vector autoregressive model
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Author(s):  
Iqbal Thonse Hawaldar ◽  
Mithun S. Ullal ◽  
Adel Sarea ◽  
Rajesha T. Mathukutti ◽  
Nympha Joseph

South Asia has seen a digital revolution in recent years. The number of persons who use the internet has risen drastically. They use it for shopping, social media and online sales. However, there exists a literature gap as far as the effect of outbound digital marketing in B2B markets is concerned. The research builds a model based on brand and consumer interactions in Indian B2B markets using a vector autoregressive model to systemically analyze the cost and outcome of digital marketing efforts by the start-ups operating in South Asia. The multivariate time series analyzed in identifying simultaneous and consistent impacts by the start-ups. We use Vector autoregressive model as it allows us to analyse the relationship among the factors as it changes over time. The research finds evidence for the conceptual framework in South Asian markets. The results prove that sales are greatly influenced by digital media, and outbound marketing efforts, predominantly word of mouth, has a huge impact in building a brand image as it spread over in the social media platforms. It is observed that the digital marketing strategies and consumer interaction are the same across South Asia, but its effect varies from country to country within South Asia thus suggesting a need of developing a new strategy in digital marketing for B2B markets.


2022 ◽  
Vol 2022 ◽  
pp. 1-8
Author(s):  
Yanlin Guo

The study of accounting profitability was initiated by the famous American scholars Ball and Brown in the 1960s. In recent years, with the continuous development of market economy, the continuous improvement of the accounting legal system and accounting standards for enterprises has promoted the research on accounting profit in capital market in China. Due to the restriction of some objective conditions, there are not many valuable research results on the relationship between accounting earnings and stock price changes, and the research methods suitable for the study of accounting earnings still need to be explored and summarized. The China Securities Regulatory Commission (CSRC) has required listed companies to publish quarterly financial and accounting reports since 2002, and the condition of using the regression analysis method to study the accounting profit of listed companies is available. In this context, this paper designs a vector autoregressive model to study the correlation between stock price and accounting profit. First, combining the literature and the research results of accounting profit at home and abroad, this paper expounds the statistical analysis of accounting profit. Then, this paper analyzes the accounting profitability of listed companies in China from static and dynamic perspectives. Finally, according to the accounting profit status and profitability statistical analysis of accounting information, accounting profit and growth relationship, and accounting profit information and the relationship between stock prices, this paper is concluded. Also, this paper shows how to improve the profitability of listed companies and how can investors effectively use the accounting earnings information of listed companies for stock investment and put forward corresponding policy suggestions.


2021 ◽  
Vol 16 (6) ◽  
pp. 665-669
Author(s):  
Gabriel Onuche Odekina ◽  
Adedayo Funmi Adedotun ◽  
Oluwaseun Ayodeji Odusanya

With the outbreak of COVID-19, a lot of studies have been carried out in various science disciplines to either reduce the spread or control the increasing trend of the disease. Modeling the outbreak of a pandemic is pertinent for inference making and implementation of policies. In this study, we adopted the Vector autoregressive model which takes into account the dependence that exists between both multivariate variables in modeling and forecasting the number of confirmed COVID-19 cases and deaths in Nigeria. A co-integration test was carried out prior to the application of the Vector Autoregressive model. An autocorrelation test and a test for heteroscedasticity were further carried out where it was observed that there exists no autocorrelation at lag 3 and 4 and there exists no heteroscedasticity respectively. It was observed from the study that there is a growing trend in the number of COVID-19 cases and deaths. A Vector Autoregressive model of lag 4 was adopted to make a forecast of the number of cases and death. The forecast also reveals a rising trend in the number of infections and deaths. The government therefore needs to put further measures in place to curtail the spread of the virus and aim towards flattening the curve.


2021 ◽  
Vol 3 (3) ◽  
pp. 57-66
Author(s):  
S. N. Dauda ◽  
A. B. Hadiza ◽  
Y. Isaac ◽  
A. Manko ◽  
B. Usman ◽  
...  

The research looked at Demand preference as it affects local rice supply in Niger State, Nigeria. Multi – stage sampling method was employed to obtain 125 household consumers of local Rice. The sampling of respondents cut across Agricultural zones 1, 2 and 3 of Niger State. Primary and Secondary data were used. Descriptive statistics like mean, frequency tables and percentages were employed to describe the socio – economic characteristics of the respondents. Vector Autoregressive model (VAR) was used to estimate production variables that granger caused local Rice supply. . Hedonic model was used to determine the effect of local Rice characteristics on the preference and willingness to pay by consumers. The result indicated the mean age of 45 for Niger. The household size has mean of 6 and years spent in school stood at 17 for Niger. The annual income mean were 414 thousand naira for Niger State. The granger causality equations show that, all variables granger caused production of local, Rice in Niger States except dlnarea. The dlnarea in Niger State was not significant. This means that it does not granger caused local Rice production. The result of hedonic model revealed that free from stone, whiteness, aroma, cohesion and taste were all significant. This means that all these attributes have great effect on price, preference and willingness to pay higher price for local Rice. These will encourage the producers to produce more and will lead to higher supply in the market.


2021 ◽  
pp. 1-29
Author(s):  
Angela Abbate ◽  
Sandra Eickmeier ◽  
Esteban Prieto

Abstract We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the “missing disinflation” during the Great Recession. We apply a Bayesian vector autoregressive model to US data and identify financial shocks through a combination of narrative and short-run sign restrictions. Our main finding is that contractionary financial shocks temporarily increase inflation. This result withstands a large battery of robustness checks. Negative financial shocks help therefore to explain why inflation did not drop more sharply in the aftermath of the financial crisis. Our analysis suggests that higher borrowing costs after negative financial shocks can account for the modest decrease in inflation after the financial crisis. A policy implication is that financial shocks act as supply-type shocks, moving output and inflation in opposite directions, thereby worsening the trade-off for a central bank with a dual mandate.


2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Hippolyte d’Albis ◽  
Dramane Coulibaly ◽  
Alix Roumagnac ◽  
Eurico de Carvalho Filho ◽  
Raphaël Bertrand

AbstractAn estimation of the impact of climatic conditions—measured with an index that combines temperature and humidity, the IPTCC—on the hospitalizations and deaths attributed to SARS-CoV-2 is proposed. The present paper uses weekly data from 54 French administrative regions between March 23, 2020 and January 10, 2021. Firstly, a Granger causal analysis is developed and reveals that past values of the IPTCC contain information that allow for a better prediction of hospitalizations or deaths than that obtained without the IPTCC. Finally, a vector autoregressive model is estimated to evaluate the dynamic response of hospitalizations and deaths after an increase in the IPTCC. It is estimated that a 10-point increase in the IPTCC causes hospitalizations to rise by 2.9% (90% CI 0.7–5.0) one week after the increase, and by 4.1% (90% CI 2.1–6.4) and 4.4% (90% CI 2.5–6.3) in the two following weeks. Over ten weeks, the cumulative effect is estimated to reach 20.1%. Two weeks after the increase in the IPTCC, deaths are estimated to rise by 3.7% (90% CI 1.6–5.8). The cumulative effect from the second to the tenth weeks reaches 15.8%. The results are robust to the inclusion of air pollution indicators.


2021 ◽  
Vol 14 (11) ◽  
pp. 517
Author(s):  
Sergej Gričar ◽  
Štefan Bojnec

This study is a specific contribution to investigating normalities in prices to a well-established cointegrated vector autoregressive model (VAR). While the role of prices in computational economics has been investigated, the real prices vis-à-vis nominal prices in the decision process has been neglected. The paper investigates the transition from nominal to real time-series of prices without losing information in the data set when deflating or de-seasonalizing. The likelihood approach is based on careful specifications of the (co)integration characteristics of tourism prices. The results confirm that the transmission of tourism prices in the Eurozone positively impacts Slovenian tourism prices when the spatial consolidated cointegrated VAR model is used. The theoretical-conceptual and empirical contribution is twofold: first, the study develops and empirically applies bona fide divisor of normality consolidation for time-series in levels instead of routinely utilised inflation integers, and second, the study introduces perfection of prices on a long-run time-series treatment.


2021 ◽  
Vol 4 (3) ◽  
Author(s):  
Nabyonga Barbra ◽  
◽  
Hina Nawaz

The purpose of this paper is to investigate the relationship between Foreign Direct Investment (FDI) and Economic growth as measured by Gross Domestic Product (GDP) over Uganda, from 1980-2018. Vector Autoregressive Model (VAR) and Granger Causality test were used. The results show thatlag 1 is the optimal lag hence bivariate VAR (1) model was used. GDP and FDI exhibits long-term equilibrium since the two-time series are cointegrated in long run. The causality test indicates that there exists a unilateral relationship between FDI and GDP, and FDI causes GDP growth and not vice versa. Understanding these causality links can help in future forecasting of Uganda's economic growth.


Author(s):  
Francesca Di Iorio ◽  
Umberto Triacca

AbstractInvestigating the relationship between Gross Domestic Product and unemployment is one of the most important challenges in macroeconomics. In this paper, we compare French and German economies in terms of the dynamic linkage between these variables. In particular, we use an empirical methodology to investigate how much the relationship between Gross Domestic Product and unemployment growth rates are dynamically different in the two major European economies over the period 2003–2019. To this aim, a Vector Autoregressive model is specified for each country to jointly model the growth rate of the two variables. Then a new statistical test is proposed to assess the distance between the two estimated models. Results indicate that the dynamic linkage between Gross Domestic Product and unemployment is very similar in the two countries. This empirical evidence does not imply identical product and labor markets in France and Germany, but it ensures that in these markets there are common dynamics. This could favor the process of economic convergence between the two countries.


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