Sökning: "Vector Autoregressive Model VAR"

Visar resultat 1 - 5 av 59 uppsatser innehållade orden Vector Autoregressive Model VAR.

1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Anny Eklund; Markus Sallkvist; [2024]
   Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

3. 2. Navigating Uncertain Waters: A Bayesian Threshold VAR Approach to Understanding the Impact of Commodity Price Shocks on Inflation

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Cajsa Klass; Selin Scheuerer; [2023]
   Nyckelord :Uncertainty; Bayesian; Commodity Price Pass-Through; Inflation; Threshold VAR;

   Sammanfattning : The Covid-19 pandemic in early 2020 led to unprecedented uncertainty, reducing the predictability of macroeconomic variables. At the same time, commodity price movements as a contributor to national consumer price inflation continue to surface in debates. LÄS MER

4. 3. 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

5. 4. Forecasting copper price using VAR and the XGBoost model: an experiment with a relatively small dataset

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

   Författare :Juanli Hu; [2023]
   Nyckelord :copper price; Vector autoregressive model; XGBoost; Time series; Business and Economics;

   Sammanfattning : Given the importance of copper prices to investors, governments, and policymakers, this paper investigates short-term price predictability using VAR and XGBoost models. All models are trained with historical data from November 2021 to December 2022 and using MSE, RMSE and MAE for evaluating the model performance. LÄS MER

7. 5. Multivariate Time Series Prediction for DevOps : A first Step to Fault Prediction of the CI Infrastructure

   Master-uppsats, Linköpings universitet/Statistik och maskininlärning

   Författare :Yiran Wang; [2022]
   Nyckelord :VAR; LSTM; BiLSTM; time series; CI; DevOps;

   Sammanfattning : The continuous integration infrastructure (CI servers) is commonly used as a shared test environment due to the need for collaborative and distributive development for the software products under growing scale and complexity in recent years. To ensure the stability of the CI servers, with the help of the constantly recorded measurement data of the servers, fault prediction is of great interest to software development companies. LÄS MER