Search for dissertations about: "Vector Autoregression"

Showing result 1 - 5 of 13 swedish dissertations containing the words Vector Autoregression.

  1. 1. Essays on Empirical Macroeconomics

    University dissertation from Stockholm : Department of Economics, Stockholm University

    Author : Dario Caldara; Stockholms universitet.; Stockholms universitet.; [2011]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Fiscal Policy; Identification; Vector Autoregression; Recursive Preferences; Perturbation; DSGE Models; Business Cycle Accounting; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi; nationalekonomi; Economics;

    Abstract : This thesis consists of four essays in empirical macroeconomics.What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative AnalysisThe literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. READ MORE

  2. 2. Essays on the Scandinavian Stock Markets

    University dissertation from Växjö : Växjö University Press

    Author : Jonas Söderberg; Växjö universitet.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi; Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. READ MORE

  3. 3. Essays on Empirical Macroeconomics

    University dissertation from Department of Economics, Lund Universtiy

    Author : Martin W Johansson; [2003]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; structural breaks.; output volatility; threshold autoregression; fiscal policy; real exchange rates; Aggregate consumption; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : The first essay reexamines the proposed presence of so-called loss aversion in aggregate consumption. Recent empirical and theoretical studies have suggested, that consumption growth reacts asymmetrically to positive and negative expected income growth. READ MORE

  4. 4. Experimenting with Focal Points and Monetary Policy

    University dissertation from Department of Economics, Lund Universtiy

    Author : Emma Runnemark; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Focal points Nash demand game Experiments Heterogeneity Framing Learning Monetary transmission Vector Autoregression VAR Regional differences;

    Abstract : This thesis consists of two parts. The first part uses economic experiments to investigate how participants choose to divide a surplus in the presence of competing focal points. The second part examines whether a monetary policy shock has asymmetric regional effects. READ MORE

  5. 5. Aspects of Macroeconomic Saving

    University dissertation from Göteborg

    Author : Johan Adler; Göteborgs universitet.; Gothenburg University.; [2003]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Saving; Consumption; Present value model; Capital mobility; Current account; Permanent income hypothesis; Excess sensitivity hypothesis; Tax smoothing hypothesis; Budget policy; Budget deficits; Cointegration; Vector autoregression; Monte Carlo study; Bootstrap;

    Abstract : This thesis deals with various aspects of macroeconomic saving. It consists of an introduction and four self-contained papers. Paper I, "From closed to open door policy: An empirical study of China's international capital mobility, 1958-98," is an empirical application of the open economy permanent income hypothesis (PIH). READ MORE