Results Of Impulse Response Analysis Research Articles

Modeling a bi-directional sentiment-return relationship: Evidence from the Indian market

In the last two decades, the subject of investor sentiment has attracted the attention of researchers across the globe. This study attempts to examine the bi-directional relationship between investor sentiment and stock market returns in the Indian market by focusing on both contemporaneous and lagged relationships between investor sentiment and market returns. It also attempts to study the effect of lagged market returns on the current market returns. This study constructs an investor sentiment index for the Indian market using the principal component analysis technique. The results of the regression analysis between the investor sentiment index and stock market returns establish that current sentiment positively affects current market returns, and one-month lagged sentiment negatively affects current market returns. Further, it is found that a one-month lagged market return has a positive association with the current market returns. Moreover, using the VAR model, this study found the existence of a contemporaneous and lagged bidirectional relationship between investor sentiment and market returns. The results of impulse response analysis and variance decomposition analysis also support the presence of a sentiment-return bidirectional relationship but show that the effect of sentiment on market returns is more pronounced than the effect of market returns on investor sentiment.

Dynamic Causal Relationships among Import Price, Import Quantity, and Ocean Freight Rate Index in the Chemical Pulp Market

This study investigates the dynamic causal relationships among import price, import quantity, and ocean freight rate index in the chemical pulp market. The Johansen cointegration test was applied to determine the cointegration among the three time series variables in this study, demonstrating their long run equilibrium relationship. Results of the vector error correction model (VECM) indicated that the pulp import quantity has an error correction mechanism that leads to convergence toward the long run equilibrium level or steady state. Furthermore, the Granger causality test results revealed a unidirectional causal relationship between the ocean freight rate index and quantity of wood pulp imported, implying that ocean freight rates influence the quantity of wood pulp imported. Moreover, the results of impulse response analysis revealed that an increase in ocean freight rate index shock has a notably negative impact on pulp import quantity, leading to the general decrease in import quantity in both the short and long run.

Risk aversion, uncertainty, and monetary policy: Structural vector autoregressions identified with high-frequency external instruments

This study uses structural vector autoregression models to examine the monetary policy (MP) effects on risk aversion, uncertainty, and inflation. MP shocks are identified with high-frequency external instruments, rather than Cholesky decomposition. The instruments include asset price changes in the 30-minute window around FOMC announcements and their decomposition into three orthogonal factors. The impulse-response analysis results are consistent with the standard MP effects theory, unlike with the Cholesky decomposition method.

The impact of urban compactness on urban sustainable development in China: The case of Nanjing

AbstractHow China's city development takes the course of urban sprawl or urban compactness depends on how urban compactness affects urban sustainable development. Using the vector autoregression (VAR) model, this paper estimates the impact of urban compactness on the urban sustainable development of Nanjing in China during 2005–2015. The results of impulse response analysis show that the responses of social development levels continue to decline after shocks from population compactness and ecological environment coordination, the responses of economic development levels following shocks from public service and ecological environment coordination continue to increase at different speeds, and the responses of ecological environment level keep a slight upward trend following shocks from economic compactness. Moreover, the variance decomposition results demonstrate that most of social development is explained by its own shock, the economic development explained its largest variations, and the contribution from the ecological environment compactness first increases and then decreases.

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

Ülke Risk Primi Şokunun Bankacılık Sisteminin Sağlamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği

Turkiye ekonomisi icin Ocak 2004-Haziran 2015 donemini kapsayan bu calismada, yapisal vektor otoregresyon (SVAR) modeli kullanilarak, ulke risk primi soklarinin bankacilik sisteminin saglamligi uzerindeki etkileri incelenmektir. Etki-tepki analizinin sonuclarina gore ulke risk primindeki bir standart sapma yapisal sok karsisinda (i) Turk Lirasi (TL) deger kaybetmekte, finansal hisse senedi fiyatlari dusmekte, bankalar arasi para piyasasi gecelik faiz orani yukselmekte, bankacilik saglamlik endeksi (BSI) dusmekte ve sonucta kredi mevduat faiz farki yukselmektedir. Ancak, (ii) kredi-mevduat faiz farki ulke risk primi sokuna diger degiskenlerden daha uzun sure tepki vermektedir. Bu bulgu bankacilik sektorunun bilânco yapisinin ulke risk primi soku karsisinda guclu oldugunu ve bankacilik sektorunun sokun olumsuz etkilerini artan kredi-mevduat faiz farki araciligiyla reel ekonomiye yansittigini ortaya koymaktadir. Etki-tepki analizinin sonuclari varyans ayristirmasi bulgulari tarafindan desteklemektedir.

Panel Data Analysis of Monetary Transmission Mechanism for European Union Countries

Monetary transmission mechanism is the mechanism which shows in what ways and what extent interaction between the real economy-monetary policy, impacts aggregate demand and production. While transmission channels or mechanisms traditionally classified they divided into three categories; interest rates, Exchange rates and other asset prices.In this study to test the existence of the European debt crisis by the monetary transmission mechanism, 15 members of European Union country by using annual (2002-2014) data set were included into study. We use panel unit root tests to analyze whether the variables in the model are stationary or not. For the countries included in the study, panel causality tests developed by Granger is applied. Panel Vector Autoregressive Model has been estimated and results of Impulse-Response Analysis and Variance Decomposition have been interpreted.

Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia

In this paper, we investigate long and short-term impact of changes in oil prices and the exchange rate on prices of seven groups of agricultural products in Russia (buckwheat, grain crops, potatoes, oat, wheat, rye, barley). In this paper, Granger causality approach is applied to test long-run interlinkages with monthly data from January 1999 to October 2015. For testing the response of agricultural prices to sudden shocks in oil prices and exchange rate in the short run, we use impulse-response techniques. The results of impulse response analysis show that agricultural prices are not particularly sensitive to changes in oil prices and the exchange rate of Russian ruble in the short term, except for imported commodities. In the long run, Granger causal relationship between agricultural prices and oil prices is missing, and with exchange rate is observed only in case of imported agricultural goods.

Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia

In this paper, we investigate long and short-term impact of changes in oil prices and the exchange rate on prices of seven groups of agricultural products in Russia (buckwheat, grain crops, potatoes, oat, wheat, rye, barley). In this paper, Granger causality approach is applied to test long-run interlinkages with monthly data from January 1999 to October 2015. For testing the response of agricultural prices to sudden shocks in oil prices and exchange rate in the short run, we use impulse-response techniques. The results of impulse response analysis show that agricultural prices are not particularly sensitive to changes in oil prices and the exchange rate of Russian ruble in the short term, except for imported commodities. In the long run, Granger causal relationship between agricultural prices and oil prices is missing, and with exchange rate is observed only in case of imported agricultural goods.

DOES THE SRI STOCK INDEX RETURN CO-MOVEMENTS: EVIDENCE OF THE FTSE STOCK MARKETS

This paper investigates the long-run equilibrium relationship among the FTSE SRI stock index return markets by using the Johansen cointegrtion and VECM model. The empirical results indicated that there is a long-run cointegration relationship among them and the coefficient of the speed of adjustment in FTSE stock index return is negative significant. The show that these stock index return markets are significantly adjusted to disequilibrium from the long-run relationship. According to the variance decomposition analysis, the empirical results stated that the FTSE4 Good index exhibit the significant explanation power to other markets. Next, the empirical results of impulse response analysis display that uni- and bi-directional causality between FTSE stock index return markets. Finally, according to above results, the FTSE stock index return markets can quickly respond to the information from others which show that markets are efficiency. Therefore, investors should respond to the information from others when they are making investment. The efficiency market hypothesis is supported by this analysis.

VAR Analysis on Mutual Relationship between Stock Price Index and Exchange Rate and the Role of World Oil Price and World Gold Price

This study aims to analyze the influence of world oil price and world gold price on mutual relations between exchange rate and stock price index. This study uses monthly data of exchange rate (IDR/US$) and JCI from January 2000 to January 2013. Co integration test was used in analyzing long-term relationships between variables. VAR model was used in determining whether world oil prices and world gold price affect the exchange rate and stock index, and analyze the interrelationships between exchange rate and stock price index. Impulse Response Analysis is used to determine the response of exchange rate and the stock price index on world oil price shocks and world gold price shocks. Analysis of Variance Decomposition is used to determine the role of world oil prices and world gold prices in explaining the movement of exchange rate and JCI. Co integration analysis results show that all the variables, ie, world oil prices, gold prices, exchange rates and JCI have long run co integration. The analysis showed that the world oil price has significant effect on the exchange rate but has no effect on JCI; the world gold price has no effect on exchange rate and JCI; exchange rate has significant effect on JCI and vice versa. Granger causality test showed that JCI and exchange rate have bidirectional relationship. Impulse Response Analysis results indicate that the world oil price shocks responded negatively by exchange rate; shocks in world gold prices responded negatively by JCI and exchange rate; exchange rate changes responded positively by JCI, and JCI changes responded positively by exchange rate.

Causal relationship between macroeconomic variables and stock index in emerging economies: An empirical application for Turkey

In this study, causal relationships between Istanbul Stock Exchange (ISE) stock prices, dollar rate, consumer price index, interest rates and industrial production were investigated. In this context, in the period January 2005 to July 2011, monthly data were analyzed by using Johansen-Juselius Co-integration test, vector error correction model (VECM) and the impulse-response analysis. As a result of the research, there is no long-run relationship between ISE stock prices and macroeconomic variables such as interest rates, exchange rate and consumer price index. It has been proven that the existence of long-run relationship is only between ISE and industrial production. According to the results of the error correction model, a unidirectional causality from stock prices to industrial production has been proven. Impulse-response analysis results and error correction model results are in the same direction. Key words: Istanbul stock exchange, causal relationship, vector error correction model, impulse-response analysis.

Generalized Autoregressive Conditional Heteroskedastic Model for Water Quality Analyses and Time Series Investigation in Reservoir Watersheds

A vector time series is coupled with both the Generalized Autoregressive Conditional Heteroskedastic (GARCH) model and an impact response analyses of the multiple time series Vector Autoregressive Moving Average (VARMA) model in this research to investigate the time series variation of organic pollution factors. The analyses target three organic pollution factors, that is, dissolved oxygen (DO), biochemical oxygen demand (BOD), and ammonia nitrogen (NH3-N), for understanding their time series influence pattern and responses among the various water quality parameters. After model matching of the many vectors, the optimal matching model combination, VARMA(1,0,1)–GARCH(1,1), was selected for depicting the time series dependence of the selected pollutant factors. Results of impulse response analyses reveal that BOD responds immediately to changes of current DO and that the consumption of DO is not obvious during the initial stage of NH3-N decomposition. During the one time lag period, NH3-N is further oxidized into nitrite and nitrate to cause obvious increase of DO consumption. In this article, the statistical technology is used to develop the VARMA–GARCH integration model for simulating and predicting the water quality using data collected in the watershed of northern Taiwan. Therefore, the internal mechanism and the significance represented by the process of constructing the model can be expanded. The model proposed in this research will allow the user to grasp the instantaneous changes of the time series water quality in the watershed. Results will provide valuable references for the water quality authority to implement timely and effective water management measures in response to changes of water quality.

Financial development shocks and contemporaneous feedback effect on key macroeconomic indicators: A post Keynesian time series analysis

In this paper we take into account the role of the banking system, credit and stock market in stimulating aggregate demand in post Keynesian tradition. According to the results of impulse response analysis; it appears all three financial development indicators contributed as expected in improving macroeconomic performance of South Korean economy. Stock market capitalisation and domestic credit availability are strongly responsible for stimulation of investment, saving and productivity Growth in Hong Kong. The UK financial system seems vulnerable to future shocks, whether by shocks in the credit markets or stock markets.

Relationship Between Demand-supply in the Housing Market and Unsold New Housing Stocks

The phenomenon of unsold new housing stocks is an important indicator in the housing market system; it is directly related to the profitability of the construction business and appears as a result of an imbalance in the demand and supply of houses. Changes in demand-supply because of various factors are another phenomenon that occurs in the housing market. It is considered that these changes in demand-supply are closely related to the unsold new housing stocks. Therefore, we analyze the relationship between demand-supply in the housing market and unsold new housing stocks using the vector error correction model. We used data from Seoul as the spatial scope of this study, and the temporal scope of time series data ranged from July 2001 to July 2009. To obtain the time series data, databases of the Ministry of Land, Transport and Marine Affairs, Statistics Korea, CERIK, and Kookmin Bank were utilized. The results of variance decomposition analyses indicated that for changes in unsold new housing stocks, the explanatory powers of housing selling price indexes and housing loans were high while the explanatory powers of production factors were relatively low. Based on the results of impulse response analyses, the quantity of unsold new housing stocks showed larger changes in response to the impulses of housing prices and housing loans than to the impulse of production factors. Also, it was indicated that, among the production factors, unsold new housing stocks showed a pattern of continued change in relation to the financing status of suppliers while showing impromptu responses to the impulses of the material or manpower situation but no continued change.