أثر توزيع الفائض التأميني على تنافسية شركات التأمين التكافلي مقابل التقليدية باستخدام التحليل الديناميكي (نموذج شعاع الانحدار الذاتي VAR) : شركة التأمين الإسلامية بالأردن نموذجا الفترة 1999 - 2015 = The Impact of the Insurance Surplus Distribution on the Competitiveness of Takaful Insurance Companies versus the Traditional One Using the Dynamic Analysis of Vector Autoregressive Model (VAR) : Islamic Insurance Company in Jordan as a Model of The Period 1999 - 2015

2017 ◽  
Vol 4 (2) ◽  
pp. 553-587
Author(s):  
عامر أسامة ◽  
عماري زهير
Keyword(s):  
Dynamic Analysis ◽  
Autoregressive Model ◽  
Insurance Companies ◽  
Insurance Company ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Islamic Insurance ◽  
Takaful Insurance ◽  
The Impact

scholarly journals The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model

2014 ◽  
Author(s):  
Evrim Tören
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Open Economy ◽  
Stock Prices ◽  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Macroeconomic Dynamics ◽  
Vector Autoregressive ◽  
The Impact

This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.

The impact of hurricane strikes on cruise ship and airplane tourist arrivals in the Caribbean

2021 ◽  
pp. 135481662110374
Author(s):  
Pablo Carballo Chanfón ◽  
Preeya Mohan ◽  
Eric Strobl ◽  
Thomas Tveit
Keyword(s):  
Autoregressive Model ◽  
Cruise Ship ◽  
Vector Autoregressive Model ◽  
Dynamic Effects ◽  
Exogenous Shock ◽  
Vector Autoregressive ◽  
Percentage Points ◽  
The Caribbean ◽  
The Impact ◽  
Positive Effect

We investigate the impact of hurricanes on airplane and cruise ship arrivals in the Caribbean. To this end, we construct a monthly panel of airline and cruise ship arrivals and hurricane destruction and employ a panel vector autoregressive model with an exogenous shock (VARX) to quantify the dynamic effects of tourist arrivals after a hurricane for 18 Caribbean countries over the period 2000–2013. The results suggest an immediate decline in the month of a strike and up to one month after on cruise ship (2.33 and 1.21 percentage points) and airplane (0.57 and 0.27 percentage points) arrivals. Moreover, a strong recovery in airplane arrivals in months 3–6 following a hurricane was sufficient to induce a net positive effect of around 2 percentage points of total tourist arrivals into the region.

scholarly journals Analysis of the Monetary Policy Dynamics in Romania Using a Structural Vector Autoregressive Model

2019 ◽  
pp. 146-161
Keyword(s):  
Monetary Policy ◽  
Autoregressive Model ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Monetary Aggregates ◽  
Policy Dynamics ◽  
Structural Vector Autoregressive Model ◽  
The Impact ◽  
Structural Vector ◽  
Empirical Framework

This chapter aims to provide an elaborate empirical analysis of the monetary policy dynamics in Romania using a structural vector autoregressive model. This chapter contributes to literature based on an empirical framework regarding the implications of exchange rate channel within the monetary policy, and the impact of the monetary aggregates channels in order to explain the evolution of the prices level in Romania.

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

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