Sökning: "Vector Autoregression Model"

Visar resultat 11 - 15 av 53 uppsatser innehållade orden Vector Autoregression Model.

  1. 11. Quantitative Easing and Bubble Formation in Real-Estate : A study of the relationship between novel monetary policies and speculative bubbles in the Swedish real-estate market

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Axel Öhlund; Anna Domnina; [2021]
    Nyckelord :Large-scale asset purchasing program; Quantitative easing; Vector Autoregression; Riksbanken; Housing Bubble; Speculative Bubbles; Unconventional Monetary Policy;

    Sammanfattning : This thesis aims to study how much of price appreciations on the Swedish real-estate market in recent times have been fundamentally warranted, as well as if the unconventional monetary policies implemented by the Swedish central bank have had any interaction with these price escalations. The methodology employed to research this is divided into two parts. LÄS MER

  3. 12. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Christian Corfitsen; [2021]
    Nyckelord :IFRS 9; Expected credit loss; ECL; VAR; Vector Autoregression; Forecasting; Impulse Response Analysis; Forecast Error Variance Decomposition; IFRS 9; Expected credit loss; ECL; VAR; Vektorautoregression; Prognostisering; Impulsresponsanalys; Forecast error variance decomposition;

    Sammanfattning : In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. LÄS MER

  4. 13. Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Magnus Dahlberg; Gombrii Anders; [2021]
    Nyckelord :Vector Autoregression; Vector Error Correction; Forecasting; Random Walk; Exchange Rate; VAR-modell; VEC-modell; Prognos; Slumpvandring; Växelkurs;

    Sammanfattning : Riksbanken har under senaste åren blivit kritiserade för deras bristande prognoser av svenska valutakurser. I denna uppsats undersöks det om slumpvandring (RW) är den mest framgångsrika prognosmodellen eller om alternativa ekonometriska prognosmodeller (AR, VAR och VECM) kan estimera framtida växelkurser mer korrekt på kort sikt, ett kvartal fram, och medellång sikt, fyra kvartal fram. LÄS MER

  5. 14. Nowcasting U.S. Inflation: The Role of Online Retail Prices

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Edvin Ahlander; Eric Axdorph; [2021]
    Nyckelord :Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

    Sammanfattning : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. LÄS MER

  7. 15. The determinants of beef imports in Sweden

    Kandidat-uppsats, SLU/Dept. of Economics

    Författare :Felicia Östby Andersson; [2020]
    Nyckelord :added value; beef; beef market; cattle; export; import; price; time series; VAR; VECM;

    Sammanfattning : This paper investigates the determinants of Swedish beef imports using a Vector Autoregression and a Vector Error Correction model. By examining which variables responsible for the volume demanded on imported beef, one can understand how domestic beef production can compete and regain market shares from imported beef. LÄS MER