This paper provides some new empirical perspectives on the relationship between international trade and macroeconomic fluctuations in industrial economies. First, a comprehensive set of stylized facts concerning fluctuations in trade variables and their determinants is presented. A measure of the quantitative importance of international trade for the propagation of domestic business cycles is t...

This paper employs a structural vector autoregression (SVAR) model to investigate the monetary policy framework of a small emerging open economy Malaysia, especially how the economy dynamically respond to money, interest rate, exchange rate and foreign shocks. We establish identification conditions to uncover the dynamic effects of monetary policy shocks on various domestic variables. Following...

This paper investigates the spillover effects of Chinese real and monetary sector shocks on Belt Road Initiative (BRI) economies. The study adopted a panel vector autoregression (PVAR) estimation technique to analyse dynamic propagation in (gross domestic product (GDP) trade openness (OPEN)) (nominal interest rate (NIR)) for sample 50 BRI countries from 2000 2017. main results revealed that inc...

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...

This work explores the relationship between the sentiment of lyrics in Billboard Top 100 songs, stocks, and a consumer confidence index. We hypothesized that sentiment of Top 100 songs could be representative of public mood and correlate to stock market changes as well. We analyzed the sentiment for polarity and mood in terms of seven dimensions. We gathered data from 2008 to 2013 and found sta...

What is the effect of government deficits on interest rates? This fundamental question has not been convincingly answered. We propose a no-arbitrage structural VAR method that allows us to incorporate the cross-sectional information in bond yields into a structural macroeconomic framework. We find that the government deficit is an important factor behind the yield curve: A one percentage point ...

The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. One of the major disadvantages of the VAR that has hindered its applicability is its heavy parameterization; the parameter space grows quadratically with the number of series included, quickly exhausting the available degrees of freedom....