scholarly journals Impact of Covid-19 on the Financial Sector Indices

2021 ◽  
Vol 14 (2) ◽  
pp. 137-145
Author(s):  
Bhuvaneshwari D. ◽  
Keyword(s):  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Financial Services ◽  
Impulse Response Function ◽  
Financial Sector ◽  
Specific Reference ◽  
Ols Regression ◽  
Private Banks ◽  
The Impact

This study is an attempt to assess the impact of Covid-19 and the lockdown pronounced thereof on the Nifty sectoral indices with specific reference to the financial sector indices owing to their significance in the economy. The OLS regression, Granger Causality and Impulse Response Function were estimated to measure the changes in the future responses of Nifty 50 to the changes in the select sectoral indices, namely, Nifty Bank, Nifty Financial Services and Nifty Private Banks and Nifty PSU Banks for the period consisting two sub-periods, i.e., the first sub-period from April 2019 to March 2020 are assumed as the preCovid-19 period and the second sub-period from April 2020 to March 2021 is assumed as the period during Covid-19. The results indicated that the shock of the Covid-19 had an impact on the financial sector indices in India during the Covid-19 period.

scholarly journals The Impact of Agricultural Exports on Economic Growth in Nigeria

2016 ◽  
Vol 64 (2) ◽  
pp. 691-700 ◽  
Author(s):  
Nahanga Verter ◽  
Věra Bečvářová
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Agricultural Trade ◽  
Variance Decomposition ◽  
Ols Regression ◽  
Agricultural Exports ◽  
The Impact

Agriculture is the backbone of Nigeria’s socioeconomic development. This paper investigates the impact of agricultural exports on economic growth in Nigeria using OLS regression, Granger causality, Impulse Response Function and Variance Decomposition approaches. Both the OLS regression and Granger causality results support the hypothesis that agricultural exports- led economic growth in Nigeria. The results, however, show an inverse relationship between the agricultural degree of openness and economic growth in the country. Impulse Response Function results fluctuate and reveal an upward and downward shocks from agricultural export to economic growth in the country. The Variance Decomposition results also show that a shock to agricultural exports can contribute to the fluctuation in the variance of economic growth in the long run. For Nigeria to experience a favourable trade balance in agricultural trade, domestic processing industries should be encouraged while imports of agricultural commodities that the country could process cheaply should be discouraged. Undoubtedly, this measure could drastically reduce the country’s overreliance on food imports and increase the rate of agricultural production for self-sufficiency, exports and its contribution to the economic growth in the country.

scholarly journals Crude oil price variability and its impact on ethanol prices

2011 ◽  
Vol 57 (No. 8) ◽  
pp. 394-403 ◽  
Author(s):  
J. Pokrivčák ◽  
M. Rajčaniová
Keyword(s):  
Crude Oil ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Oil Price ◽  
Biofuel Production ◽  
Oil Price Shock ◽  
Price Shock ◽  
The Impact

The world annual biofuel production has exceeded 100 billion litres in 2009. The development of the biofuel production is partly influenced by the government support programs and partly by the development of oil prices. The main purpose of this paper is to analyze the statistical relationship between ethanol, gasoline and crude oil prices. We aim to check the correlation among these variables and to analyze the strength and direction of a possible linear relationship among the variables. We are interested in analyzing how each variable is related to another, so we evaluate the inter-relationship among the variables in the Vector Autoregression (VAR) and the Impulse Response Function (IRF). In order to achieve our goal, we first collected weekly data for each variable from January, 2000 to October, 2009. The results provide evidence of the cointegration relationship between oil and gasoline prices, but no cointegration between ethanol, gasoline and ethanol, oil prices. As a result, we used a VAR model on first differences. After running the Impulse Response Function, we found out that the impact of the oil price shock on the other variables is considerable larger than vice versa. The largest impact of oil price shock was observed on the price of gasoline.  

scholarly journals A Study On The Productivity Of Koreas Industrial Sector With IT Technology Capital And R&D Stocks Variation

2011 ◽  
Vol 1 (10) ◽  
Author(s):  
Chuhwan Park ◽  
Tae-Woong Park ◽  
Byoung-Moo Heo
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Industrial Sector ◽  
Response Analysis ◽  
Industrial Growth ◽  
Time Periods

This paper examines the effects of IT technology capital and R&D stocks variation on the growth of Koreas industries with time series approaches. In detail, we analyze the Granger causality and impulse response analysis among the Koreas industrial growth, IT technology capital, and R&D stocks. When it comes to this research conclusion, we know that IT technology capital and R&D stocks shocks affect the growth of Koreas industrial sector. However, the revere effect is ambiguous in each industrial sector. Also, the impulse response function analysis shows that the effect of IT technology capital and R&D stocks fluctuation in each industrial sector is presented with different time periods.

scholarly journals Intervenções Regulatórias, Volatilidade e Contágio: Uma Análise VIRF

2014 ◽  
Vol 12 (3) ◽  
pp. 385
Author(s):  
Gabriel Godofredo Fiuza de Bragança ◽  
Marcelo De Sales Pessoa ◽  
Katia Rocha
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
The Other ◽  
Conditional Heteroskedasticity ◽  
Regulatory Interventions ◽  
The One ◽  
The Impact ◽  
Electricity Utilities ◽  
Regulatory Measure

This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market (BOVESPA). Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two relevant and surprising measures taken by the correspondent Brazilian regulatory authorities in 2012 (one in each sector) on both markets’ volatilities and covariance. We also adopt the volatility impulse response function (VIRF) developed by Hafner & Herwartz (2006) to estimate their persistence. On the one hand, the results indicate that the effects of the telecommunications’ regulatory intervention are negligible but, on the other hand, the impact of the electricity's regulatory measure is significant, long-lasting and contagious.

scholarly journals Reinvestment of earnings in Polish FDI inflows

2021 ◽  
Vol 71 (3) ◽  
pp. 465-485
Author(s):  
Aneta Kosztowniak
Keyword(s):  
Life Cycle ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Short Term ◽  
Fdi Inflows ◽  
Important Impact ◽  
Long Time ◽  
The Impact

Abstract The aim of this paper is to diagnose the cause-and-effect relationships between reinvestment of earnings (RoE) and other components of FDI inflows and GDP in Poland in the years of 2004–2019, using the VECM model**. Changes in the structure of FDI inflows in Poland are in line with the stages of the FDI life cycle. The increase in the share of RoE in the structure of these investments is also accompanied by an increase in the impact and the degree of explanation of changes in GDP. Studies confirmed that changes in the structure of FDI in Poland was adequate to the theoretical cycle of FDI life. The increase in the share of RoE in the structure of FDI inflows is accompanied by a decrease in equities. The VECM model, impulse response function and decomposition analysis confirmed that among FDI components mainly equities, and next, RoE have large participation in the degree of explanation of GDP. In the short-term, mainly equity has the most important impact on GDP, and additionally, RoE. In the long-time, the importance of equity decreases, while increases the impact of RoE, and also, debt instruments. The increase in the share of RoE in the structure of FDI inflows accompanied by the increase in the impact of these investments on GDP changes.

Does Eurobond issuance influence FDI location? Evidence from sub-Saharan Africa

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lord Mensah ◽  
Eric B. Yiadom ◽  
Raymond Dziwornu
Keyword(s):  
Time Series ◽  
Causal Relationship ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Var Model ◽  
Fdi Inflows ◽  
Content Type ◽  
Sub Saharan

PurposeDoes the issuance of Eurobonds carry enough information about favourable domestic conditions to warrant more FDI inflows? In this study, the authors investigate how FDI is responding to the rising levels of Eurobonds in sub-Saharan African (SSA).Design/methodology/approachThe study uses the system GMM model to set up a panel with all 17 SSA countries with Eurobonds. The dataset was transformed into time series, and the VAR model and Granger causality were used to diffuse the doubt of a possible bi-causal relationship between Eurobonds and FDI. Additionally, the authors use the impulse response function to test the behaviour of FDI to a one-time shock to Eurobonds.FindingsThe study reports that Eurobond levels matter in explaining FDI receipts. Specifically, the authors report that the issuance of Eurobonds leads to a favourable increase in FDI inflows. The authors transform our data into time series and use the VAR model and Granger causality test to diffuse the doubt of a possible bi-causal relationship between Eurobonds and FDI. The authors’ findings from this exercise suggest that two lag levels of Eurobond are a good predictor of future FDI flows. More also, the authors use the impulse response function to test the behaviour of FDI to a one-time shock to Eurobonds and report that a one-unit standard deviation shock to Eurobonds will cause FDI to swell up over at least 8 years.Research limitations/implicationsThe study is limited in scope due to data availability. Future studies may consider using countries across the globe that have issued Eurobond to retest the current research objectives.Practical implicationsThe study establishes grounds to suggest that the issuance of Eurobonds carry enough information to foreign investors in deciding on the location of FDI.Originality/valueThe study is uniquely opening a new frontier to the discussion on how one international capital can be used to bait other foreign capital. It also discusses signalling theory at the macro level.

Fractional Vector-Order h-Realisation of the Impulse Response Function

2020 ◽  
Vol 14 (2) ◽  
pp. 108-113
Author(s):  
Ewa Pawłuszewicz
Keyword(s):  
Control Systems ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Linear Control ◽  
Linear Control Systems

AbstractThe problem of realisation of linear control systems with the h–difference of Caputo-, Riemann–Liouville- and Grünwald–Letnikov-type fractional vector-order operators is studied. The problem of existing minimal realisation is discussed.

scholarly journals Convolution-based time-domain simulation for fluidelastic instability in tube arrays

2021 ◽  
Author(s):  
Mingjie Zhang ◽  
Ole Øiseth
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Time Domain ◽  
Impulse Response Function ◽  
Time Domain Simulation ◽  
Unit Step ◽  
Tube Arrays ◽  
Unit Impulse ◽  
The Time Domain ◽  
Unit Impulse Response

AbstractA convolution-based numerical algorithm is presented for the time-domain analysis of fluidelastic instability in tube arrays, emphasizing in detail some key numerical issues involved in the time-domain simulation. The unit-step and unit-impulse response functions, as two elementary building blocks for the time-domain analysis, are interpreted systematically. An amplitude-dependent unit-step or unit-impulse response function is introduced to capture the main features of the nonlinear fluidelastic (FE) forces. Connections of these elementary functions with conventional frequency-domain unsteady FE force coefficients are discussed to facilitate the identification of model parameters. Due to the lack of a reliable method to directly identify the unit-step or unit-impulse response function, the response function is indirectly identified based on the unsteady FE force coefficients. However, the transient feature captured by the indirectly identified response function may not be consistent with the physical fluid-memory effects. A recursive function is derived for FE force simulation to reduce the computational cost of the convolution operation. Numerical examples of two tube arrays, containing both a single flexible tube and multiple flexible tubes, are provided to validate the fidelity of the time-domain simulation. It is proven that the present time-domain simulation can achieve the same level of accuracy as the frequency-domain simulation based on the unsteady FE force coefficients. The convolution-based time-domain simulation can be used to more accurately evaluate the integrity of tube arrays by considering various nonlinear effects and non-uniform flow conditions. However, the indirectly identified unit-step or unit-impulse response function may fail to capture the underlying discontinuity in the stability curve due to the prespecified expression for fluid-memory effects.

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