scholarly journals Monetary Policy and Time Varying Parameter Vector Autoregression Model

2015 ◽  
Vol 32 ◽  
pp. 496-502 ◽  
Author(s):  
Andreea Roşoiu
Keyword(s):  
Monetary Policy ◽  
Vector Autoregression ◽  
Time Varying ◽  
Parameter Vector ◽  
Vector Autoregression Model ◽  
Time Varying Parameter ◽  
Autoregression Model

THE CONNECTEDNESS BETWEEN THE SENTIMENT INDEX AND STOCK RETURN VOLATILITY UNDER COVID-19: A TIME-VARYING PARAMETER VECTOR AUTOREGRESSION APPROACH

2021 ◽  
pp. 1-32
Author(s):  
WENTING ZHANG ◽  
SHIGEYUKI HAMORI
Keyword(s):  
Stock Return ◽  
Vector Autoregression ◽  
Return Volatility ◽  
Time Varying ◽  
Parameter Vector ◽  
Vector Autoregression Model ◽  
Stock Return Volatility ◽  
Time Varying Parameter ◽  
Autoregression Model ◽  
The Impact

We analyze the connectedness between the sentiment index and the return and volatility of the crude oil, stock and gold markets by employing the time-varying parameter vector autoregression model vis-à-vis the coronavirus disease (COVID-19) epidemic. Our sentiment index is constructed via text mining technology. We also employ a network to visualize and better understand the structure of the connectedness. The results confirm that the sentiment index is the net pairwise directional connectedness receiver, while the infectious disease equity market volatility tracker is the transmitter. Furthermore, the impact of the COVID-19 pandemic on the total connectedness of volatility is unprecedented.

scholarly journals ANALISIS KAUSALITAS KEBIJAKAN FISKAL EKSPANSIF, KEBIJAKAN MONETER EKSPANSIF DAN PERTUMBUHAN EKONOMI DI INDONESIA

2020 ◽  
Vol 2 (1) ◽  
pp. 55
Author(s):  
Fadhliah Yuniwinsah ◽  
Ali Anis
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Monetary Policy ◽  
Fiscal Policy ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Series Data ◽  
Vector Autoregression Model ◽  
Autoregression Model

This study examined the causality between expansionary fiscal policy, expansionary monetary policy and economic growth in Indonesia’s using a time series data with vector autoregression model (VAR) in the period of 1969-2018. The results of this study showed that are there is no causality between expansionary fiscal policy and expansionary monetary policy but there one-way relationship between them, it is the expansionary monetary policy gives influence to expansionary fiscal policy. There is no causality between expansionary fiscal policy and economic growth but there one-way relationship between them, It is economic growth gives influence to expansionary fiscal policy. And there is no causality between expansionary monetary policy and economic growth but there one-way relationship between them, it is economic growth gives influence to expansionary monetary policy.

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