Essays about: "variance decompositions VDCs"

Found 1 essay containing the words variance decompositions VDCs.

  1. 1. The Efficiency of the Chinese Stock Market with Respect to Monetary Policy

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yinxia Guo; [2008]
    Keywords : VaR; the efficient market hypothesis; monetary policy; impulse responses functions IRFs ; variance decompositions VDCs ; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Due to the bull stock market in China, the efficiency of the Chinese stock market has been one of the hot topics. Because monetary policy plays an important role in Chinese economy and there is a close relationship between stock returns and monetary policy, I test the efficient market hypothesis (EMH) for the Chinese stock market with respect to monetary policy. READ MORE