panel VAR

Using a panel of 40 EU and OECD countries for the period 1970-2010 we construct an early warning system. The system consists of a discrete and a continuous model. In the discrete model, we collect an extensive database of various types of economic crises called CDEC 40-40 and examine potential leading indicators. In the continuous model, we construct an index

Downloadable! This paper provides time-series and panel evidence on the monetary policy transmission for five key emerging market economies: Brazil, Russia, India, China and South Africa (BRICS). The analysis is based on a Bayesian vector auto-regression (VAR) model that ...

Kentleşme, sanayileşme ve istihdam olguları birbirleri ile etkileşim içerisinde döngüsel bir ilişkinin bilgisini sunmaktadır. Bununla birlikte, mevcut literatürü oluşturan çalışmalarda belirtilen olgular arasındaki nedensellik ilişkilerinin kesinlik niteliğinin önemli tartışmalara açık olması yapılan çalışmanın dayanak noktasını oluşturmaktadır. Bu çalışmanın amacı, 1997-2018 zaman aralığı içerisinde G-8 ülkelerindeki (Kanada, Fransa, Almanya, İtalya, Japonya, Birleşik Krallık, ABD, Rusya) kentleşme, sanayileşme ve istihdam arasındaki olası ilişkilerin incelenmesidir. Amaç doğrultusunda, olası ilişkilerin tahmin işlemleri için kentsel nüfus, sanayi katma değeri ve istihdam oranı parametreleri kullanılarak panel VAR modeli metodolojisi izlenmiştir. Parametreler arasındaki olası ilişkilerin belirlenmesine yönelik olarak uygun modele karar verebilmek için öncelikle serilerin özellikleri araştırılmıştır. Bu bağlamda, serilere yatay-kesit bağımlılığı, birim kök ve homojenlik sınamaları yapılmıştır. Kısıtlandırılmamış panel VAR modeli kurulduktan sonra, öngörü hatası varyans ayrıştırması ve etki-tepki fonksiyonları belirlenmiş, ardılı heterojen panel VAR Granger nedensellik analizi uygulanmıştır. Varyans ayrıştırması sonuçları, kentleşme değişkenine ilişkin öngörü hata varyansının incelenen dönem boyunca kendisinde meydana gelen şoklar tarafından belirlendiğini, etki-tepki fonksiyonu sonuçları ise kentleşmenin kendisinden, sanayileşmeden ve istihdam değişkenlerinden gelen şoklara artarak tepki verdiğini göstermiştir. Nedensellik sonuçlarında, kentleşme ile sanayileşme arasında geri-bildirim etkisini yansıtan iki yönlü, kentleşmeden istihdama ise tek yönlü nedensellik ilişkisi olduğu görülmüştür.

This paper provides time-series and panel evidence on the monetary policy transmission for five key emerging market economies: Brazil, Russia, India, China and South Africa (BRICS). The analysis is based on a Bayesian vector auto-regression (VAR) model that includes seven key variables. Instead of the conventional Choleski decomposition as used in the literature, Bayesian methodology has been used to identify the monetary policy (positive interest rate) shock along with using the more recent sign restrictions approach. Finally, to summarise the response for this group of key emerging market economies, we carry out a panel VAR exercise, which provides further robustness of our finding that contractionary monetary policy has a negative effect on output. These results are robust to changes in the specification, the methodology and sub-sample time horizon.

The paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility. Finally we use panel VAR techniques to investigate the relationships between the factors that characterise financial fragility in our model, i.e. banks’ probabilities of default and banks’ profits – to a proxy of welfare.

This paper analyses the causal linkages between regional labour market variables and internal migration flows among German states between 1991–2006. We adopt a Panel VAR approach to identify the feedback effects among the variables and analyse the dynamic properties of the system through impulse-response functions. We also use the model to track the evolution of the particular East-West migration since re-unification aiming to shed more light on the East German ‘empirical puzzle’, characterized by lower migration responses than expected from the regional labour market position relative to the West. Indeed we get evidence for such a puzzle throughout the mid-1990s, which is likely to be caused by huge West-East income transfers, a fast exogenously driven wage convergence and the possibility of East-West commuting. However, we also observe an inversion of this relationship for later periods: That is, along with a second wave of East-West movements around 2001 net flows out of East Germany were much higher than expected after controlling for its weak labour market and macroeconomic performance. Since this second wave is also accompanied by a gradual fading out of economic distortions and a downward adjustment of expectations about the speed of East-West convergence in standard of livings, this supports the view of ‘repressed’ migration flows for that period. Die Arbeit untersucht die kausale Beziehung zwischen regionalen Arbeitsmarktvariablen und internen Migrationsstömen für deutsche Bundesländer zwischen 1991–2006. Die Autoren verwenden ein VAR Modell mit Paneldaten zur Identifikation der Feedback Effekte zwischen den Variablen und zur Analyse der dynamischen Eigenschaften des Systems mit Hilfe von Impuls-Antwort Funktionen. Darüber hinaus wird das Modell verwendet, um die Entwicklung der spezifischen Ost-West Wanderungen nach der Wiedervereinigung zu analysien und das ostdeutsche ‚empirische Puzzle‘ zu beleuchten, welches eine Situation beschreibt, bei der Migrationsbewegungen nur unverhältnismäßig auf Arbeitsmarktungleichgewichte reagieren. In der Tat gibt die Analyse Hinweise für ein derartiges Puzzle in den 1990er Jahren, was insbesondere auf hohe West-Ost Einkommenstransfers, eine schnelle exogen getriebene Lohnanpassung an das West-Niveau sowie die Möglichkeit des Pendels zwischen den Makroregionen zurückzuführen ist. Allerdings dreht sich dieses Verhältnis in nachfolgenden Perioden: Entlang der zweiten Auswanderungswelle von Ost nach West um das Jahr 2001 sind die Netto-Ausströme aus Ostdeutschland viel höher als es die regionale Arbeitsmarktsituation erwarten lassen würde. Da diese zweite Abwanderungswelle mit dem graduellen Ausklingen der West-Ost Transferzahlungen und einer deutlich getrübten Erwartungshaltung hinsichtlich der Geschwindigkeit der Ost-West Einkommenskonvergenz einhergeht, wird für diese Periode der Abbau einer ‚zurückgestauten‘ Abwanderungswelle sichtbar.

This paper examines the main implications of recently increasing foreign bank penetration on bank lending as a channel of monetary policy transmission in emerging economies. Using a dynamic panel model of loan growth, we investigate the loan granting behavior of 1273 banks in the emerging economies of Asia, Latin America, and Central and Eastern Europe during the period from 1996 to 2003. Applying the pooled OLS, system GMM, and panel VAR estimators, we find consistent evidence that foreign banks are less responsive to monetary shocks in host countries, as they adjust their outstanding loan portfolios and interest rates to a lesser extent than domestic private banks, independent of their liquidity, capitalization, size, efficiency, and credit risk, and although there exists a bank lending channel in the emerging economies, it is declining in strength due to the increased level of foreign bank penetration. We also explore possible driving factors for the different responses of foreign and domestic banks to monetary policy shocks by investigating foreign banks’ different behavior during banking crises and tranquil periods, the effects of mode of entry to host countries, the home-country effects, and the response of foreign banks from OECD countries vs. all foreign countries including non-OECD countries. We suggest the access of foreign banks to funding from parent banks through internal capital markets as the most convincing explanation.► We examine the impact of foreign bank penetration on monetary policy transmission. ► Foreign banks are less responsive to monetary shocks than domestic banks. ► The bank lending channel in emerging economies is weakened due to foreign banks. ► We identify factors for different responses of foreign banks to monetary shocks.

This paper studies the effects of fiscal consolidation on the debt-to-GDP ratio of 11 Euro area countries over the period 2000Q1-2012Q1. Using a quarterly Panel VAR allows us to trace out the dynamics of the debt-to-GDP ratio following a fiscal shock and to disentangle the main channels through which fiscal consolidation affects the debt ratio. We define a fiscal consolidation episode as self-defeating if the level of the debt-to-GDP ratio does not decrease compared to the pre-shock level. Our main finding is that when consolidation is implemented via a cut in government primary spending, the debt ratio, after an initial increase, falls to below its pre-shock level. When instead the consolidation is implemented via an increase in government revenues, the initial increase in the debt ratio is stronger and, eventually, the debt ratio reverts to its pre-shock level, resulting in what we call self-defeating consolidation.

Using a panel of 40 EU and OECD countries for the period 1970–2010 we construct an early warning system. The system consists of a discrete and a continuous model. In the discrete model, we collect an extensive database of various types of economic crises called CDEC 40-40 and examine potential leading indicators. In the continuous model, we construct an index of real crisis incidence as the response variable. We determine the optimal lead employing panel vector autoregression for each potential indicator, and then ...

La plata hace a la felicidad. ¿O es al revés? El presente trabajo es un intento por identificar, para Latinoamérica, si el crecimiento económico (medido por el Producto Interno Bruto) como indicador objetivo de bienestar repercute en mejores indicadores subjetivos de bienestar (felicidad)o si por el contrario, son estos indicadores subjetivos los que predicen(tal vez porque determinan) el comportamiento del PIB. Para esto se tomó información de dieciocho países Latinoamericanos entre los años 1995 y 2010 incluyendo ambos tipos de indicadores de bienestar (objetivo y subjetivo). Para evitar un modelo que imponga una determinada dirección de causalidad se optó por una metodología de Vectores Autorregresivos, y para preservar los efectos intra-país se trabajó un modelo econométrico de paneles: se utilizó un Panel-VAR. La evidencia sugeriría que ambos tipos de indicadores están relacionados y que predomina la relación en el sentido que va desde la variable subjetiva hacia la objetiva (salvo en el caso de crisis). El indicador subjetivo anticipa (causa en el sentido de Wiener-Granger) al indicador objetivo. También es posible identif car diferencias entre la felicidad, expectativas económicas y percepciones económicas actuales.

This paper analyses the causal linkages between regional labour market variables and internal migration flows among German states between 1991–2006. We adopt a Panel VAR approach to identify the feedback effects among the variables and analyse the dynamic properties of the system through impulse-response functions. We also use the model to track the evolution of the particular East-West migration since re-unification aiming to shed more light on the East German ‘empirical puzzle’, characterized by lower migration responses than expected from the regional labour market position relative to the West. Indeed we get evidence for such a puzzle throughout the mid-1990s, which is likely to be caused by huge West-East income transfers, a fast exogenously driven wage convergence and the possibility of East-West commuting. However, we also observe an inversion of this relationship for later periods: That is, along with a second wave of East-West movements around 2001 net flows out of East Germany were much higher than expected after controlling for its weak labour market and macroeconomic performance. Since this second wave is also accompanied by a gradual fading out of economic distortions and a downward adjustment of expectations about the speed of East-West convergence in standard of livings, this supports the view of ‘repressed’ migration flows for that period. Die Arbeit untersucht die kausale Beziehung zwischen regionalen Arbeitsmarktvariablen und internen Migrationsstömen für deutsche Bundesländer zwischen 1991–2006. Die Autoren verwenden ein VAR Modell mit Paneldaten zur Identifikation der Feedback Effekte zwischen den Variablen und zur Analyse der dynamischen Eigenschaften des Systems mit Hilfe von Impuls-Antwort Funktionen. Darüber hinaus wird das Modell verwendet, um die Entwicklung der spezifischen Ost-West Wanderungen nach der Wiedervereinigung zu analysien und das ostdeutsche ‚empirische Puzzle‘ zu beleuchten, welches eine Situation beschreibt, bei der Migrationsbewegungen nur unverhältnismäßig auf Arbeitsmarktungleichgewichte reagieren. In der Tat gibt die Analyse Hinweise für ein derartiges Puzzle in den 1990er Jahren, was insbesondere auf hohe West-Ost Einkommenstransfers, eine schnelle exogen getriebene Lohnanpassung an das West-Niveau sowie die Möglichkeit des Pendels zwischen den Makroregionen zurückzuführen ist. Allerdings dreht sich dieses Verhältnis in nachfolgenden Perioden: Entlang der zweiten Auswanderungswelle von Ost nach West um das Jahr 2001 sind die Netto-Ausströme aus Ostdeutschland viel höher als es die regionale Arbeitsmarktsituation erwarten lassen würde. Da diese zweite Abwanderungswelle mit dem graduellen Ausklingen der West-Ost Transferzahlungen und einer deutlich getrübten Erwartungshaltung hinsichtlich der Geschwindigkeit der Ost-West Einkommenskonvergenz einhergeht, wird für diese Periode der Abbau einer ‚zurückgestauten‘ Abwanderungswelle sichtbar.

The purpose of the paper is twofold. Firstly, through the Taxonomic Method, we construct a composite indicator, called the Index of Sustainable (IS), and analyze the provinces of Iran from 2011 to 2018, according to 9 variables. Secondly, the Granger-causality test for panel data is implemented in order to verify the causal relationship among the IS, climate change and agricultural production. In other words, we test which of the three analyzed variables turns out to be the causetive variable and which, instead, turns out to be the effect variable. This analysis provides a wide overview on how the provinces rank according to the IS and its three crucial pillars, i.e. environmental, economic and social. Moreover, important causality relationships among the IS, climate changes (approximated by mean annual temperature and mean annual precipitation) and agricultural production (approximated by wheat and barley production) are identified. The results showed that Khuzestan, Isfahan and Fars provinces have the highest average sustainability index during 2011-2018. Generally, the provinces which are in a better position in terms of agricultural and industrial production, are also in a more favorable position in terms of sustainability than other provinces. The results also showed that there is a significant causal relationship between agricultural productions, climatic variables of temperature, precipitation and stability index among the studied provinces.

This paper investigates the impact of oil price shocks on house prices in the largest urban centers in Texas. We model their dynamic relationship taking into account demand- and supply-side housing fundamentals (personal disposable income per capita, long-term interest rates, and rural land prices) as well as their varying dependence on oil activity. We show the following: 1) Oil price shocks have limited pass-through to house prices—the highest pass-through is found among the most oil-dependent cities where, after 20 quarters, the cumulative response of house prices is 21 percent of the cumulative effect on oil prices. Still, among less oil-dependent urban areas, the house price response to a one standard deviation oil price shock is economically significant and comparable in magnitude to the response to a one standard deviation income shock. 2) Omitting oil prices when looking at housing markets in oil-producing areas biases empirical inferences by substantially overestimating the effect of income shocks on house prices. 3) The empirical relationship linking oil price fluctuations to house prices has remained largely stable over time, in spite of the significant changes in Texas’ oil sector with the onset of the shale revolution in the 2000s.

On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium “New Paradigms in Money and Finance?” All the papers in the present SUERF Study are based on contributions to the Brussels Colloquium.

We apply vector autoregression (VAR) to firm-level panel data from 36 countries to study the dynamic relationship between firms' financial conditions and investment. We argue that by using orthogonalized impulse-response functions we are able to separate the 'fundamental factors' (such as marginal profitability of investment) from the 'financial factors' (such as availability of internal finance) that influence the level of investment. We find that the impact of the financial factors on investment, which we interpret as evidence of financing constraints, is significantly larger in countries with less developed financial systems. Our finding emphasizes the role of financial development in improving capital allocation and growth.

Theoretical increase in the use of information technology has led to economic growth, and a strong network is a prerequisite for increasing economic growth, and also in recent years, the transformation of has played an important role in the country's economic growth and development. This paper examines the linkages between the development of telecommunications infrastructure, economic growth. Methods: To investigate the matter, used four key indicators of operation of a macro economy variables: gross capital formation, foreign direct investment inflows, urbanization rates, and trade openness. By studying the MENA countries over the period 1990 2016 and employing a panel vector auto-regressive model for estimating. Findings Unexpectedly it finds the results indicate that the development of telecommunication infrastructure has a negative effect on economic growth, and economic growth has a positive and significant effect on the development of telecommunication infrastructure. Results: The impact of developing telecommunications infrastructure on economic growth is not significant, so policy changes need to be made. If we want to develop telecommunications infrastructure to economic growth, we need to change the relevant policies in this area.

The paper aims to investigate the economic relationship between inflation and domestic debt. In countries that experience high inflation, the inflationary process fed on increasing costs of domestic debt. As a result, the increasing debt to GDP ratios led these countries to borrow at higher interest rates and with lower maturity rates. The paper aims to divide countries into three groups. First group consists of Mexico, Turkey and Brazil; countries with high inflation experiences which result in increasing costs of domestic debt. Second group consists of Belgium, Canada and Japan, low inflation rates, low costs of borrowing. Third group consists of Portugal, Greece and Spain, countries with low inflation, high borrowing with low costs of borrowing and fiscal discipline. It is observed that, increasing costs of borrowing is epidemic to those with Non-Ricardian fiscal policies. As a result, it is not the rate of domestic debt/GDP ratio but the cost of borrowing and active fiscal regim...

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR perspective used for the first time in this context. Focusing on Emerging Market Economies (EME), our noteworthy findings postulate that (a) both home and foreign EPU shocks are highly significant in explaining the ERV, (b) the contribution of the foreign EPU to the ERV fluctuation overcomes the local EPU’s share, (c) the ERV acts as a significant transmission channel of the US-EPU to the economic activity, (d) the home EPU increases with higher US-EPU and vice versa and (e) the latter is surprisingly and markedly sensitive to EME macroeconomic conditions. Our findings are robust to different sensitivity analyses, provide novel insights into EPU international spillovers, and have interesting policy implications for EME decisions makers and investors.

This paper analyses the causal linkages between regional labour market variables and internal migration flows among German states between 1991–2006. We adopt a Panel VAR approach to identify the feedback effects among the variables and analyse the dynamic properties of the system through impulse-response functions. We also use the model to track the evolution of the particular East-West migration since re-unification aiming to shed more light on the East German ‘empirical puzzle’, characterized by lower migration responses than expected from the regional labour market position relative to the West. Indeed we get evidence for such a puzzle throughout the mid-1990s, which is likely to be caused by huge West-East income transfers, a fast exogenously driven wage convergence and the possibility of East-West commuting. However, we also observe an inversion of this relationship for later periods: That is, along with a second wave of East-West movements around 2001 net flows out of East Germany were much higher than expected after controlling for its weak labour market and macroeconomic performance. Since this second wave is also accompanied by a gradual fading out of economic distortions and a downward adjustment of expectations about the speed of East-West convergence in standard of livings, this supports the view of ‘repressed’ migration flows for that period. Die Arbeit untersucht die kausale Beziehung zwischen regionalen Arbeitsmarktvariablen und internen Migrationsstömen für deutsche Bundesländer zwischen 1991–2006. Die Autoren verwenden ein VAR Modell mit Paneldaten zur Identifikation der Feedback Effekte zwischen den Variablen und zur Analyse der dynamischen Eigenschaften des Systems mit Hilfe von Impuls-Antwort Funktionen. Darüber hinaus wird das Modell verwendet, um die Entwicklung der spezifischen Ost-West Wanderungen nach der Wiedervereinigung zu analysien und das ostdeutsche ‚empirische Puzzle‘ zu beleuchten, welches eine Situation beschreibt, bei der Migrationsbewegungen nur unverhältnismäßig auf Arbeitsmarktungleichgewichte reagieren. In der Tat gibt die Analyse Hinweise für ein derartiges Puzzle in den 1990er Jahren, was insbesondere auf hohe West-Ost Einkommenstransfers, eine schnelle exogen getriebene Lohnanpassung an das West-Niveau sowie die Möglichkeit des Pendels zwischen den Makroregionen zurückzuführen ist. Allerdings dreht sich dieses Verhältnis in nachfolgenden Perioden: Entlang der zweiten Auswanderungswelle von Ost nach West um das Jahr 2001 sind die Netto-Ausströme aus Ostdeutschland viel höher als es die regionale Arbeitsmarktsituation erwarten lassen würde. Da diese zweite Abwanderungswelle mit dem graduellen Ausklingen der West-Ost Transferzahlungen und einer deutlich getrübten Erwartungshaltung hinsichtlich der Geschwindigkeit der Ost-West Einkommenskonvergenz einhergeht, wird für diese Periode der Abbau einer ‚zurückgestauten‘ Abwanderungswelle sichtbar.

We investigate the consequences of an increase in government spending for trade balances and budget deficits in the European Union, using a panel VAR approach. While the literature tends to treat the trade balance/GDP ratio as a single variable, we include exports and imports as separate variables. It also allows us to track in more detail the sources of trade balance movements. Further, we use annual rather than quarterly data. This improves the interpretation of the shocks and reduces potential anticipation effects of fiscal policy changes. However, the identification assumptions become stronger, and we extensively check their validity. According to our baseline estimate, a one-percent of GDP increase in government spending produces a 1.2% impact, respectively 1.6 % peak rise in GDP. Rising imports and falling exports are responsible for a fall of the trade balance by 0.5 % of GDP on impact and a maximum fall of 0.8 % of GDP. In addition, the spending increase produces a 0.7 % of ...

La plata hace a la felicidad. ?O es al reves? El presente trabajo es un intento por identificar, para Latinoamerica, si el crecimiento economico (medido por el Producto Interno Bruto) como indicador objetivo de bienestar repercute en mejores indicadores subjetivos de bienestar (felicidad)o si por el contrario, son estos indicadores subjetivos los que predicen(tal vez porque determinan) el comportamiento del PIB. Para esto se tomo informacion de dieciocho paises Latinoamericanos entre los anos 1995 y 2010 incluyendo ambos tipos de indicadores de bienestar (objetivo y subjetivo). Para evitar un modelo que imponga una determinada direccion de causalidad se opto por una metodologia de Vectores Autorregresivos, y para preservar los efectos intra-pais se trabajo un modelo econometrico de paneles: se utilizo un Panel-VAR. La evidencia sugeriria que ambos tipos de indicadores estan relacionados y que predomina la relacion en el sentido que va desde la variable subjetiva hacia la objetiva (s...

The importance of total factor productivity (TFP) growth to economic growth variation in a single country setting can be dated back to as early as Solow1 (1956). Traditionally, TFP is defined as the portion of output not explained by the amount of inputs used in the production. The ' ...