Essays about: "vector autoregression"

Showing result 11 - 15 of 71 essays containing the words vector autoregression.

  1. 11. Do Geopolitical Risks Raise or Lower Inflation in Sweden?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Artur Henriksson; Carl Ahlberg; [2023]
    Keywords : Geopolitical Risk; War; Inflation; Vector Autoregression; Sweden;

    Abstract : Using two main datasets, one annual from 1900 to 2022, and one monthly from 2012 to 2023, containing a geopolitical risk index and multiple inflationary factors for both Sweden and Denmark, we construct VAR models to estimate the effect geopolitical risk has on inflation. In our annual dataset, we find that higher geopolitical risks foreshadow higher inflation and lower economic activity in Sweden. READ MORE

  3. 12. Quantitative Easing's Effect on Income Inequality - A study on Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Jack Söderberg; Viktor Bäckfors; [2023]
    Keywords : Income Inequality; Quantitative Easing; Income Composition Channel; Unconventional Monetary Policy;

    Abstract : This study explores if the first Swedish quantitative easing program conducted between 2015 and 2018 had an impact on the income distribution. In line with previous research, a structural vector autoregression is employed. As a metric of inequality, the linearly interpolated Gini coefficient, before taxes and transfers, is used. READ MORE

  4. 13. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  5. 14. The Relationship between Oil Prices and Inflation – the Role of Oil Dependency

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Almgren; Isabelle Holmberg; [2022]
    Keywords : Inflation; Macroeconomics; Oil-price Shocks; Structural Vector Autoregression SVAR ; time series data.; Business and Economics;

    Abstract : In the last decades, due to geopolitical tensions, climate change, and technological advancements, countries worldwide are becoming less dependent on oil. This thesis aims to establish if decreased oil dependence weakens the impact of oil price shocks on inflation, thus contributing to the existing literature on the oil-inflation relationship. READ MORE

  6. 15. The Impacts of the Czech Economy on the Slovak Economy – Evidence from the VAR model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Matús Rozvadský; Duyun Lei; [2022]
    Keywords : Regression analysis; vector autoregression; dynamic model; Czech economy; Slovak economy; Business and Economics;

    Abstract : This paper studies the effect of the Czech economy on the Slovak Republic. Specifically, we analyze the general economic relationship as well as responses of macroeconomic variables of Slovakia to shocks in the Czech Republic. Firstly, we present the theoretical background of their relationship on top of which we build a regression analysis. READ MORE