scholarly journals Impact of China on Malaysian Economy: Empirical Evidence of Sign-Restricted Structural Vector Autoregression (SVAR) Model

2018 ◽  
Vol 14 (2) ◽  
pp. 25-44
Author(s):  
Mohd Azlan Shah Zaidi ◽  
◽  
Zulkefly Abdul Karim ◽  
Zurina Kefeli @ Zulkefli ◽  
◽  
...  
Keyword(s):  
Empirical Evidence ◽  
Vector Autoregression ◽  
Structural Vector Autoregression ◽  
Svar Model ◽  
Structural Vector

scholarly journals Can South America form an optimal monetary area? A structural vector autoregression analysis

2020 ◽  
Author(s):  
León Padilla ◽  
Ángel Rodriguez García-Brazales
Keyword(s):  
South America ◽  
Vector Autoregression ◽  
South American ◽  
Structural Vector Autoregression ◽  
Common Currency ◽  
Key Indicator ◽  
Svar Model ◽  
Regional Shocks ◽  
Structural Vector ◽  
Country Specific

AbstractThis research analyzes the feasibility of adopting a common currency in South America using the Optimal Monetary Areas theory. Taking into account that the relative dominance of regional shocks in local output is considered a key indicator to adopt a regional currency, we use a structural vector autoregression (SVAR) model to determine what type of shock —among global, regional or country specific— prevails in South American economies. The results of variance decomposition demonstrate that the output trajectory of South American countries is mainly explained by country-specific shocks; therefore, South America as a whole is not considered not an optimal monetary area. However, we identified a group of countries —named Sud-5 (comprised of Chile, Peru, Ecuador, Brazil and Argentina)— for which the costs of a hypothetical monetary union would be relatively lower.

scholarly journals Inflasi Makanan dan Implikasinya terhadap Kebijakan Moneter di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 58-74
Author(s):  
Rulyusa Pratikto ◽  
Mohamad Ikhsan
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Vector Autoregression ◽  
Spillover Effect ◽  
Structural Vector Autoregression ◽  
Inflation Stabilization ◽  
Effect Of Food ◽  
Food Inflation ◽  
Structural Vector ◽  
Effectiveness Of Monetary Policy

Food Inflation and Monetary Policy Implication in IndonesiaControlling food inflation in Indonesia is essential mainly caused by its persistent and relatively significant impact on the poor’s purchasing power compare to other commodities. Thus, the main purpose of this study is to determine the effectiveness of monetary policy on food inflation stabilization in Indonesia. By utilizing Structural Vector Autoregression, the empirical results provided here show that monetary policy does eectively prevent the spillover effect of food to non-food inflation. In addition to that, the exchange rate may play some role in the longer period to affect the volatility of food inflation.Keywords: Monetary Policy; Food Inflation; Structural Vector Autoregression AbstrakPengendalian inflasi makanan penting untuk dilakukan di Indonesia terutama karena dua hal, yaitu sifat inflasi makanan yang persisten dan dampaknya terhadap penurunan daya beli keluarga miskin yang relatif tinggi dibandingkan dengan komoditas lainnya. Dengan demikian, tujuan utama penelitian ini adalah untuk mengetahui efektivitas dari kebijakan moneter terhadap pengendalian inflasi makanan di Indonesia. Dengan menggunakan metode Structural Vector Autoregression, hasil empiris menunjukkan bahwa kebijakan moneter secara efektif dapat mencegah dampak spillover inflasi makanan ke inflasi non-makanan. Selain itu, stabilitas nilai tukar dapat memiliki peran untuk mengurangi volatilitas inflasi makanan terutama pada jangka panjang.

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

The impact of media campaigns on smoking cessation activity: a structural vector autoregression analysis

Addiction ◽  
2012 ◽  
Vol 107 (11) ◽  
pp. 2043-2050 ◽  
Author(s):  
Tessa E. Langley ◽  
Ann McNeill ◽  
Sarah Lewis ◽  
Lisa Szatkowski ◽  
Casey Quinn
Keyword(s):  
Smoking Cessation ◽  
Vector Autoregression ◽  
Structural Vector Autoregression ◽  
Media Campaigns ◽  
The Impact ◽  
Structural Vector

scholarly journals How Does Fiscal Policy Affect Bank Credit? Evidence from China

2021 ◽  
Vol 2021 ◽  
pp. 1-8
Author(s):  
Huan Yan ◽  
Weiguo Xiao ◽  
Qi Deng ◽  
Sisi Xiong
Keyword(s):  
Fiscal Policy ◽  
Government Spending ◽  
Bank Credit ◽  
Tax Revenue ◽  
External Financing ◽  
Structural Vector Autoregression ◽  
Economic Data ◽  
Svar Model ◽  
Collateral Channel ◽  
Structural Vector

Using a set of Chinese economic data and a structural vector autoregression (SVAR) model, this paper investigates the transmission channels of fiscal policy to bank credit in China. We find that increases in tax revenue can increase bank credit through external financing premium channel, collateral channel, and bank liquidity channel. We also find that increases in government spending can reduce bank credit through bank liquidity channel and increase bank credit through external financing premium channel and collateral channel.

scholarly journals Examination of the Exchange Rate and Import Price Pass-through to Inflation: A View from Nigeria

2020 ◽  
Author(s):  
Samuel F Onipede ◽  
Nafiu A Bashir ◽  
Kodili N Nduka ◽  
Nuruddeen Usman
Keyword(s):  
Exchange Rate ◽  
Vector Autoregression ◽  
Import Price ◽  
Domestic Currency ◽  
Structural Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
Pass Through ◽  
Structural Vector ◽  
Domestic Inflation

Abstract We examine the effect of exchange rate and import price pass-through to inflation in Nigeria using headline inflation and import price data, with the aid of a non-recursive Structural Vector Autoregression model. Our results indicate mostly incomplete ERPT and IPPT to inflation. Specifically, we found that (i) the ERPT to the INF is incomplete at all horizons. (ii) IPPT to the INF is incomplete at all horizons. (iii) IPPT to inflation is relatively more rapid than the ERPT to inflation. The findings further suggest that the monetary authority should be wary of using devaluation of the domestic currency as a way of propping up the economy as that would not only aggravate domestic inflation but likely to also increase the ERPT. Similarly, harmonizing the disparate exchange rate windows in the economy might reduce import price pass-through to domestic inflation. Also, the size and speed of both ERPT and IPPT from the study suggest that relevant authorities need to strengthen domestic industries and instill confidence in consumers, to reduce reliance on imports.JEL Classification: C32; E31; F31; 055

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