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Summary: Expansionary monetary policy combined with unconventional measures led to a decline in the profitability of U.S. and European banks. This paper studies whether such measures also affect the asset concentration in the European banking sector. The findings of this research add value to previous research, taking a step deeper into examining the consequences of expansionary monetary policy. It is found that reductions in the European central bank’s (ECB’s) key policy rate can predominantly explain the concentration growth in the eurozone countries. Furthermore, the ECB’s monetary policy had a more substantial influence on the growth of the concentration of banks outside the eurozone than those countries’ own monetary policies. Thus, the expansionary monetary policy poses specific challenges to financial stability in Europe. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Economic Cooperation & Development is the property of Statistical Economic & Social Research & Training Centre for Islamic Countries and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Uncertainty about monetary policy associated with uncertainty in interest rate is an important determinant of economic decisions. Due to the dominant position of the US economy on global financial markets, in addition to countries' own uncertainties, uncertainty related to the monetary policy of the USA may have an impact on other economies. In this study, we investigated the impact of interest rate uncertainties for different maturities on industrial production, inflation, unemployment and exchange rate. We used the impulse response functions based on the vector error correction model (VECM). We also conducted the Granger causality test to analyse the causality. We examined the impact of US monetary policy uncertainty on the mentioned variables of Turkey. Our findings suggest that uncertainty in long-term interest rates increases unemployment and inflation rates. Although we find that uncertainty in interest rate reduces growth of industrial production, we do not find a causal relationship between these variables. Finally, we show that a shock related to US monetary policy uncertainty tends to increase unemployment significantly, while reducing the growth of production. [ABSTRACT FROM AUTHOR]

The military conflict between Russia and Ukraine in 2022 generated a profound influence on the global financial community. This paper takes the Russia Ukraine conflict as a geopolitical conflict example to explore the divergent responses of standard green bonds and green inclusive bonds to conflict-related risks. In order to construct the VAR model, a novel Russia Ukraine conflict risk (RUCR) index has been developed by employing the data from the China Green Bond Index (GB) as well as the Green Inclusive Finance Theme Finance Bond Select Index (GIB). Our findings indicate that the Russia Ukraine conflict jeopardized both bond markets, while the green inclusive bond market exhibits stronger resilience in resisting the shocks compared with the conventional green bond market. Specifically, green inclusive bonds suffer a negative effect on returns in a low level manner, exhibiting lower volatility in response to identical geopolitical risk shocks. On this basis, salient research implications for policymakers and investors can be extracted from our study. [Display omitted] • Different responses of green bonds and green inclusive bonds to geopolitical risks. • Russia Ukraine conflict jeopardized green bond market and inclusive bond market. • Green inclusive bonds exhibits lower volatility to geopolitical risk. [ABSTRACT FROM AUTHOR]

This study examines the broader U.S. green bond market, with focus on its association with the U.S traditional equity market from 2016–2021. For this purpose, we use the S&P Green Bond Index, the S&P U.S. Aggregate Bond Index, and the S&P 500 to build the connection between the markets based on both univariate generalized autoregressive conditional heteroskedasticity (GARCH) and multivariate vector autoregression (VAR) models. Our empirical results show that the patterns of returns and the volatility behavior of green bonds included significant changes over the years of study. The findings highlight the importance of the emergence and evolution of the promising green bonds market, thus providing useful policy implications for portfolio and risk management as well as asset pricing. This study contributes to a deeper understanding of the impact of green bonds on equity markets. [Display omitted] • The broader US green bond (GB) market is examined for the 2016–2021 period. • Both univariate GARCH and multivariate VAR models are applied. • The returns & volatility behavior of GBs witnessed changes over the years. • The importance of the emergence & evolution of the promising GB market is evident. [ABSTRACT FROM AUTHOR]

The issue of causality in economics can be analyzed in different ways. There are many econometric methods that can be applied to study the causal relationships between the variables. A new and still not explored field is the sports economics, where the researchers consider the relationships between clubs' financial and organizational performance. To understand these phenomena, the authors use various statistical and econometrical methods. It is clearly visible in the growing number of publications in this area. In this paper, author attempts to investigate and describe the Granger-causality concept in finance-sports performance of selected football clubs. The following paper aims to identify causality and its direction between players' transfer values and clubs' sports performance in football. For the purpose of the thesis, the following hypotheses had been developed. H1: there exists a causal relationship between transfer spending and points of the selected football clubs; H2: there exists a causal relationship between transfer spending and standings of the selected football clubs. The research concerns the analysis of the causality relationship between financial and sports performance on the example of five best teams from five best European football leagues. All selected clubs characterize the best sports performance in their native leagues. In the study, three variables have been used. One of them has financial nature, while two relate to sports performance. Data reflect the two rounds that appear during every football season. The research includes data from the first round of season 2003/2004 to the first round of season 2020/2021. It contains information about transfer values, the standings and points gathered by the clubs in a semi-year frequency. The research tool used for the study is GRETL software. Thank to this solution it is possible to test stationarity and develop the VAR model. This relationship between pairs of selected variables occurs only in a small percentage of cases, or it cannot be identified at all. As a final concussion, the weak utility of the approach for the practical purpose is suggested. The last part of the paper is a conclusion where the author put the list of limitations and recommendations for further researches. [ABSTRACT FROM AUTHOR]

By using 1999 to 2016 agriculture and agricultural insurance data, building VAR model, this paper study the dynamic relationship among agricultural insurance and agriculture in China. We make fool use of VAR tools, such as granger casualty test, impulse response and variance decomposition. Empirical results show that agricultural insurance premium contributes to agricultural GDP and farmers' income in China about 12% in recent years while agricultural GDP is more important to agricultural insurance. 85% of agricultural insurance premium growth due to agricultural GDP. In addition, the increase of farmers' income can not improve agricultural insurance premium. Chinese government should develop agricultural insurance more steadily, help improve farmers' acknowledge about agricultural insurance and subsidizes agricultural insurance continually. [ABSTRACT FROM AUTHOR]

The presence of foreign ownership is very limited in stocks traded in Vietnam due to the existing regulations. Significant premiums have been observed in stock trading, reflecting a result of direct negotiations between foreign institutional investors and current owners of the stocks. However, the information content of traded stocks in Vietnam has largely been ignored in the current literature. We examine the information content of listed stocks in different trade sizes of the large-capitalization stocks included in the VN30 Index. This paper uses the intraday data for constituents of the national market index, the VN30 Index, from 1st January 2017 to 14th November 2019. Our findings confirm that the ultimate impact of trade innovation size on a quote is positive, increasing and concave. The quote revision in Vietnam's stock market causing trades is found in this paper. In addition, stock trades at times of the wide spread have a more significant price impact than the narrow spread. Interestingly, findings from this paper indicate that market participants are highly unlikely to infer an information event following a large trade occurring in the market. [ABSTRACT FROM AUTHOR]

The paper explores how the COVID-19 pandemic gives an impact on Chinese stock and bond markets. We conduct a Vector Autoregressive (VAR) model and use the Granger causality test to analyze the impact of COVID-19 on the securities market and the transfer of risk between the stock market and the bond market. The empirical results show that the COVID-19 pandemic has a significant negative impact on the stock market and a significant positive impact on the bond market. The volatility of the stock market affects the bond market, but the volatility of the bond market does not affect the stock market. Our findings suggest that investors and regulators should raise risk awareness and properly transfer assets between the stock market and the bond market. [ABSTRACT FROM AUTHOR]

The banking crises create the need to capture, in the most refined form possible, the vulnerabilities of the banking system. Early warning indicators help in capturing signals that predict, in a timely manner, the likelihood of a banking crisis. In addition, the sovereign risk, captured by CDS 5Y, proved to have a major impact on the probability of default, which negatively influenced economic growth. The results were captured using a Vector Autoregression Model on a sample of EU member states. [ABSTRACT FROM AUTHOR]

After analyzing the energy consumption environment of the regional economy and logistics industry in Guizhou Province, this paper selects the GDP of the overall economy, primary industry, secondary industry and tertiary industry of Guizhou Province as the regional economic indicators, and the logistics industry GDP of Guizhou Province as the logistics indicators. The VAR model uses Granger causality test, impulse response analysis and variance decomposition methods to study the relationship between the logistics industry in Guizhou Province and the regional economic development environment. Research shows that the logistics industry in Guizhou Province has begun to seek a sustainable low-carbon development path, but the energy consumption structure is unreasonable. The logistics industry has a low contribution to the regional economic environment, while the regional economy has a high contribution rate to the economic growth of the logistics industry. The contribution rate of the secondary industry is low, and the economic growth of the secondary industry cannot adversely affect the growth of the logistics economy. The development of the tertiary industry has a relatively high contribution value to the development of the logistics industry, and the development of the logistics industry has not promoted the development of the tertiary industry. This research will provide reference for the sustainable and healthy interaction between regional logistics industry and economic development in the low-carbon economic environment. [ABSTRACT FROM AUTHOR]

Based on the VAR model, this paper selects the data from 1977 to 2016 to make an empirical analysis on the relationship between the investment in public sports service funds and GDP in China. The results show that 1) from 1977 to 2016, the relative scale of investment in public sports services in China was still low, and the investment structure of public sports services in China was still relatively simple. 2) The cointegration test results of VAR model show that from 1977 to 2016, there was a stable equilibrium relationship between China's public sports service investment and China's GDP. China's public sports service investment was the cause of China's GDP, but China's GDP growth was not the cause of China's public sports service investment growth, and China's GDP growth had not led to a significant increase in spending on public sports services. 3) According to the impulse response function analysis, China's public sports service investment had been in a positive response to China's GDP gi'owth from 1977 to 2016, with small impact in the early stage and gradually increasing impact in the later stage. 4) The results of variance analysis show that from 1977 to 2016, China's public sports service investment had little impact on China's GDP, and the Chinese government still needs to guide more funds into public sports service. Based on the above, this paper puts forward some suggestions such as innovating the government financial investment mode of public sports service in China. [ABSTRACT FROM AUTHOR]

Given the concerns arising from climate change, countries, regions, and organizations worldwide have developed and implemented policy frameworks and measures aimed at addressing the challenges posed by climate change. However, the implementation pathways of these policies may entail significant uncertainties, presenting challenges to economic development. This study uses the vector autoregressive (VAR) model to examine the influence of climate policy uncertainty (CPU) on the U.S. economic cycle. The economic cycle variables are extracted from four popular economic indicators based on the Hodrick-Prescott (HP) filter. The results show that CPU changes effectively impact economic cycle, and a positive CPU shock can trigger negative reactions in the economy (recession) in the subsequent period. Moreover, we find that CPU changes are a Granger cause of the economic cycle and have good prediction classification performance for economic expansions and recessions. We provide new insights into the relationship between CPU and the economic cycle for policymakers. • Economic cycle can be extracted in economic indicators by using Hodrick-Prescott (HP) filter. • The Climate Policy uncertainty (CPU) change effectively impacts U.S. economic cycle. • The positive CPU shock can trigger the economic recession in the subsequent period. • The CPU change is a Granger cause of economic cycle and predicts economic boom and recession well. • Providing new insights to policymakers on the relationship between CPU and economic cycle. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Northeastern University (Social Science) / Dongbei Daxue Xuebao (Shehui Kexue Ban) is the property of Dongbei Daxue and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Financial contagion was first introduced in July 1997 when there was a crisis in Thailand's exchange market that quickly spread to many other East Asian markets. Our empirical study thus aims at finding evidence of financial contagion between exchange markets, monetary markets, and stock markets in seven countries. Like Primiceri (2005) and Koop and Korobilis (2010), we use the VAR model to detect contagion between markets and intra-markets. We first study the correlations between the different markets of the same kind and then employ tests of the unitary root ADF and PP to determine the offset to be used in the VAR model. Our study highlights the presence of contagion between these markets (intra-market contagion) and contagion in the same market across countries (inter-market contagion). Moreover, we find that contagion largely explains anomalies in markets contrary to conventional finance. However, behavioral finance is still unable to predict future events. [ABSTRACT FROM AUTHOR]

Copyright of Journal of the Cukurova University Institute of Social Sciences is the property of Cukurova University Institute of Social Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Taking Shanxi as an example, based on the estimation of VAR model, the dynamic relationship between chemical economy and environmental pollution in Shanxi from 1985 to 2006 was empirically studied by using generalized impulse response function and variance decomposition. The conclusion shows that Shanxi, as the national energy and heavy chemical industry base, does have a two-way mechanism of chemical economic growth and environmental pollution, but the reaction mechanism of environmental pollution to chemical economic growth is much weaker. There is a dynamic inverted U-shaped relationship between chemical economic growth and environmental pollution, and some characteristics of chemical economic growth and environmental pollution in Shanxi Province are also found. [ABSTRACT FROM AUTHOR]

After the ASEAN Trading Link was established in 2011 in order to connect the ASEAN stock markets together, more developed information technology permits the more market integration of this region through the network of brokerage firms in the member countries. However, the integration of ASEAN countries is not limited to only the stock markets but also other economic fundamentals. As a result, ASEAN members could become more similar which, in turn, may affect those investing in ASEAN stock market. To prove that the stock market integration may not support the sustainable returns for investors, this research examines the reduction in the diversification benefit of the portfolio which includes the stocks from different ASEAN markets. The finding from VAR model shows that the more combined ASEAN countries' economies could negatively affect investors who focus on lowering their risk by spreading their investment in different ASEAN's stock markets. [ABSTRACT FROM AUTHOR]

The aim of this research is to investigate dynamic interactions between key macroeconomic variables in Albania and assess the state of equilibrium of the Albanian macroeconomic system. Growth, unemployment and inflation rates, government deficit, money supply, current account deficit, interests and exchange rates are some of the selected macroeconomic aggregates. Yearly time series of these aggregates for the period 1994-2016 have been used. The key concern is to investigate whether these variables are mutually co-integrating, whether they are in equilibrium or whether past history of some variables affect their or other variables future levels; and whether shocks to the system have been active or not. VAR analysis and cointegration techniques are used as research tools. It is found that the macroeconomic system is characterized by a relative stability and equilibrium is far from being full, as only part of major variables, such as inflation and growth, bank deposit and exchange rate have been in a relative medium to long-term equilibrium. Current and fiscal deficits and growth are not in long-term equilibrium. Based on the co-integration results, the overall performance of the economy during transition could be much better and so the performance of the public economic governance. The system has well absorbed external or from-within shocks and relatively good forecasts could be made for macroeconomic aggregates based on their current and lagged levels. [ABSTRACT FROM AUTHOR]

Abstract As the financial market of China continues to grow, how to control the potential risks in the financial market and to maintain the bottom line without large systemic financial risks becomes a problem that must be faced. The VaR method has become the most widely used financial risk measurement method by its simplicity, flexibility and flexibility. Based on the data of the CSI 300 Index in the past five years, this paper uses Monte Carlo simulation and historical simulation to calculate the VaR of the five-year index and test its validity. Finally, combining with the characteristics of China's market economy, it puts forward some suggestions on financial risk management in China's financial market. [ABSTRACT FROM AUTHOR]

The initiative of the 21st-Century Maritime Silk Road will not only enhance China's international trade with countries along the road, but will also bring opportunities and challenges to China's maritime shipping industry. This article examines correlations between freight rate and the export trade on the five shipping routes of the Maritime Silk Road by the VAR model. The empirical results show that among the five routes, on the Persian Gulf route and European route, export has a significantly negative impact on freight index; however, on the Southeast Asian route and Taiwanese route freight index has a significantly negative effect on exports. Finally, some strategies were put forward on the Chinese shipping market and industry. [ABSTRACT FROM AUTHOR]

The increased availability of online information in recent years has aroused interest in the possibility of deriving indications for many kinds of phenomena. In the more specific economic and statistical context, numerous studies suggest the use of online search data to improve the forecasting and nowcasting of official economic indicators with a view to increasing the promptness of their circulation. The purpose of this work is to investigate if the use of big data can improve the forecasting of the youth unemployment rate – estimated in Italy on a monthly basis by the Italian National Institute of Statistics – by means of time series models. The time series used are those of the Google Trends query share for the keyword offerte di lavoro (job offers) and the official labour force survey data for the Italian youth unemployment rate since 2004. Two different models are estimated: an ARIMA model using only the official youth unemployment rate series and a VAR model combining the former series with the Google Trends query share. The results show that the use of Google Trends information leads to an average decrease in the forecast error. [ABSTRACT FROM AUTHOR]

• Interactions between subsystems are analyzed from the perspective of river systems. • The coupling coordination degree and vector autoregression methods are used. • River systems protection and harnessing promote economy, society, and environments. • Environment and river systems protection and harnessing are mutually reinforcing. River systems protection and harnessing (RPH) is crucial for urban water supply, flood control, ecology, and recreation and interacts with cities' society, economy and ecological environment. It is significant to assess the dynamic interaction mechanisms between these factors to support the sustainable development of cities. This study estimated the RPH, social, economic, and environmental subsystems in Xi'an, China, and introduced a vector autoregressive model to quantify the dynamic interactions. The results revealed that (1) the development levels of the four subsystems had an overall upward trend, realizing the development from moderately unbalanced to highly coordinated. (2) A significant dynamic effect was observed between the subsystems: Shocks in one subsystem caused responses in the other. The RPH subsystem played a pivotal role in urban development, which promoted social and economic development and formed a positive mutual promotion with the environment. The social and economic subsystems promoted each other but initially had a negative impact on RPH and the environment, although the long-term impact was positive. (3) All the subsystems showed positive progress, promoting their own progress as the top priority important. These results provide bases for the protection and harnessing of rivers and can be used to plan sustainable urban development. [ABSTRACT FROM AUTHOR]

This paper investigates effects of the real exchange rate and its volatility on trade balance and real GDP using a set of eighteen countries, mainly the OECD developed countries. The paper reports econometric procedures and empirical estimates for major currency-owned large economies and non-major currency- owned countries. One task, for which the elasticities of international trade and real GDP are needed, is developing exchange rate assessments. The study finds that real currency depreciation leads to improvement of trade balance in most of the examined developed countries. But the trade balances after real depreciation of currency do not follow J-curve patterns. With regard to the real exchange rate variability, the evidence is mixed. Similarly, effects of the real currency devaluation on real GDP differ across countries. Also, we observe that major currencyowned countries could have different value-and-volume-effects with non-major currency countries. [ABSTRACT FROM AUTHOR]

Regional haze pollution has become an important environmental issue in the Yangtze River Delta (YRD) region. Regional transport and inter-influence of PM 2.5 among cities occurs frequently as a result of the subtropical monsoon climate. Backward trajectory statistics indicated that a north wind prevailed from October to March, while a southeast wind predominated from May to September. The temporal relationships of carbon and nitrogen isotopes among cities were dependent on the prevailing wind direction. Regional PM 2.5 pollution was confirmed in the YRD region by means of significant correlations and similar cyclical characteristics of PM 2.5 among Lin'an, Ningbo, Nanjing and Shanghai. Granger causality tests of the time series of PM 2.5 values indicate that the regional transport of haze pollutants is governed by prevailing wind direction, as the PM 2.5 concentrations from upwind area cities generally influence that of the downwind cities. Furthermore, stronger correlation coefficients were identified according to monsoon pathways. To clarify the impacts of the monsoon climate, a vector autoregressive (VAR) model was introduced. Variance decomposition in the VAR model also indicated that the upwind area cities contributed significantly to PM 2.5 in the downwind area cities. Finally, we attempted to predict daily PM 2.5 concentrations in each city based on the VAR model using data from all cities and obtained fairly reasonable predictions. These indicate that statistical methods of the Granger causality test and VAR model have the potential to evaluate inter-influence and the relative contribution of PM 2.5 among cities, and to predict PM 2.5 concentrations as well. [ABSTRACT FROM AUTHOR]

This paper is an application of the consumption-smoothing current account theory the main principles of which appeared in the 1980s and gradually broadened to describe the intertemporal dynamics of important economic processes. In open economies, the consumption-smoothing current account process is related to the consumption behaviour of households. The effect on consumption choices and the current account is derived from the premise that households adjust their consumption expenditures according to the terms of trade. The process can be treated in an optimizing framework and originally was strictly connected to the permanent income hypothesis (PIH) and no restrictions to capital mobility. Both assumptions were successively relaxed and relationships allowing incorporation of the excess sensitivity hypothesis (ESH) and not perfect capital mobility have been introduced. Transformed into a VAR model with current account and national cash flow increments as endogenous variables, relevant conclusions are drawn on the basis of Granger causality, the equivalence of the current and predicted current account and an analysis of parameters of the model. Basic relationships and solutions are summarized and an application using the economies of the Czech Republic, Slovakia and Austria follows. [ABSTRACT FROM AUTHOR]

This paper employs DCC-MGARCH to calculate the dynamic correlation coefficient between international capital flows and real estate prices. Then it uses VAR model to analyze the relationship between the dynamic correlations between international capitals flows and real estate prices. The empirical study shows that there is a steady positive correlation between real estate prices and international short-term capital flows. When the real estate prices go up, the correlation coefficient is higher, which will lead the short-term international capital to entry. However, when the prices suffer a downturn, the correlation coefficient is lower, which will lead it to quit. The entry of short-term international capital will contribute to the increase of the real estate prices. [ABSTRACT FROM AUTHOR]

Copyright of Papeles de Población is the property of Universidad Autonoma del Estado de Mexico and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Mexico's momentum in economic growth recently has been lost, reporting 1.8% and 2.1% annual increases in total real gross domestic product (GDP) in 2013 and 2014, respectively. Policy reforms, particularly energy policy, intended to stimulate greater growth will need time to take hold. Increasingly, the tourism industry is viewed a potential growth driver of Mexico's economy. We estimate a vector autoregressive (VAR) model to explore the relationship between Mexico's GDP and the number of international visitors over time. Our results reveal a Granger causality relationship between GDP and the number of international tourists over the period of the study, which suggests that the promotion of tourism can generate significant support to the economic dynamism of the country. [ABSTRACT FROM AUTHOR]

Copyright of Informe Gepec is the property of Informe Gepec and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Northeastern University (Social Science) / Dongbei Daxue Xuebao (Shehui Kexue Ban) is the property of Dongbei Daxue and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Artificial neural network (ANN) approach, the application of artificial intelligence, which has been improved by the simulation of cognitive learning process of human brain, has been commonly used in recent years. In this study, the relationship between the exchange rate of US Dollar-Turkish Lira (USD/TRY), gold prices and the Borsa Istanbul (BIST) 100 index has been estimated by using the ANN method and the method of Vector Autoregressive (VAR). The ANN method has been applied by means of multi-layered feedforward neural networks (MLFNs) by using monthly data over the period of January, 2000 and September, 2014. VAR method has also been applied with the same variables for the same period of time. In this study, different from the studies conducted up to present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The results obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Our results indicate that the ANN approach has superior performance of prediction capability than the VAR method. [ABSTRACT FROM AUTHOR]

This paper presents VAR results on the recent economic history of the U.S. and focuses on the dependence of U.S. macrofinancial variables on international capital flows. Both gross and net flows are included in the analysis. The results indicate that cross-border funding has affected the build-up in the U.S. housing market irrespective of how these flows are defined and measured. Both the savings glut hypothesis and the banking glut hypothesis are supported by these findings. However, net banking flows appear to explain the higher volatility in the increase in house prices as well as the mortgage loan boom. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Northeastern University (Social Science) / Dongbei Daxue Xuebao (Shehui Kexue Ban) is the property of Dongbei Daxue and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Czech commodity market with wheat underwent significant changes since the beginning of the market economy. In 2004, opening of the EU market brought new business opportunities for Czech plant producers. As a result, nearly third of the country's wheat production is currently realized in foreign markets. This paper focuses on exploration of Granger causality relationships among average wheat price of human consumption quality; animal feed quality and the average price of wheat in the world market (source: World Bank). Monthly time series from July 1993 to August 2013 (T=242) were subjected to stationarity and cointegration tests. Due to nonexistence of equilibrium relationships, the multivariate data were analyzed by Vector Autoregressive (VAR) model in first differences. Separate VAR models were fitted in periods before EU entry and after to verify assumptions of differential short-term dynamic relationships between the prices, as a result of country's accession to EU. Further, orthogonal impulse-response function was prepared to quantify impact of innovation shocks in the source series upon the target series. Differences in relationships were found due to exposure of the Czech market to fluctuations in the world wheat price. [ABSTRACT FROM AUTHOR]

Czech commodity market with wheat underwent significant changes since the beginning of the market economy. In 2004, opening of the EU market brought new business opportunities for Czech plant producers. As a result, nearly third of the country's wheat production is currently realized in foreign markets. This paper focuses on exploration of Granger causality relationships among average wheat price of human consumption quality; animal feed quality and the average price of wheat in the world market (source: World Bank). Monthly time series from July 1993 to August 2013 (T=242) were subjected to stationarity and cointegration tests. Due to nonexistence of equilibrium relationships, the multivariate data were analyzed by Vector Autoregressive (VAR) model in first differences. Separate VAR models were fitted in periods before EU entry and after to verify assumptions of differential short-term dynamic relationships between the prices, as a result of country's accession to EU. Further, orthogonal impulse-response function was prepared to quantify impact of innovation shocks in the source series upon the target series. Differences in relationships were found due to exposure of the Czech market to fluctuations in the world wheat price. [ABSTRACT FROM AUTHOR]

The aim of this article is to verify the effect of the effective tax burden and the economic growth on government spending in OECD countries for time period 2005 - 2010. From the methodological point of view, we use VAR model and generalized method of moments. The taxation is approximated by the tax quota (TQ) and the World Tax Index (WTI) - an alternative designed by the authors of the article. Concerning the impact of the economic growth on the government spending we found out that results diverge from the economic theory and this can be attributed to the non-standard fiscal measures in response to the economic crisis. Concerning the impact of the taxation on the share of the government expenditure there exist the significant positive impact on the government spending in the case of use of the TQ. For the WTI, we found out that increasing effective taxation is reflected in declining government spending which can be attributed to legal tax evasion or the crowding out effect associated with declining tax revenues within the meaning of the Laffer curve. [ABSTRACT FROM AUTHOR]

The article presents a study which examined the relationship between petroleum price and the nominal U.S. dollar/Algenian dinar exchange rate. The study used the Vector Autoregressive Model (VAR) to empirically analyze the correlations of the exchange rate and petroleum prices. It reveals that exist no cointegration relationship in the exchange rate and petroleum price.