scholarly journals Analysis of the development of the unemployment rate in Lithuania: application of the SVAR model

Ekonomika ◽  
2015 ◽  
Vol 94 (3) ◽  
pp. 86-95
Author(s):  
Tomas Reichenbachas
Keyword(s):  
Unemployment Rate ◽  
Supply And Demand ◽  
Long Term Effects ◽  
Structural Unemployment ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Structural Vector Autoregressive Model ◽  
Economic Boom ◽  
Structural Vector

The paper analyses the dynamics of unemployment in Lithuania, using a structural vector autoregressive model (sVAR) with long-term restrictions proposed by Fabiani et al. (2001). In accordance with it, the unemployment rate is predetermined by economic shocks, some of them with long-term effects (structural) and some with short-term ones (cyclical). The greater part of changes in unemployment in the period of 2002 to 2014 were predetermined by cyclical shocks (of productivity and labour supply and demand). The cyclical unemployment, peaked in the years 2010 to 2011, amounted to ca. 6%. On the other hand, structural unemployment is slow to change, in the years of the economic boom (2006 to 2007) it amounted to ca. 8% (at the time, the cyclical unemployment was negative and the economy encountered overheating, while in 2014 structural unemployment was slightly higher and amounted to ca. 11%).

scholarly journals The role of personal income tax reforms in the transition to a democratic and egalitarian Egypt

2012 ◽  
Vol 9 (2) ◽  
pp. 385-399
Author(s):  
Monal A. Abdel-Baki ◽  
Nirmala Dorasamy
Keyword(s):  
Income Tax ◽  
Personal Income ◽  
Personal Income Tax ◽  
Long Term Effects ◽  
Important Lesson ◽  
Tax Reforms ◽  
Vector Autoregressive ◽  
Short Run ◽  
Structural Vector Autoregressive Model

The efficacy of the 2005-Personal Income Tax (PIT) reform in enhancing the macroeconomic performance in Egypt is tested using a structural vector autoregressive model. The results reveal that PIT reforms have successfully generated jobs and accelerated GDP growth. The reforms may cause mild inflation in the short-run, but their long-term effects are non-inflationary. This is the first effort to assess the PIT reforms in Egypt, with the aim of helping the new government to assess preceding policies and pursue the successful ones. The research is also an important lesson for the leaders of emerging economies encountering similar circumstances to enact reforms and to perpetuate economic growth and sociopolitical stability.

scholarly journals The role of personal income tax reforms in the transition to a democratic and egalitarian Egypt

2012 ◽  
Vol 1 (3) ◽  
pp. 74-88
Author(s):  
Monal Abdel-Baki ◽  
Nirmala Dorasamy
Keyword(s):  
Income Tax ◽  
Personal Income ◽  
Personal Income Tax ◽  
Long Term Effects ◽  
Important Lesson ◽  
Tax Reforms ◽  
Vector Autoregressive ◽  
Short Run ◽  
Structural Vector Autoregressive Model

The efficacy of the 2005-Personal Income Tax (PIT) reform in enhancing the macroeconomic performance in Egypt is tested using a structural vector autoregressive model. The results reveal that PIT reforms have successfully generated jobs and accelerated GDP growth. The reforms may cause mild inflation in the short-run, but their long-term effects are non-inflationary. This is the first effort to assess the PIT reforms in Egypt, with the aim of helping the new government to assess preceding policies and pursue the successful ones. The research is also an important lesson for the leaders of emerging economies encountering similar circumstances to enact reforms and to perpetuate economic growth and sociopolitical stability.

Permanent, Transitory, And Non-Fundamental Components Of Returns, Volatility, And Volume

2011 ◽  
Vol 6 (6) ◽  
Author(s):  
Megan Y. Sun
Keyword(s):  
Stock Market ◽  
Autoregressive Model ◽  
Vector Autoregressive Model ◽  
Font Size ◽  
Vector Autoregressive ◽  
Normal Text ◽  
Svar Model ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

<p class="normal15" style="line-height: normal; text-indent: 0in; margin: 0in 0.5in 0pt;"><span style="font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt;">This paper uses a trivariate structural vector autoregressive model to estimate the effects of permanent fundamental, transitory fundamental, and non-fundamental shocks on returns, volatility, and volume.<span style="mso-spacerun: yes;">&nbsp; </span>Though each of these three shocks affects all three variables, these effects are not equal.<span style="mso-spacerun: yes;">&nbsp; </span>Returns are mostly driven by permanent fundamental shocks, volatility is primarily affected by transitory fundamental shocks, and volume is mainly determined by non-fundamental shocks.<span style="mso-spacerun: yes;">&nbsp;&nbsp;&nbsp; </span>This trivariate SVAR model also helps empirically decompose returns, volatility, and volume into the three shock components.<span style="mso-spacerun: yes;">&nbsp; </span>Further, we find that the stock market decline in early 2000 was triggered by changes in fundamentals, and was not just the outcome of non-informational trading.<span style="mso-spacerun: yes;">&nbsp; </span></span></p>

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

Credit supply shocks and the Great Depression in Germany

2020 ◽  
Author(s):  
Max Breitenlechner ◽  
Daniel Gründler ◽  
Gabriel P Mathy ◽  
Johann Scharler
Keyword(s):  
Great Depression ◽  
Aggregate Demand ◽  
Banking Crisis ◽  
Expansion Phase ◽  
Vector Autoregressive ◽  
Credit Supply ◽  
The Great Depression ◽  
Supply Shocks ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

Abstract At the peak of the Great Depression in mid-1931, Germany experienced a severe banking crisis. We study to what extent credit constraints contributed to the downturn by fitting a structural vector autoregressive model with data from January 1925 to September 1935. Adverse credit supply shocks contributed strongly to the downturn especially at the time of the 1931 banking crisis. Before that, credit supply shocks had also contributed to the expansion phase preceding the depression. We also find that aggregate demand and U.S. business cycle shocks were the primary drivers of the German Great Depression.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

IMPACTS OF EXTERNAL SHOCKS ON ASIAN ECONOMIES: PANEL VECTOR AUTOREGRESSIVE REGRESSION WITH LATENT DYNAMIC COMPONENTS APPROACH

2013 ◽  
Vol 58 (04) ◽  
pp. 1350026
Author(s):  
DOO YONG YANG
Keyword(s):  
Business Cycles ◽  
Asian Crisis ◽  
Space Representation ◽  
External Shocks ◽  
Long Term Effects ◽  
Vector Autoregressive ◽  
Asian Economies ◽  
Dynamic Components ◽  
The Impact

This paper analyzes the effects of external shocks on emerging Asian economies. Since the Asian crisis of 1997–1998, the impact of external shocks on regional economies has grown important in the Asian business cycles as well as in the decision-making process of macroeconomic policies, as emerging Asian economies have become more integrated with the global economy. This paper designs a state-space representation of the panel vector autoregressive model with latent dynamic components in order to show the impulse response function of three external shocks including real income shock, financial shock, and long-term real interest rate shock. This paper finds the external real gross domestic product shock as a dominant one in emerging Asia. The shock has been persistent and has carried long-term effects on emerging Asia before and after the Asian crisis. Second, the external equity shock has also been an important factor influencing the business cycles in the region after the Asian crisis, while the effect has been insignificant before the Asian crisis. Last, the external monetary shock has presumably mitigated effectively by Asia's macroeconomic policy, but it has forced to give up monetary independency in the region.

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