Essays about: "Granger-causality and vector autoregressive"

Showing result 16 - 20 of 22 essays containing the words Granger-causality and vector autoregressive.

  1. 16. The Relationship Between House Prices and the Stock Market

    University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Author : Erik Andersson; [2014]
    Keywords : ;

    Abstract : Stocks and houses are the two major assets on the balance sheet of American households. Changes in the two markets have a large influence on wealth and the general economy. This thesis investigates the relationship between the stock market and the house market in the U.S from 1987 to 2013. READ MORE

  3. 17. Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysis

    University essay from Nationalekonomi

    Author : Muhammad Akram; [2012]
    Keywords : Oil price shocks; Economic growth; Vector Autoregressive; Impulse response function; Wald Granger causality test;

    Abstract : This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). READ MORE

  4. 18. FInancial development and economic growth: cross-country comparisons.

    University essay from IHH, Nationalekonomi

    Author : Natalia Krasulina; [2012]
    Keywords : ;

    Abstract : This study attempts to investigate the relationship between financial development and economic growth and also the empirical analysis examines Granger causality of this relationship. Time series models are applied for six countries with emerging markets and different types of financial system (Saudi Arabia, Kuwait, Tunisia, Morocco, Israel and Egypt). READ MORE

  5. 19. Effects of Carbon Pricing on EU Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andrii Shekhirev; [2011]
    Keywords : emissions trading; EU ETS; vector autoregression; VECM; Granger causality;

    Abstract : The current work examines whether the price changes of European Union Allowance (EUA) contracts for emitting carbon dioxide affect the price dynamics of the European equity markets. The author uses the Vector Autoregressive (VAR) and Vector Error Correction (VECM) models in four specifications to investigate the linkages between the EUA market and major stock indexes of 27 EU countries which are participating in the second phase of the European Emissions Trading System. READ MORE

  6. 20. EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Billura Bayramova; Saida Ojagverdiyeva; [2010]
    Keywords : Vector Autoregressive Model VAR ; causality; impulse response; variance decomposition; Business and Economics;

    Abstract : This paper analyzes the interactions between Kazakhstan stock market index and maroeconomic variables. The vector autoregressive model (VAR) is employed; Granger causality, impulse responses and variance decomposition tests are implemented. The results show weak interactions among tested variables and the market. READ MORE