scholarly journals The Baltic countries sectoral share price indexes VAR model

2011 ◽  
Vol 52 ◽  
Author(s):  
Roma Uzdanavičiūtė ◽  
Rimantas Rudzkis
Keyword(s):  
Vector Autoregression ◽  
Model Identification ◽  
Share Price ◽  
Security Market ◽  
Linear Regression Models ◽  
Vector Autoregression Model ◽  
Baltic Countries ◽  
Price Indexes ◽  
Autoregression Model ◽  
The Baltic

According to the same modern Baltic countries economical and political integration, united OMXBaltic security market created.The main purpose of this article is to forecast her sectoral share price indexes according to their interdependent relationship during 2000-2010 year.Time series models, linear regression models and a vector autoregression model (VAR) can be used to model and forecast indexes processes.Therefore, the vector autoregression model is proposed for modelling.Theoretical aspects of model estimation are reviewed: time series stationarity, model identification, parameterestimation, model usage and forecasts.  

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.

scholarly journals On Nonlinear Relationship between Inflation and Economic Growth: A Study of ASEAN-5 Countries Period 2000–2016

2018 ◽  
Vol 63 (1) ◽  
pp. 1
Author(s):  
Ambar Galih ◽  
Sugiharso Safuan
Keyword(s):  
Economic Growth ◽  
Negative Correlation ◽  
Vector Autoregression ◽  
Empirical Studies ◽  
Vital Role ◽  
Nonlinear Relationship ◽  
Vector Autoregression Model ◽  
Autoregression Model

Money (inflation) has played a vital role in economic growth. However, the nexus between them has always drawn mesmerizing debates. From the thoughts of Classical and Keynes which argued the existence of money neutrality, to the level of empirical studies which find either positive or negative correlation between inflation and economic growth. Recent studies concerning the debatable relationship have evolved it into a hypothesis whether the relation is nonlinear with a threshold or a point where the link switches. This study aims to re-examine the causality between inflation and economic growth in ASEAN-5 countries period 2000Q1–2016Q4. The results based on Threshold Vector Autoregression model indicate the presence of a nonlinear relationship between the two variables.

scholarly journals An Approach of Vector Autoregression Model for Inflation Analysis in Indonesia

2018 ◽  
Vol 20 (3) ◽  
Author(s):  
Idah Zuhroh ◽  
Hendra Kusuma ◽  
Syela Kurniawati
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Foreign Exchange ◽  
Vector Autoregression ◽  
Negative Relationship ◽  
Foreign Exchange Reserves ◽  
Monthly Data ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
The Stability

A control of the inflation rate caused by the fluctuations in foreign exchange reserves, money supply, and exchange rate is required to create the stability of the country's economy. This study aims to analyze the dynamic impact of disturbance factors contained in the variables of foreign exchange reserves, the money supply, and the exchange rate. This research used monthly data from June 2009 to November 2016. It used a method used of Vector Autoregression. The result shows that a foreign exchange reserve has a negative relationship nut not significant effect on inflation, money supply has positive relationship and significant effect on inflation, and exchange rate of rupiah to US dollar has negative relationship and significant effect on inflation. The responce of inflation from shocking occurs to supply, foreign exchange reserves and exchange rate tend to be convergent and the biggest contribution that influences inflation the most is exchange rate beside inflation itself.

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