Sökning: "VAR model and Granger causality test"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden VAR model and Granger causality test.

  1. 1. Interest rates and their impact on the stock market : Evidence from Sweden

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för management (MAN)

    Författare :Felicia Andersson; Robin Fogelberg; [2023]
    Nyckelord :Interest rate; Stock market; OMX30; Vector autoregressive VAR model; Granger causality test; Short-term interest rate; Long-term interest rate; Sweden;

    Sammanfattning : This study will be investigating the relationship between short-term and long-term interest rates with the OMX30 stock return expressed in percentage, as well as the effect that the interest rates have on the stock return. The data used in this study has been collected from the dataprogram Datastream with monthly observations from January 2003 until December 2022 resulting in 240 different variables within all three factors over a period of 20 years. LÄS MER

  3. 2. 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

  4. 3. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :My Phung; [2021-06-30]
    Nyckelord :stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Sammanfattning : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. LÄS MER

  5. 4. Macroeconomic variables and their impact on the Swedish stock market

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Timur Cengiz; David Holmer; [2021]
    Nyckelord :Macroeconomics; Stocks; Macroeconomic variables; Stock market;

    Sammanfattning : The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. LÄS MER

  7. 5. Taylorregeln och negativa styrräntor : En empirisk analys av Taylorregelns relevans i Danmark, Schweiz och Sverige åren 2000-2018

    Kandidat-uppsats, Södertörns högskola/Nationalekonomi

    Författare :Charles Malmberg; John Nyberg; [2018]
    Nyckelord :Taylor rule; key interest rate; rate of inflation; GDP gap; OLS; VAR; Denmark; Switzerland; Sweden; Taylorregeln; styrränta; inflation; BNP-gap; OLS; VAR; Denmark; Schweiz; Sverige;

    Sammanfattning : Inflationen har i många länder varit låg sedan finanskrisen 2008. I försök öka inflationstakten har centralbanker sänkt sina räntor till rekordlåga nivåer. I Danmark, Schweiz och Sverige har styrräntorna varit negativa. John B Taylor föreslog 1993 en makroekonomisk regel med syfte att kunna ge en prognos för styrräntan. LÄS MER