Sökning: "GVAR"

Visar resultat 1 - 5 av 7 uppsatser innehållade ordet GVAR.

  1. 1. Global Inflation in Forecasting - A model comparison

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Billing; Charlotte Breitz; [2019]
    Nyckelord :Global Inflation; Forecasting Inflation; GVAR; Estimation Window; Business and Economics;

    Sammanfattning : An essential input to monetary policymaking is inflation forecasting, and one important factor regarding inflation forecasting debated by researchers is the use of a global component. This thesis builds upon Ciccarelli and Mojon (2005, 2010) as well as Gillitzer and McCarthy (2019), who investigate the performance of a global component when forecasting domestic inflation. LÄS MER

  3. 2. Monetary Policy and Uncertainty : A GVAR Approach

    Magister-uppsats, Umeå universitet/Nationalekonomi

    Författare :Larry Tunster; [2018]
    Nyckelord :;

    Sammanfattning : This thesis investigates how both changes in monetary policy and monetary policy uncertainty from the United States Central bank affects 33 countries through various channels - GDP, Inflation, Equity Prices, Exchange rates and long and short interest rates from 1985 to 2016. This study follows a similar approach to Lei and Liu (2015) and Bi and Anwar (2017) who conduct similar research with a focus on the actions of the US Federal Reserve. LÄS MER

  4. 3. The 2010 Grexit: A counterfactual analysis using a Global VAR

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Marcus Rommedahl; [2016]
    Nyckelord :Global VAR; GVAR; counterfactual analysis; Greece leaving the eurozone; Grexit;

    Sammanfattning : The issue whether Greece should leave the euro is important for both Greece and the rest of Europe. As the wrong policy might be very costly it is important that the issue is carefully examined. This thesis analyses a counterfactual scenario where Greece leaves the eurozone. LÄS MER

  5. 4. The macroeconomic determinants of banks' nonperforming loans in Europe: a GVAR approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Tina Sidemark; [2014]
    Nyckelord :Global VAR; Macro-Prudential Policy; Nonperforming Loans; Spill-Overs; Transmission Channels;

    Sammanfattning : The Global Vector Autoregressive method is used to model the real and financial determinants of banks' nonperforming loans in Europe. The macroeconomic determinants of nonperforming loans have been examined previously (see for example Klein (2013), Beck and Jakubik (2013) and Nkusu (2011)). LÄS MER

  7. 5. On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Sebastian Andersson; [2014]
    Nyckelord :GVAR; VAR; time-varying; regime switching; macroeconometrics; global;

    Sammanfattning : In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. LÄS MER