scholarly journals A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing

2010 ◽  
Author(s):  
Yixiao Sun ◽  
David Kaplan
Keyword(s):  
Asymptotic Theory ◽  
Variance Estimation ◽  
Vector Autoregressive ◽  
Robust Testing ◽  
Long Run

Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 20-26
Author(s):  
Taiwo A. Muritala ◽  
Muftau A. Ijaiya ◽  
Olatanwa H. Afolabi ◽  
Abdulrasheed B. Yinus
Keyword(s):  
Control Systems ◽  
Granger Causality ◽  
Internal Control ◽  
Banking Sector ◽  
Bank Performance ◽  
Causality Analysis ◽  
Vector Autoregressive ◽  
Granger Causality Analysis ◽  
Long Run ◽  
Multivariate Cointegration

AbstractThis paper examines the causality between fraud and bank performance in Nigeria over the period 2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship between the variables. Bank performance was found to be linked to Granger fraud variables and vice versa at 10% significant level. This study reveals that there was a direct causal relationship between bank performance and fraud because increase in fraudulent activities in the banking sector leads to reduction in bank performance. Hence, this study recommends that internal control systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets would be protected.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

scholarly journals Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

2021 ◽  
pp. 1-21
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Inflation Rate ◽  
Predictive Accuracy ◽  
Moving Average ◽  
Impulse Response Functions ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Vector Autoregressive ◽  
Autoregressive Moving Average Model ◽  
Long Run ◽  
The Us

Abstract Nonlinear co-integration is studied for score-driven models, using a new multivariate dynamic conditional score/generalized autoregressive score model. The model is named t-QVARMA (quasi-vector autoregressive moving average model), which is a location model for the multivariate t-distribution. In t-QVARMA, I(0) and co-integrated I(1) components of the dependent variables are included. For t-QVARMA, the conditions of the maximum likelihood estimator and impulse response functions (IRFs) are presented. A limiting special case of t-QVARMA, named Gaussian-QVARMA, is a Gaussian-VARMA specification with I(0) and I(1) components. As an empirical application, the US real gross domestic product growth, US inflation rate, and effective federal funds rate are studied for the period of 1954 Q3 to 2020 Q2. Statistical performance and predictive accuracy of t-QVARMA are superior to those of Gaussian-VAR. Estimates of the short-run IRF, long-run IRF, and total IRF impacts for the US data are reported.

scholarly journals The Long-Run Superneutrality of Money Revised: the Extended European Evidence

2016 ◽  
Vol 16 (3) ◽  
pp. 187-203 ◽  
Author(s):  
Oleg Deev ◽  
Martin Hodula
Keyword(s):  
Endogenous Growth ◽  
Output Growth ◽  
Real Output ◽  
Vector Autoregressive ◽  
Additional Hypothesis ◽  
Long Run ◽  
Large Panel ◽  
European Economies ◽  
Structural Vector

Abstract This article investigates the validity of the money superneutrality concept for the large panel of European economies. While focusing exclusively on endogenous growth theories including the Mundell-Tobin effect, we examine the long-run response of real output to a permanent inflation shock in every studied country using a structural vector autoregressive framework. For the majority of countries in our sample, the longrun superneutrality concept is confirmed since the original increase/decrease in output growth fades in time. We also test the additional hypothesis of whether the group of countries with smaller in-sample inflation mean forms the exception to the long-run money superneutrality. As the result, modern economies might be better described from the viewpoint of Sidrauski.

scholarly journals Analysis of the Keynesian Theory of Employment and Sectoral Job Creation: The Case of the South African Manufacturing Sector

2018 ◽  
Vol 18 (1) ◽  
pp. 123-143
Author(s):  
Thomas Habanabakize ◽  
Paul-Francois Muzindutsi
Keyword(s):  
South African ◽  
Manufacturing Sector ◽  
Job Creation ◽  
The South ◽  
Economic Sectors ◽  
Vector Autoregressive ◽  
Integration Approach ◽  
Long Run ◽  
Short Run ◽  
Investment Spending

Abstract The manufacturing sector is one of the backbones of the South African economy, and yet is one of the economic sectors facing challenges in job creation. This study analysed the long-run and short-run effects of aggregate expenditure components on job creation in the South African manufacturing sector. A Vector Autoregressive (VAR) with Johansen co-integration approach was used to analyse quarterly data from 1994 to 2015. The findings are that there is a long-run relationship between aggregate expenditure and job creation in the South African manufacturing sector, with government and investment spending being the major components of aggregate expenditure that create jobs in the South African manufacturing sector. Conversely, consumption spending destroys jobs in the manufacturing sector, while net exports have no significant effect on job creation. The short-run relationship between variables was not significant. Recommendations are that more effort should be put into investment spending, and government should spend more on investment than on consumption spending - in order to increase job creation in the manufacturing sector.

scholarly journals Tax Cuts and Fee Reductions and Labor Demand of SMEs

2020 ◽  
Vol 9 (1) ◽  
pp. 1
Author(s):  
Suwei Xiao
Keyword(s):  
Labor Demand ◽  
Life Cycles ◽  
Economic Downturn ◽  
Short Term ◽  
Vector Autoregressive ◽  
Long Run ◽  
Employment Fluctuations ◽  
Important Means ◽  
Stable Employment ◽  
Tax Cuts

<p>Policies to cut taxes and fees are important means to deal with the economic downturn, which strongly support to the development of the majority of small and medium-sized enterprises (SMEs). The current study has no consistent conclusion of whether SMEs expand their labor demand because of this. This paper builds a structural vector autoregressive (VAR) model to analyze the dynamic effects of tax cuts and fee reduction policies on increasing labor demand for SMEs. The empirical results show that tax cuts and fee reductions are important causes of short-term employment fluctuations, but in the long run, it is difficult for taxation policies to have a direct positive effect on employment. Therefore, this article puts forward the idea that different tax incentives can be formulated for small and medium-sized enterprises in the short term according to their life cycles. In the long run, the focus of macro-control needs to be turned to supply management to achieve the goal of stable employment.</p>

VECTOR AUTOREGRESSIVE PROCESSES WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

2001 ◽  
Vol 5 (4) ◽  
pp. 577-597 ◽  
Author(s):  
Antti Ripatti ◽  
Pentti
Keyword(s):  
Structural Changes ◽  
Asymptotic Theory ◽  
Var Model ◽  
Level Shift ◽  
Autoregressive Processes ◽  
Short Term ◽  
Vector Autoregressive ◽  
Market Rate ◽  
Nonlinear Trends ◽  
Vector Autoregressive Processes

We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends. These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations. A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for the correct specification of an employed nonlinear trend is developed. The methods are applied to Finnish interest-rate data. A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data. The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of the “missing cointegration vector” found in a previous study.

Long-run relationship between investment and maintenance in local governments

Facilities ◽  
2016 ◽  
Vol 34 (11/12) ◽  
pp. 703-722 ◽  
Author(s):  
Arnt O. Hopland
Keyword(s):  
Local Governments ◽  
Reduced Form ◽  
Public Infrastructure ◽  
Data Set ◽  
Content Type ◽  
Vector Autoregressive ◽  
The Past ◽  
Long Run ◽  
The Relationship ◽  
New Infrastructure

Purpose The purpose of the paper is to analyze the relationship between maintenance of existent and investment in new infrastructure in Norwegian local governments. Design/methodology/approach A reduced form vector autoregressive system is estimated using a 29-year-long panel data set for the Norwegian local governments. Findings The data reveal that increased investment in new infrastructure sparks little, if any, increase in maintenance. The results also indicate that increased maintenance expenditures spark new investments. Because more investments mean more infrastructure and adequate maintenance should give that investments are not caused by maintenance, the results suggest that the local governments have not optimized their maintenance scheduling in this period. Originality/value Even though maintenance and investment are large expenditures that both serve as inputs to the stock of infrastructure, little is known about the relationship between the two. The findings in this paper suggests that Norwegian local governments have not planned their maintenance and investments well in the past, and this can be part of the explanation as to why local public infrastructure in Norway is presently in poor condition.

The Dynamics of Exports and Economic Growth: Assessing the Evidence from Nigeria

2018 ◽  
Vol 4 (1) ◽  
pp. 15-22
Author(s):  
Clement A.U. Ighodaro ◽  
Ovenseri-Ogbomo F. O.
Keyword(s):  
Economic Growth ◽  
Social Services ◽  
Time Series Data ◽  
Positive Impact ◽  
Capital Expenditure ◽  
Impulse Response Function ◽  
Series Data ◽  
Vector Autoregressive ◽  
Long Run ◽  
Short Run

The paper empirically examines the dynamics of exports and economic growth in Nigeria using time series data for 1970 to 2017. The Vector autoregressive model (VAR) was used to investigate the long run and short run relationship between exports and economic growth as well as some selected variables. The result shows that there exists a stable long run relationship among economic growth, exports, capital expenditure on education and social services. Also, the Granger causality results reveal that export Granger causes economic growth and not the other way round. This means that an increase in economic growth may result from increase in export, but increase in economic growth does not necessarily lead to increase in exports. The Impulse Response Function (IRF) shows that a one standard innovation in exports will lead to permanent positive impact on economic growth in Nigeria. This therefore supports the exports led growth hypothesis for Nigeria.

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