Search results for "Vector autoregression"
showing 5 items of 15 documents
A Novel Time Series Kernel for Sequences Generated by LTI Systems
2017
The recent introduction of Hankelets to describe time series relies on the assumption that the time series has been generated by a vector autoregressive model (VAR) of order p. The success of Hankelet-based time series representations prevalently in nearest neighbor classifiers poses questions about if and how this representation can be used in kernel machines without the usual adoption of mid-level representations (such as codebook-based representations). It is also of interest to investigate how this representation relates to probabilistic approaches for time series modeling, and which characteristics of the VAR model a Hankelet can capture. This paper aims at filling these gaps by: deriv…
The impact of economic and policy uncertainty shocks in Spain
2020
The purpose of this research is to quantify the impact of economic uncertainty shocks in Spain by using a structural vector autoregression (SVAR) approach with data from the first quarter of 2001 u...
Assessing the Commodity Market Price and Terms of Trade Exposures of Macroeconomy in Emerging and Developing Countries
2021
This paper provides novel evidence on commodity market exposure, i.e., the impacts of commodity price and terms of trade fluctuations on macro performance amongst 46 emerging and developing countries (EMDCs) in Africa, Asia and the Latin American and Caribbean (LAC) region. We estimate the exposure of six macroeconomic variables to the commodity prices and terms of trade. Our results indicate that in overall terms, there is a strong and statistically significant long-run relationship between the vector of analyzed world trade prices and macro variables in all EMDCs. However, based on the short-term reactions, only about 10% of the macroeconomic variation amongst the EMDCs is due to commodit…
Monetary policy and exchange rate dynamics in the Spanish economy
1999
As the Spanish economy gets more integrated in international markets, the real exchange rate becomes a key determinant of the monetary transmission. In this paper we trace out the dynamic response of prices, output and the exchange rate following a monetary policy shock. We estimate a structural VAR model whose identification scheme is based on the long run properties common to a large class of models. The results suggest that a small model with efficient asset markets plus nominal inertia and long run monetary neutrality, captures the essential features of the monetary transmission mechanism in Spain. The interest rate shock is well identified and the exchange rate overshoots its long run …
COVID-19 Infection Process in Italy and Spain: Are Data Talking? Evidence From ARMA and Vector Autoregression Models
2020
COVID-19 (coronavirus disease 2019) has spread successfully worldwide in a matter of weeks. After the example of China, all the affected countries are taking hard-confinement measures to control the infection and to gain some time to reduce the significant amount of cases that arrive at the hospital. Although the measures in China reduced the percentages of new cases, this is not seen in other countries that have taken similar measures, such as Italy and Spain. After the first weeks, the worry was whether or not the healthcare system would collapse rather than its response to the patient's needs who are infected and require hospitalization. Using China as a mirror of what could happen in ou…