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Impact of Inflation, Dollar Exchange Rate and Interest Rate on Red Meat Production in Turkey： Vector Autoregressive （VAR） analysis

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Chinese Business Review 2015年第8期14卷 367-381页

作者： Senol Celik Bingol University Bingol Turkey

In this study, impact of inflation （WPI--Wholesale Price Index）, exchange rate, and interest rate on the production of red meat in Turkey was examined using the vector autoregressive （VAR） model. The model consisting of variables of dollar exchange rate, inflation rate, interest rate, beef, buffalo meat, mutton, and goat meat production amounts has been estimated for the period from 1981 to 2014. It has been detected that there is a tie among the dollar exchange rate, inflation rate, interest rate, and the amount of red meat production in Turkey. In order to determine the direction of this relation, Granger causality test was conducted. A one-way causal relation has been observed between： the goat meat production and dollar exchange rate; the buffalo meat production and the mutton production; and the beef production and the mutton production. To interpret VAR model, the impulse response function and variance decomposition analysis was used. As a result of variance decomposition, it has been detected that explanatory power of changes in the variance of dollar exchange rate, inflation rate, and interest rate in goat meat production amount is more than explanatory power of changes in the variances of mutton, beef, and buffalo meat variables.

关键词： vector autoregressive (VAR) model impulse response analysis variance decomposition unit root test causality red meat

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Vector Autoregressive （VAR） Modeling and Projection of DSE

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Chinese Business Review 2015年第6期14卷 273-289页

作者： Ahammad Hossain Md. Kamruzzaman Md. Ayub Ali Varendra University Rajshahi Bangladesh University of Rajshahi Rajshahi Bangladesh

In this paper, vector autoregressive （VAR） models have been recognized for the selected indicators of Dhaka stock exchange （DSE）. Bangladesh uses the micro economic variables, such as stock trade, invested stock capital, stock volume, current market value, and DSE general indexes which have the direct impact on DSE prices. The data were collected for the period from June 2004 to July 2013 as the basis on daily scale. But to get the maximum explorative information and reduction of volatility, the data have been transformed to the monthly scale. The outliers and extreme values of the study variables are detected through box and whisker plot. To detect the unit root property of the study variables, various unit root tests have been applied. The forecast performance of the different VAR models is compared to have the minimum residual. Moreover, the dynamics of this financial market is analyzed through Granger causality and impulse response analysis.

关键词： vector autoregressive (VAR) model impulse response analysis Granger causality

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OiL Prices, Economic Growth ,Price Level and Stock Price Index in a Structural Cointegrated VAR Model in China

OiL Prices, Economic Growth ,Price Level and Stock Price Ind...

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2010 3rd International Conference on Computer and Electrical Engineering(ICCEE 2010)

作者： Dong Sun School of Business and Administration North China Electric Power University

In this paper, we analyzed the relationship between the international crude oil prices and Chinese macro-economic variables using Granger Causality Test. We found that the cointegration relationship between the crude oil price and Chinese economic growth, and the quantitative analysis using VAR model and impulse response analysis. Finally, we recommended some suggestions and measures to cope with the international oil price shocks to our country.

关键词： Unit Root Test Johansen Cointegration test VAR model impulse response analysis

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The analysis on Dynamic Relationship between the Transport Infrastructure Scale and Economic Growth of “the New Silk Road” Economic Belt

The Analysis on Dynamic Relationship between the Transport I...

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第十一届全国经济管理院校工业技术学研究会

作者： Yuhong LIU 1,Xinan WANG 2 1 economic school,Xian University of Finance and Economics,Xian,China 2 business school,Xian University of Finance and Economics,,Xian,China

The thesis was concerned about the relationship between transportation infrastructure scale and economic growth,illustrated stationary test,the VAR model and impulse response analysis,Cointegration and Granger causality test on the relationship between the of transport infrastructure scale and economic growth of "The New Silk Road "economic belt from 1980 to 2010 by using dynamic econometric cointegration theory and *** results show that the transportation infrastructure scale and economic growth maintain long-term cointegration relationship;economic growth caused transport infrastructure scale expansion,transport infrastructure scale promoted economic growth.

关键词： the New Silk Road transport infrastructure scale VAR model economic growth impulse response analysis cointegration analysis

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