abdalla Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
Content Type

Purpose The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks. Design/methodology/approach This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest. Findings The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases. Originality/value This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.

scholarly journals The Response of Remittances Inflows to Asymmetric Oil Price Shocks in Egypt

2019 ◽  
Author(s):  
Mohamed Samir Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
The Impact

Purpose: The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks. Design: This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest. Findings: The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases. Originality: This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.

Impulse-response functions and anthropogenic CO2

1995 ◽  
Vol 22 (4) ◽  
pp. 413-416 ◽  
Author(s):  
Francesco N. Tubiello ◽  
Michael Oppenheimer
Keyword(s):  
Impulse Response ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Anthropogenic Co2
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