The Varying Coefficient Bayesian Panel VAR Model

2016 ◽  
Author(s):  
Tomasz Wieladek
Keyword(s):  
Var Model ◽  
Panel Var ◽  
Varying Coefficient

scholarly journals Testing for Granger (non‐)causality in a time‐varying coefficient VAR model

2008 ◽  
Vol 27 (4) ◽  
pp. 293-303 ◽  
Author(s):  
Dimitris K. Christopoulos ◽  
Miguel A. León‐Ledesma
Keyword(s):  
Var Model ◽  
Time Varying ◽  
Varying Coefficient

The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009

2012 ◽  
Author(s):  
Charles W. Calomiris ◽  
Stanley D. Longhofer ◽  
William Miles
Keyword(s):  
House Price ◽  
Var Model ◽  
Panel Var

scholarly journals Lessons for Euro markets from the first wave of COVID-19

2021 ◽  
Vol 18 (1) ◽  
pp. 285-298
Author(s):  
Costas Siriopoulos ◽  
Argyro Svingou ◽  
Jagadish Dandu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Decomposition Methods ◽  
Var Model ◽  
Stock Exchanges ◽  
Panel Var ◽  
Chinese Stock Market ◽  
European Stock Markets ◽  
The Impact

Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009

2013 ◽  
Vol 41 (4) ◽  
pp. 709-746 ◽  
Author(s):  
Charles W. Calomiris ◽  
Stanley D. Longhofer ◽  
William R. Miles
Keyword(s):  
House Price ◽  
Var Model ◽  
Panel Var
Sign in / Sign up

Export Citation Format

Share Document