Sökning: "Time Series Analysis of a Impulse Response Function:"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Time Series Analysis of a Impulse Response Function:.

1. 1. Title: Does Bitcoin hedge inflation risk? A multivariate time series analysis

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Domenico Roberto Curciarello; [2022-06-29]
   Nyckelord :Bitcoin; 5 years– 5 years forward inflation expectation rate; VAR; VARX; Granger causality; Impulse response function; Forecast error variance decomposition;

   Sammanfattning : This thesis investigates whether Bitcoin can be considered a valuable hedge against inflation risk. The research examines the relationship between Bitcoin and inflation, the two variables' forecast ability, and how an exogenous shock simulated on one variable affects the other. LÄS MER

3. 2. Multiple Time Series Analysis of Freight Rate Indices

   Master-uppsats, KTH/Matematisk statistik

   Författare :Simon Koller; [2020]
   Nyckelord :VAR; Vector Autoregression; Impulse Response Function; Forecasting; Freight Rates; Shipping; Seaborne trade; BDI; BDTI.; VAR; Vektor Autoregression; Impulse Response Function; Prognostisering; Fraktrater; Sjöfart; Sjöburen Frakt; BDI; BDTI.;

   Sammanfattning : In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. LÄS MER

4. 3. The impact from oil price shocks on the Trade Balance : The case of the two Nordic brothers

   Master-uppsats, Umeå universitet/Nationalekonomi

   Författare :Viktor Boman; [2019]
   Nyckelord :;

   Sammanfattning : This paper investigates the relationship between oil price shocks on two measures of oil importers and exporter´s trade balances, namely the Merchandise Trade balance and Non-oil trade balance. The paper also aims to analyse whether oil price fluctuation tend to explain a smaller or larger part of the variability on the Trade and Non-oil trade balance. LÄS MER

5. 4. Assessing the Effect of the Riksbank Repo Rate on National Output and Price Level in Sweden : Focusing on Employment and Housing Prices

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Christofer Borén; Felix Ewert; [2018]
   Nyckelord :Monetary Policy; Policy Rate; Inflation; Employment; Housing Prices; Vector Autoregression; Impulse Response Function; Penningpolitik; Styrränta; Inflation; Sysselsättning; Bostadspriser; Vektorautoregression; Impuls-Responsfunktion;

   Sammanfattning : There is no single commonly adapted model that explains the influence that various monetary policy instruments carry for the economy. During 2011-2017, the Swedish inflation rate has remained below the 2 percent target which has led the Riksbank to take measures aimed at stimulating the inflation. LÄS MER

7. 5. Responsiveness of Swedish housing prices to the 2018 amortization requirement : An investigation using a structural Vector autoregressive model to estimate the impact of macro prudential regulation on the Swedish housing market

   Kandidat-uppsats, Södertörns högskola/Nationalekonomi

   Författare :Fredrik Hörnell; Melina Hafelt; [2018]
   Nyckelord :Macroeconomics; inflation rate; interest rates; house prices; econometrics; time series analysis; SVAR analysis; forecasting;

   Sammanfattning : This thesis analyzed and estimated the impact of the March 1, 2018 loan to income amortization requirement on residential real estate prices in Sweden. A four variables vector autoregressive model (VAR) was used to study the relationships between residential real estate prices, GDP, real mortgage rate and consumer price index over a time period from 2005 to 2017. LÄS MER