scholarly journals Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities

2014 ◽  
Vol 82 (null) ◽  
pp. 3-15 ◽  
Author(s):  
이항용 ◽  
이진
Keyword(s):  
Forecast Error ◽  
Housing Prices ◽  
Error Variance ◽  
Spillover Effects ◽  
Variance Decomposition ◽  
Large Cities ◽  
Forecast Error Variance ◽  
Forecast Error Variance Decomposition

The influence of economic policy uncertainty and geopolitical risk on US citizens overseas air passenger travel by regional destination

2020 ◽  
pp. 135481662098119
Author(s):  
James E Payne ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Air Travel ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Passenger Travel ◽  
Forecast Error Variance

This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic policy uncertainty explains more of the forecast error variance of US overseas air travel, followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.

scholarly journals Estimating fuel price volatility and spillover effects across different European countries

2019 ◽  
Vol 14 (4) ◽  
pp. 419-430
Author(s):  
Matei Kubinschi ◽  
Dinu Barnea ◽  
Iuliana Zlatcu
Keyword(s):  
Forecast Error ◽  
Price Volatility ◽  
Error Variance ◽  
Spillover Effects ◽  
Weak Links ◽  
Fuel Price ◽  
Eu Countries ◽  
Fuel Prices ◽  
Developed Economies ◽  
Forecast Error Variance

Abstract This paper analyses the volatility of retail fuel prices in nine different EU countries and the spillover effects between fuel prices across selected countries from Central and Eastern Europe and the Eurozone over the 2008-2019 period. In particular, we use the GARCH-GJR model in order to investigate fuel price volatility and identify potential asymmetric dynamics. Moreover, in order to assess the links between fuel prices across countries, we estimate a VAR model and compute spillover measures using the Generalised Forecast Error Variance Decomposition (GFEVD) approach formulated by Diebold and Yilmaz (2009). Our results provide evidence of weak links between retail fuel prices across EU countries, with slightly higher spillovers originating from some developed economies such as France and Italy.

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