economicpolicyuncertainty;MI-TVP-SV-VARmodel V 目录 目录 第一章绪论1 1.1研究背景及意义1 1.1.1研究背景1 1.1.2研究意义3 1.2文献综述3 1.2.1汇率预期测度研究4 1.2.2经济不确定性指数构建研究5 1.2.3汇率预期不确定性指数构建研究7 1.3相关研究评述8 1.4研究内容与方法11 1.4.1研究思路11 1.4.2研究内容...
arametersVARmodelunderBaesianestimationframework this aeranalzestheinteriorconnection p y pp y ’ betweenthetworices.TheresultsshowthattheChinasricericeismainl influencedb exchanerate p p y y g , , fluctuationsanditselfof2and6lahase however theinfluencefrominternationalrice ricehasket gp p p , ’...
theoreticalpart,thispaperconstructsasixvariableTVP-SV-VARmodelofUS CPI,SinoUSinterestmargin,SinoUSexchangerate,UStradebalance,USdebt andShanghaiStockExchangeIndex.UsingthemonthlydatafromJanuary2007 toDecember2021,thispaperusesempiricalmethodstoexplorethetime-varying characteristicsofthespillovereffectofUSmonetarypolic...
The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models閳 mpulse response functions indicate that the impacts from external shocks...
stochastic volatility (TVP-VAR-SV model) that can better capture the structural changes of variables to empirically analyze the non-linear relationship between the RMB exchange market pressure and and the key indicators of monetary policy represented by four variables: China's GDP growth rate, domest...
有随机波动的时变参数模型 Time-VaryingParameterVARModelwithStochasticVolatility, TVP-SV-VAR)研究股市泡沫对货币政策的响应国内现有文献仅局限于对常参数的考察 如固定参 数向量自回归VAR模型)然而,利率冲击对股市泡沫的影响是一个复杂的动态过程由于不能体现 时变特征,常参数模型的解释能力受到很大限制TVP-SV-VAR模...
Time-varying supply response of feeding sows based on the TVP-VAR-SV model 引用 收藏 分享 摘要 探求能繁母猪供给波动的原因对实现生猪稳定保供的政策目标具有重大意义。为此,本文构建能繁母猪供给反应模型,应用TVP-VAR-SV方法研究能繁母猪供给反应的时变特征。实证结果表明:短期生猪和猪仔价格(活鸡价格)冲击对...
Time - Varying Parameter VAR Model with Stochastic Volatility An Overview of Methodology and Empirical Ap [] , , ():plications J . Monetary and Economic Studies 2011 29 1 107 - 142. [ ] , , : []30 Segal G Shaliastovich I Yaron A. Good and Bad Uncertainty Macroeconomic and ...
基金 国家社会科学基金一般项目“异质主体视角下宏观审慎政策引导汇率预期的机理及效应研究”(22BJY247)资助。 关键词 汇率预期 外汇宏观审慎工具 人民币汇率 TVP-SV-VAR模型 Exchange Rate Expectations FX-Related Macroprudential Tools RMB Exchange Rate TVP-SV-VAR Model 分类号 F821 [经济管理—财政学] 登录...
analysis, while the TVP-SV-VAR model analyzes the time-varying characteristics of random volatility of the main variables of the model and the time-varying characteristics of impulse response at different lead times and at different time points. ...