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 c...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.展开更多
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 consist...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.展开更多
文摘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.
文摘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.
