scholarly journals Investigating the Impact of Oil Price and Exchange Rate Uncertainty on Stock Return using Whitening Linear Transformation and Vector Autoregressive Model

2019 ◽  
Vol 10 (2) ◽  
Author(s):  
Alireza Heidarzadeh Hanzaee ◽  
Mohammad Farahani
Keyword(s):  
Exchange Rate ◽  
Linear Transformation ◽  
Autoregressive Model ◽  
Stock Return ◽  
Oil Price ◽  
Vector Autoregressive Model ◽  
Exchange Rate Uncertainty ◽  
Vector Autoregressive ◽  
The Impact

scholarly journals The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model

2014 ◽  
Author(s):  
Evrim Tören
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Open Economy ◽  
Stock Prices ◽  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Macroeconomic Dynamics ◽  
Vector Autoregressive ◽  
The Impact

This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.

The impact of hurricane strikes on cruise ship and airplane tourist arrivals in the Caribbean

2021 ◽  
pp. 135481662110374
Author(s):  
Pablo Carballo Chanfón ◽  
Preeya Mohan ◽  
Eric Strobl ◽  
Thomas Tveit
Keyword(s):  
Autoregressive Model ◽  
Cruise Ship ◽  
Vector Autoregressive Model ◽  
Dynamic Effects ◽  
Exogenous Shock ◽  
Vector Autoregressive ◽  
Percentage Points ◽  
The Caribbean ◽  
The Impact ◽  
Positive Effect

We investigate the impact of hurricanes on airplane and cruise ship arrivals in the Caribbean. To this end, we construct a monthly panel of airline and cruise ship arrivals and hurricane destruction and employ a panel vector autoregressive model with an exogenous shock (VARX) to quantify the dynamic effects of tourist arrivals after a hurricane for 18 Caribbean countries over the period 2000–2013. The results suggest an immediate decline in the month of a strike and up to one month after on cruise ship (2.33 and 1.21 percentage points) and airplane (0.57 and 0.27 percentage points) arrivals. Moreover, a strong recovery in airplane arrivals in months 3–6 following a hurricane was sufficient to induce a net positive effect of around 2 percentage points of total tourist arrivals into the region.

scholarly journals REAL OUTPUT AND OIL PRICE UNCERTAINTY IN AN OIL PRODUCING COUNTRY

2019 ◽  
Vol 22 (2) ◽  
pp. 163-176 ◽  
Author(s):  
Bernard Njindan Iyke
Keyword(s):  
Crude Oil ◽  
Acquisition Cost ◽  
Autoregressive Model ◽  
Oil Prices ◽  
Conditional Variance ◽  
Oil Price ◽  
Real Output ◽  
Price Uncertainty ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive

Sudden changes in oil prices have been a major concern for countries – oil producing and non-oil producing countries alike. Due to this, we assessed the effects of such an uncertainty on the real output of Nigeria, an oil producing country, during the period 1980:1 to 2014:4. We achieved this objective by using a vector autoregressive model that permits us to decompose oil price uncertainty into positive and negative uncertainties. We then quantified the responses of real output to these uncertainties. Using the conditional variance of the returns in the composite refiners’ acquisition cost of crude oil deflated by US GDP deflator as our measure of oil price uncertainty, we found that a positive uncertainty leads to a decline in real output, while a negative uncertainty leads to a rise in real output. The response of real output to these uncertainties is asymmetric.

scholarly journals Analysis of the Monetary Policy Dynamics in Romania Using a Structural Vector Autoregressive Model

2019 ◽  
pp. 146-161
Keyword(s):  
Monetary Policy ◽  
Autoregressive Model ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Monetary Aggregates ◽  
Policy Dynamics ◽  
Structural Vector Autoregressive Model ◽  
The Impact ◽  
Structural Vector ◽  
Empirical Framework

This chapter aims to provide an elaborate empirical analysis of the monetary policy dynamics in Romania using a structural vector autoregressive model. This chapter contributes to literature based on an empirical framework regarding the implications of exchange rate channel within the monetary policy, and the impact of the monetary aggregates channels in order to explain the evolution of the prices level in Romania.

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