Essays about: "VAR-model"

Showing result 1 - 5 of 83 essays containing the word VAR-model.

1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Anny Eklund; Markus Sallkvist; [2024]
   Keywords : Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Abstract : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. READ MORE

3. 2. Interest rates and their impact on the stock market : Evidence from Sweden

   University essay from Linnéuniversitetet/Institutionen för management (MAN)

   Author : Felicia Andersson; Robin Fogelberg; [2023]
   Keywords : Interest rate; Stock market; OMX30; Vector autoregressive VAR model; Granger causality test; Short-term interest rate; Long-term interest rate; Sweden;

   Abstract : This study will be investigating the relationship between short-term and long-term interest rates with the OMX30 stock return expressed in percentage, as well as the effect that the interest rates have on the stock return. The data used in this study has been collected from the dataprogram Datastream with monthly observations from January 2003 until December 2022 resulting in 240 different variables within all three factors over a period of 20 years. READ MORE

4. 3. Do Inflation Expectations Granger Cause Inflation? A VEC Model Approach

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Alice Hindersson; Siri Jäderberg; [2023]
   Keywords : Forecasting; Inflation; Inflation Expectations; VEC Model; Granger Causality;

   Abstract : Being able to accurately predict future inflation is of great importance for a wide range of actors in the economy, as well as for the effectiveness of monetary policy decisions. In this thesis, we examine whether survey measures of inflation expectations contribute to more accurate inflation forecasts in Sweden. READ MORE

5. 4. Sustainability amid Monetary Policy : Quantitative Easing and Tightening

   University essay from Södertörns högskola/Nationalekonomi

   Author : Colman Etelkozi; [2023]
   Keywords : quantitative easing; QE; quantitative tightening; QT; monetary policy; macroeconomics; stability; sustainability; federal funds rate; FFR; genuine progress indicator; GPI; producer price index; PPI; inflation;

   Abstract : The purpose of this study is to examine whether the implementation of quantitative easing (QE) and quantitative tightening (QT) in the United States has detracted from the integrity of the country’s macroeconomic environment. In other words, does QE impact macroeconomic stability? Then, evaluate implications and externalities of stability as they relate to sustainability efforts. READ MORE

6. 5. Covid-19 Pandemic and the Swedish Stock Market Response : Case Study using a VAR and Bayesian TVP-VAR Model

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Fredrik Lantz; Wessam Wadala; [2023]
   Keywords : ;

   Abstract : .... READ MORE