.../approach The authors derive a reduced form of a macro model and set up a Panel VAR model to estimate the direct and indirect impacts of oil price shocks on economic growth. The sample includes data on macroeconomic variables from 30 oil-exporting and oil-importing countries that comprise more than 73...

... part estimates the vector auto-regression model (VAR) to assess the inter-dependence of the economies. VAR model allows further to inspect the impulse response functions that shows the shock dynamics from one country to another. In order to verify if a shock from one of the economies is important...

...Emmanuel Mamatzakis; Mike G. Tsionas; Steven Ongena Purpose In this paper, the authors investigate whether coronavirus disease 2019 (COVID-19) impacts household finances, like household debt repayments in the UK. Design/methodology/approach This paper employs a vector autoregressive (VAR...

...-corporate business (NCBs). Loan puzzle Households Corporate business Non-corporate business VAR Bayesian estimation C11 E44 E51 G20 G21 The response of loans to monetary interventions exhibits a puzzling result in empirical research works: loans to corporations...

...-series models VAR Co-integration Research and development Interestingly, studies that account for the loss of the UK’s innovative influence in the world are virtually nil. The present study constitutes a first attempt. Therefore, the aim of this study is to contribute to the debate about...

... in Canada. This study uses the most recently revised GDP data arising from the 2012 Historical Revision of the Canadian System of National Accounts. The econometric methodology involves the standard vector autoregression (VAR) model to which the authors introduce non-linear dynamics through a term...

... Oil price shock Stock markets VAR Impulse response Nigeria Oil industry Sadorsky (1999) investigated the dynamic interaction between oil price and other economic variables including stock returns using an unrestricted vector auto‐regression (VAR) with US data. The study found that oil...