Question: Can you explain what is Vector Autoregressive Model ? and can you provide an answer for below and explain. A Vector Autor-egression framework is used

Can you explain what is Vector Autoregressive Model ? and can you provide an answer for below and explain.

A Vector Autor-egression framework is used to examine the responsiveness of stock market returns to macroeconomic shocks. The quarterly variables in the VAR are: stock returns (R), Gross Domestic Product (GDP), consumer price index (CPI), producer price index (PPI), current account (CA) and monetary policy reflected by changes in the interest rate (REPO) and the VAR is assumed to be ordered as listed above. a. Write down the specification of the VAR(2) in these variables in reduced form.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!

Caldara, Dario, Michele Cavallo, and Matteo Iacoviello (2016). Oil Price Elasticities and Oil Price Fluctuations. International Finance Discussion Papers 1173. 1)It focuses on identifying the oil...

Write a brief review of the attached piece of literature on the relevant issue "Persistent volatility in the exchange rate market affects price stability and the consistency of business planning in...

Write 2 paragraphs about Exchange Rate Pass-Through to Consumer Prices: The Increasing Role of Energy Prices article. No more than 100-word count. Kim, H., Lin, Y., & Thompson, H. (2021). Exchange...

Question 1. The table below presents the temperature, in Celsius degrees, at 9pm over the last 10 days in Aberdeen: Day 1 2 3 4 5 6 7 8 9 10 Temperature 1.5 2.3 3.7 3.0 1.4 -1.3 -2.4 -3.7 -0.5 1.3...

Question B 1. The table below presents the temperature, in Celsius degrees, at 9pm over the last 10 days in Aberdeen: Day 1 2 3 4 5 6 7 8 9 10 Temperature 1.5 2.3 3.7 3.0 1.4 -1.3 -2.4 -3.7 -0.5 1.3...

I need with these problems/exercises listed below (chapters attached). You must use the chapters to fill out the guidance report which is attached. Using the data for March/April Column. Chapter...

This question concerns lexical grammars. (a) Tree Adjoining Grammars contain two types of elementary tree. (i) What are these trees called? [1 mark] (ii) If one were building a grammar for English...

Describe, in detail, how the heapsort algorithm works. [10 marks] Show that the worst-case cost of heapsort is O(n log n). [6 marks] Would it be possible to implement a variant of heapsort based on a...

1. As indicated in lecture neural networks are ubiquitously used in classification and regression tasks every day across multiple domains. In this question you will use the online interactive tool...

Respond to the following questions: a) After an unusually dry autumn, a radio announcer is heard to say, Watch out! Well pay for these sunny days later on this winter. Explain what hes trying to say,...

A weekly payroll summary made from labor time records shows the following data for Victory Parkway Inc.: Overtime is payable at one-and-a-half times the regular rate of pay and is distributed to all...

16. Show an example of a block comment.

On May 15, Helena Carpet Inc., a carpet wholesaler, issued for cash 750,000 shares of no-par common stock (with a stated value of $1.50) at $4, and on June 30, it issued for cash 17,500 shares of...