The aim of this study is to see how effective the monetary policy transmission mechanism through interest rate channel in Indonesia. This research was conducted using data from 197 – 2017. uses Vector Autoregression (VAR) method its testing process. results indicate that credit an for achieving ultimate goal

Direct measures of expectations, derived from survey data, are used in a Vector Autoregressive (VAR) model of actual and expected output series in eight industrial sectors comprising UK Manufacturing. Through the application of the Beveridge-Nelson decomposition, the VAR model is used to measure trend output in the Manufacturing Sector. This measure is compared with alternative trend measures o...

A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

The economy of Bangladesh is experiencing sustained economic growth. Thus, the purpose this study to analyze how human capital and material, or physical interacts influence growth Bangladesh. As a response analyzing mechanisms from 2000 2019, present paper conducts quantitative research into link between capital, material in with use Vector Autoregression Model (VAR). discovered that both can c...

Network modeling of high-dimensional time series in presence of unobserved latent variables is an important problem in macroeconomics and finance. In macroeconomic policy making and forecasting, it is often impossible to observe and incorporate all the relevant series in the analysis. Failure to include these variables often results in spurious connectivity among the observed time series in str...

Chicken eggs are one of the primary sources protein for people in West Sumatra. The level consumption continues to increase every year, while availability broiler is not stable. This condition illustrates problems faced by consumers and producers, namely price instability. Market integration a metric that demonstrates how changes reference market affect follower market. objective this research ...

We review, under a historical perspective, the developement of the problem of nonfundamentalness of Moving Average (MA) representations of economic models, starting from the work by Hansen and Sargent [1980]. Nonfundamentalness typically arises when agents’ information space is larger than the econometrican’s one. Therefore it is impossible for the latter to use standard econometric techniques,...

Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that ma...

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that distribution variables skewed heavy tailed. In this paper, we contribute to literature extending vector autoregression (VAR) model account for more realistic assumptions on multivariate variables. We propose gener...