Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models

2015 ◽  
pp. 37-57 ◽  
Author(s):  
Goodness Aye ◽  
Pami Dua ◽  
Rangan Gupta
Keyword(s):  
Var Models ◽  
Macroeconomic Variables ◽  
Medium Scale

scholarly journals Regional Integration, Monetary Cooperation: Evidence from Global VAR Models for the Member States of the Shanghai Cooperation Organization

2019 ◽  
Vol 11 (1-2) ◽  
pp. 65-79
Author(s):  
Mohsen Khezri ◽  
Muhamed Zulkhibri ◽  
Reza Ghazal
Keyword(s):  
Regional Integration ◽  
Central Banks ◽  
External Shocks ◽  
Var Models ◽  
Shanghai Cooperation Organization ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Monetary Cooperation ◽  
Global Var ◽  
Global Vector

Using quarterly data over the 1996 Q1 to 2015 Q5 period and a global vector regression (GVAR) model, this article empirically investigates the effect of supply, demand, and external shocks on member countries of the Shanghai Cooperation Organization (SCO) in order to examine if these countries have the ground to form a monetary union. The results suggest asymmetric response of central banks in these countries to domestic and external shocks and differentials in the impulse response of the macroeconomic variables to shocks: the response of the central banks of Kyrgyzstan and Russia to domestic shocks and of Belarus, Kyrgyzstan, and Russia to external shocks are short term and severe. Based on our results, forming a monitory union may not be feasible.

Panel VAR models with interactive fixed effects

2020 ◽  
Author(s):  
Mustafa Tuğan
Keyword(s):  
Structural Analysis ◽  
Fixed Effects ◽  
Large Time ◽  
Var Model ◽  
Panel Var ◽  
Large Cross Section ◽  
Var Models ◽  
Macroeconomic Variables ◽  
Interactive Fixed Effects ◽  
Panel Vector Autoregression

Summary In the literature, a common feature of panel models with interactive fixed effects is that they model a univariate variable. In this regard, they are incapable of addressing dynamic and simultaneous interactions among a set of macroeconomic variables, a problem that falls within the realm of structural analysis. This paper aims to contribute to the existing literature by studying a homogeneous panel vector autoregression (VAR) model with interactive fixed effects. The panel VAR model in question is flexible in that it can accommodate an arbitrary lag length and observable regressors that can be individual-specific or common. For factor VAR models with both a large cross-section (C) and a large time (T) dimension, we derive the limiting distribution of the interactive fixed estimator, allowing structural analysis to be extended to panel VAR models with interactive fixed effects.

scholarly journals A New Zealand study of association between crime and the state of the economy

2021 ◽  
Author(s):  
◽  
Shuhan Xu
Keyword(s):  
Growth Rate ◽  
Unemployment Rate ◽  
Moving Average ◽  
National Level ◽  
Regional Level ◽  
Var Models ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
State Of The Economy ◽  
The Impact

<p>The aim of this thesis is to investigate whether there are associations between economically motivated crimes and macroeconomic variables. Economically motivated crimes include burglary, fraud and theft. Non-traffic offences are used as the measurement of overall crime levels, and an association between non-traffic offences and macroeconomic variables is analysed as well. Forecasting the number of people charged with burglary, fraud, theft and non-traffic offences is another objective of this thesis. Association between economically motivated crimes and the unemployment rate is also analysed at a regional level.  Methods used in this thesis include Vector Autoregressive (VAR) models, Vector Error Correction Models (VECM) and Autoregressive Integrated Moving Average (ARIMA) models. VECM and VAR models are used to produce Granger-Causality tests and impulse responses in order to summarise the associations between crimes and macroeconomic variables. All modelling methods are used to generate forecasts.  The conclusion from this thesis is that there are associations between crime and some macroeconomic variables at a national level. The biggest impact on crime is its own value in the past. The impact of macroeconomic variables is minor, and this makes the sign of the impact less important. In fact, the sign of the impact is hard to conclude because it moves between positive and negative in different periods. At a national level, the growth rate of unemployment causes the growth rate of burglary, theft and non-traffic charges. The association between unemployment and crime becomes insignificant once all macroeconomic variables are included. Overall, the growth rate of personal weekly average income or household debt and disposable income ratio (both measuring personal or household financial condition) causes an increase in the growth rate of burglary, theft and non-traffic charges. Movement of inflation causes an increase in the growth rate of fraud charges. At a regional level, growth in the unemployment rate causes an increase in theft charges in Auckland and Northland. In Nelson/Marlborough/West Coast, growth in the unemployment rate causes growth in burglary charges and vice versa. Growth in the unemployment rate causes growth in the rate of fraud charges, but this is found in Northland only. Forecasts produced by this study suggest that the number of people charged with burglary, theft, fraud and non-traffic offences will continue to decrease up until 2019, but at a lower rate of reduction.</p>

scholarly journals A New Zealand study of association between crime and the state of the economy

2021 ◽  
Author(s):  
◽  
Shuhan Xu
Keyword(s):  
Growth Rate ◽  
Unemployment Rate ◽  
Moving Average ◽  
National Level ◽  
Regional Level ◽  
Var Models ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
State Of The Economy ◽  
The Impact

<p>The aim of this thesis is to investigate whether there are associations between economically motivated crimes and macroeconomic variables. Economically motivated crimes include burglary, fraud and theft. Non-traffic offences are used as the measurement of overall crime levels, and an association between non-traffic offences and macroeconomic variables is analysed as well. Forecasting the number of people charged with burglary, fraud, theft and non-traffic offences is another objective of this thesis. Association between economically motivated crimes and the unemployment rate is also analysed at a regional level.  Methods used in this thesis include Vector Autoregressive (VAR) models, Vector Error Correction Models (VECM) and Autoregressive Integrated Moving Average (ARIMA) models. VECM and VAR models are used to produce Granger-Causality tests and impulse responses in order to summarise the associations between crimes and macroeconomic variables. All modelling methods are used to generate forecasts.  The conclusion from this thesis is that there are associations between crime and some macroeconomic variables at a national level. The biggest impact on crime is its own value in the past. The impact of macroeconomic variables is minor, and this makes the sign of the impact less important. In fact, the sign of the impact is hard to conclude because it moves between positive and negative in different periods. At a national level, the growth rate of unemployment causes the growth rate of burglary, theft and non-traffic charges. The association between unemployment and crime becomes insignificant once all macroeconomic variables are included. Overall, the growth rate of personal weekly average income or household debt and disposable income ratio (both measuring personal or household financial condition) causes an increase in the growth rate of burglary, theft and non-traffic charges. Movement of inflation causes an increase in the growth rate of fraud charges. At a regional level, growth in the unemployment rate causes an increase in theft charges in Auckland and Northland. In Nelson/Marlborough/West Coast, growth in the unemployment rate causes growth in burglary charges and vice versa. Growth in the unemployment rate causes growth in the rate of fraud charges, but this is found in Northland only. Forecasts produced by this study suggest that the number of people charged with burglary, theft, fraud and non-traffic offences will continue to decrease up until 2019, but at a lower rate of reduction.</p>

Analysis of the Bank of Russia information policy

2017 ◽  
pp. 88-110 ◽  
Author(s):  
S. Drobyshevsky ◽  
P. Trunin ◽  
A. Bozhechkova ◽  
E. Gorunov ◽  
D. Petrova
Keyword(s):  
Interest Rate ◽  
Nonparametric Tests ◽  
Information Policy ◽  
Var Models ◽  
New Approach ◽  
Interest Rate Policy ◽  
News Reports ◽  
Internet Users ◽  
Rate Policy ◽  
Exchange Markets

The article investigates the Bank of Russia information policy using a new approach to measuring information effects on Russian data, including the analysis of the tonality of news reports, as well as internet users’ queries on Google. The efficiency of regulator’s information signals is studied using EGARCH-, VAR- models, as well as nonparametric tests. The authors conclude that the regulator communicates effectively in terms of the predictability of interest rate policy, the degree to which information signals affect the money and foreign exchange markets.

Sign in / Sign up

Export Citation Format

Share Document