The Effectiveness Of Monetary Policy In South Africa Under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model

2020 ◽  
Vol 54 (4) ◽  
Author(s):  
Goodness C. Aye ◽  
Mehmet Balcilar ◽  
Rangan Gupta
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Autoregressive Model ◽  
Inflation Targeting ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Effectiveness Of Monetary Policy

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.

scholarly journals Modeling Nonstationary Emotion Dynamics in Dyads using a Time-Varying Vector-Autoregressive Model

2018 ◽  
Vol 53 (3) ◽  
pp. 293-314 ◽  
Author(s):  
Laura F. Bringmann ◽  
Emilio Ferrer ◽  
Ellen L. Hamaker ◽  
Denny Borsboom ◽  
Francis Tuerlinckx
Keyword(s):  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Emotion Dynamics

scholarly journals MONETARY POLICY AND HOUSING SECTOR DYNAMICS IN A LARGE-SCALE BAYESIAN VECTOR AUTOREGRESSIVE MODEL / PINIGŲ POLITIKA IR BŪSTO SEKTORIAUS DINAMIKA TAIKANT PLATAUS MASTO BAJESO VEKTORINĮ AUTOREGRESINĮ MODELĮ

2012 ◽  
Vol 16 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Rangan Gupta ◽  
Marius Jurgilas ◽  
Alain Kabundi ◽  
Stephen M. Miller
Keyword(s):  
Monetary Policy ◽  
Autoregressive Model ◽  
Large Scale ◽  
Housing Prices ◽  
Housing Sector ◽  
Response Patterns ◽  
Vector Autoregressive Model ◽  
The South ◽  
Vector Autoregressive ◽  
Housing Starts

Our paper considers the channel whereby monetary policy, a federal funds rate shock, affects the dynamics of the US housing sector. The analysis uses impulse response functions obtained from a large-scale Bayesian vector autoregressive model that incorporates 143 monthly macroeconomic variables over the period of 1986:01 to 2003:12, including 21 variables relating to the housing sector at the national and four Census regions. We find at the national level that housing starts, housing permits, and housing sales fall in response to the tightening of monetary policy. Housing sales react more quickly and sharply than starts and permits and exhibit more duration. Housing prices show the weakest response to the monetary policy shock. At the regional level, we conclude that the housing sector in the south drives the national findings in the sense that the response patterns in the South most closely match the response patterns in the nation as a whole. The West's responses differs the most from the other regions, especially for the impulse responses of housing starts and permits. Santrauka Straipsnyje nagrinėjama, kokiais kanalais pinigų politika (sukrėtimai dėl federalinių fondų palūkanų normos) veikia JAV būsto sektoriaus dinamiką. Analizei naudojamos reakcijos į impulsus funkcijos, gautos iš plataus masto Bajeso vektorinio autoregresinio modelio, kuris apima laikotarpį nuo 1986 m. sausio mėn. iki 2003 m. gruodžio mėn. ir 143 mėnesinius makroekonominius kintamuosius, įskaitant 21 su būsto sektoriumi susijusį kintamąjį nacionaliniu mastu pagal keturis statistinius regionus (angl. Census regions). Nustatyta, kad, nacionaliniu lygmeniu griežtėjat pinigų politikai, statoma mažiau naujų būstų, išduodama mažiau leidimų gyvenamajai statybai ir parduodama mažiau būstų. Prekybos būstais sektorius reaguoja sparčiau ir aštriau nei naujų statybų ir leidimų sektorius, o reakcija trunka ilgiau. Nustatyta, kad būstų kainos į pinigų politikos sukrėtimus reaguoja menkiausiai. Daroma išvada, kad regioniniu lygmeniu Pietų regiono būstų sektorius labiausiai prisideda prie nacionalinių išvadų tuo požiūriu, jog reakcijos pobūdis Pietuose panašiausias į bendrą nacionalinį reakcijos pobūdį. Vakarų reakcija nuo kitų regionų skiriasi labiausiai, ypač kalbant apie reakcijas į impulsus, susijusias su statomais būstais ir statybų leidimais.

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