Results and Discussion 2

2014 ◽  
pp. 180-225
Keyword(s):  
Financial Development ◽  
Impulse Response ◽  
Productivity Growth ◽  
Variance Decomposition ◽  
Dynamic Responses ◽  
Response Analysis ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
The Empirical Analysis

The empirical analysis of this chapter provides insights into the functioning of the economies of three selected countries. Later in the chapter, the dynamic responses of the model to shocks in indicators of financial development are investigated. To obtain credible impulse response analysis, economic theory is used to set the required identifying restrictions instead of using an “unrestricted” vector autoregressive model. The structural form of the model then is summarised in the chapter by the variance decomposition and impulse response functions. The general results from impulse response functions advocate the theory of financial intermediation arguing that the development of the financial market helps to promote economic growth. Furthermore, the results of variance decomposition shows that different measures of financial development influence the variation of growth variables, particularly investment, savings, and productivity growth.

scholarly journals International Equity Markets Cross Border Trading, Or Leading?

2010 ◽  
Vol 9 (7) ◽  
Author(s):  
Paolo Miranda
Keyword(s):  
Impulse Response ◽  
Equity Markets ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
International Equity Markets ◽  
Cross Border ◽  
Model Based ◽  
International Equity

This paper studies the mechanisms that lead to the conclusion that one market leads another. The results of a model, based on Kyle (1985), suggest cross border trading and industry commonality as mechanisms. The data confirms the results obtained by the model showing that countries heavily engaged in cross border trading appear in variance decomposition / impulse response functions as leading other markets.

scholarly journals Impact of credit risk and profitability on liquidity shocks of Namibian banks: an application of the structural VAR model

2021 ◽  
Vol 8 (3) ◽  
pp. 349-359
Author(s):  
Albert V. Kamuinjo ◽  
Ravinder Rena ◽  
Andrew Maredza
Keyword(s):  
Credit Risk ◽  
Granger Causality ◽  
Impulse Response ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Liquidity Shocks ◽  
Forecast Error Variance

The main purpose of this paper was to investigate the relationship between banks’ credit risk and profitability and liquidity shocks in Namibia for the period 2009 to 2018 using the SVAR model. In estimating the SVAR regression model, granger causality, impulse-response functions and forecast error variance decomposition were employed and evaluated. The sample consisted of Namibian commercial banks. By auditing liquidity data between 2009 and 2018, empirical results showed that liquidity risk is caused by a combination of structural shocks. The granger causality, impulse-response functions and forecast error variance decomposition documented that credit risk (non-performing loans) is key factor affecting liquidity conditions in Namibia in the medium to long run. In addition, the empirical results showed that quality earnings (ROA) have minimal impact on liquidity conditions in the short run. Reforming assets quality policies and earnings quality policies can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks in Namibia.

scholarly journals The Primary Sectors of the Economy and the Dutch Disease in Nigeria

2005 ◽  
Vol 44 (2) ◽  
pp. 159-175 ◽  
Author(s):  
J. O. Olusi ◽  
M. A. Olagunju
Keyword(s):  
Agricultural Sector ◽  
Variance Decomposition ◽  
Dutch Disease ◽  
Impulse Response Functions ◽  
International Financial Statistics ◽  
Response Functions ◽  
Not Given ◽  
Vector Autoregressive ◽  
Tradable Sector ◽  
The Government

This study examines whether the Dutch Disease—a resource boom leading to the decline of the erstwhile tradable sector—is present in Nigeria in the light of the rejection of the Dutch Disease thesis in other studies on Nigeria. Quarterly data for our variables of interest were predominantly sourced from the International Financial Statistics of the IMF. The data are analysed through the use of vector autoregressive (VAR) modelling consisting of impulse response functions and variance decomposition analyses. Our results show that the Dutch Disease was diagnosed, albeit, as a delayed occurrence. This suggests that the government should lay more emphasis on the agricultural sector hitherto not given deserved attention.

Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Gabriel Montes-Rojas
Keyword(s):  
Impulse Response ◽  
Reduced Form ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Long Term Effects ◽  
Vector Autoregressive ◽  
Conditional Effects ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Multivariate Quantile

Abstract A multivariate vector autoregressive model is used to construct the distribution of the impulse-response functions of macroeconomics shocks. In particular, the paper studies the distribution of the short-, medium-, and long-term effects after a shock. Structural and reduced form quantile vector autoregressive models are developed where heterogeneity in conditional effects can be evaluated through multivariate quantile processes. The distribution of the responses can then be obtained by using uniformly distributed random vectors. An empirical example of exchange rate pass-through in Argentina is presented.

scholarly journals The response of remittances inflows to asymmetric oil price shocks in Egypt

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohamed Samir Abdalla Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
Content Type

Purpose The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks. Design/methodology/approach This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest. Findings The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases. Originality/value This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.

Study of Short-Run Grain Movements on the Inland Waterway System

2005 ◽  
Vol 1909 (1) ◽  
pp. 8-16 ◽  
Author(s):  
Mark A. Thoma ◽  
Wesley W. Wilson
Keyword(s):  
Time Series ◽  
Impulse Response ◽  
Important Variable ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
Planning Models ◽  
Long Run ◽  
Short Run ◽  
Variance Decompositions

Time series techniques—particularly impulse–response functions and variance decompositions—are used to characterize the short-run relationships between 17 variables in a vector autoregressive model designed to trace the short-run interconnections among variables affecting lockages on the Mississippi and Illinois Rivers. The model contains five categories of variables: lockages, barge rates, grain bids, rail rates, and rail deliveries. Variance decompositions are constructed that identify barge rates as the most important variable affecting lockages at both short and long horizons. Barge rates are, in turn, explained largely by lockages and rail rates, indicating two-way feedback or bidirectional causality between lockages and barge rates. Impulse–response functions are also examined. The variance decompositions indicate that barge rates are important in explaining lockages, and the impulse–response functions show how lockages and other variables respond to such shocks. In general, there is a substitution away from barge transportation and toward rail transportation when barge rates increase. The results are useful for illuminating the causal relationships among variables in the model and for understanding behavioral relationships present in the data and can be used to guide short- and long-run planning models. For example, many planning models assume that barge traffic does not respond significantly to changes in barge rates; however, results obtained here imply that barge traffic and rail deliveries do respond to such changes. This potentially important implication illustrates the usefulness of the time series techniques used.

scholarly journals The Response of Remittances Inflows to Asymmetric Oil Price Shocks in Egypt

2019 ◽  
Author(s):  
Mohamed Samir Zahran
Keyword(s):  
Impulse Response ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Oil Price ◽  
Var Model ◽  
Impulse Response Functions ◽  
Oil Price Shocks ◽  
Response Functions ◽  
Price Shocks ◽  
The Impact

Purpose: The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks. Design: This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest. Findings: The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases. Originality: This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.

The Utility of Impulse Response Functions in Regional Analysis: Some Critical Issues

1993 ◽  
Vol 15 (2) ◽  
pp. 199-222 ◽  
Author(s):  
Jeff B. Cromwell ◽  
Michael J. Hannan
Keyword(s):  
Impulse Response ◽  
Regional Analysis ◽  
Model Specification ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Vector Autoregressive ◽  
Critical Issues ◽  
Order Determination ◽  
Selection Order ◽  
Actual Size

Regional scientists have long been interested in measuring the effects of various external and internal stimuli on a regional economy. Measuring the actual size and timing of exogenous and endogenous impacts has been of special interest, as numerical or estimation techniques allow regional actors (governments, business, and others) to make policy-type probability statements and actions in response to changes to these stimuli. Recently, the use of vector autoregressive (VAR) models and, consequently, impulse response functions has become increasingly popular. This paper will closely examine the VAR methodology and its assumptions and will address the types of empirical issues that arise from actual regional implementation. The issues of stationarity, model specification and selection, order determination, and impulse responses are discussed.

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