... in the FCI by means of a VAR model with impulse response functions (IRFs) and the ARDL model. We also build (the results are in Appendix A2) an FCI by employing a FAVAR. As a result, we obtain three FCIs which capture different features of the monetary and financial cycle. Apart from building...

... complaints Quality competition VAR model Firms compete with one another in many ways. After price, product quality is arguably the most important aspect of competition. This is especially true in oligopolistic industries where competition is characterized by strategic interaction between firms...

... Causality VAR model Stability Endogenous lag ARCH Leverages Bootstrap Economic stability Finance Tests for causality in Granger's (1969) sense are increasingly conducted in applied research when time series data are used. This is especially the case for empirical studies in economics...