Essays about: "Vector Autoregression Model"

Showing result 1 - 5 of 49 essays containing the words Vector Autoregression Model.

  1. 1. Unveiling the Predictive Power

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alex Lundvall; Gabriel Ahonen; [2023]
    Keywords : Stock market returns; Macroeconomic indicators; Vector Autoregression model; Granger Causality test; Business and Economics;

    Abstract : To obtain excessive returns on the stock market, investors should be able to effectively forecast what drives the fluctuations of the stock market. The usage of macroeconomic factors as indicators for stock market performances has been utilized more profoundly in recent times. READ MORE

  3. 2. Wealth Redistribution through Balance Sheet Revaluations - Evidence from Norway

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gustav Sundén; [2023]
    Keywords : Inequality; Wealth; Monetary Policy; Inflation; Household Heterogeneity; Business and Economics;

    Abstract : This thesis investigates the impact of fluctuations in inflation, monetary policy, and oil prices on the balance sheets of Norwegian households across the wealth distribution. Using a Bayesian Structural Vector Autoregression model, this study simulates the shocks and assesses their transmission through the unexpected inflation and portfolio composition channel throughout the wealth distribution. READ MORE

  4. 3. Spillover Effect on Swedish Inflation : How ECBs interest rate changes effect Swedish inflation

    University essay from Högskolan Dalarna/Institutionen för kultur och samhälle

    Author : Rasmus Ramström; [2023]
    Keywords : Inflation; Cointegration; Vector autoregression; spillover; Sweden;

    Abstract : There is a limited amount of literature regarding spillover effects on inflation. The previous literature is focused on a small number of countries, and on shocks coming from demand and supply. READ MORE

  5. 4. Improving Machinery Safety : Modelling data to explain machine stops and developing a strategy on how to reduce them

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Kristina Leijonborg; Sandra Hammarsten; [2023]
    Keywords : ;

    Abstract : The purpose of this thesis is to examine how machinery safety at Stora Enso can be increased, with the goal of reducing the amount of machine stops and improving the operational safety within the Packaging Solutions division. To do this, data from the one of the machines at the Jönköping mill has been used for classification and time series modelling. READ MORE

  6. 5. What happened to R-star? : Estimating the natural rate of interest in Sweden in unconventional times

    University essay from Umeå universitet/Nationalekonomi

    Author : Magnus Dahlberg; [2023]
    Keywords : ;

    Abstract : This study estimates the natural rate of interest in Sweden using two different models. One state-space model introduced by Holston et al. (2017b) and one vector autoregression model with time-varying parameters (TVP-VAR). The TVP-VAR model is then used to produce a forecast of the real interest rate 5 years out, for every point in time. READ MORE