Essays about: "Vector Autoregressive"

Showing result 1 - 5 of 114 essays containing the words Vector Autoregressive.

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. Investigating Non-Linear Exchange Rate Pass-Through in Sweden: Estimates from a Logistic Smooth Transition Vector Autoregressive Model

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Gabriella Linderoth; Malte Meuller; [2024]
   Keywords : Exchange Rate Pass-Through; Sweden; Inflation; Non-Linear; Logistic Smooth Transition Vector Autoregressive;

   Abstract : This paper provides novel estimations of a non-linear exchange rate pass-through dependent on inflation for Sweden using a logistic smooth transition vector autoregressive model. The model enables smooth transitions between high and low inflation regimes, mirroring the dynamics of the economy and capturing regime-specific effects. READ MORE

4. 3. Navigating Uncertain Waters: A Bayesian Threshold VAR Approach to Understanding the Impact of Commodity Price Shocks on Inflation

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Cajsa Klass; Selin Scheuerer; [2023]
   Keywords : Uncertainty; Bayesian; Commodity Price Pass-Through; Inflation; Threshold VAR;

   Abstract : The Covid-19 pandemic in early 2020 led to unprecedented uncertainty, reducing the predictability of macroeconomic variables. At the same time, commodity price movements as a contributor to national consumer price inflation continue to surface in debates. READ MORE

5. 4. 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

6. 5. Fractional Cointegration and Price Discovery in FX Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Johan Faxner; [2023]
   Keywords : exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

   Abstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE