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Articles ( Showing 1-20 of 6 items)
Searched for: [ Keywords: "VAR" ] clear all
Journal Article
Digital Currency and Financial Markets in Nigeria: Impact and Policy Implications
by Chioma Nwosu Peace , Bosha Ernest Oryiman  and  Abubakar Ibrahim Sani
Abstract
The rise of privately issued digital currencies, which primarily serve as alternative investment assets poses a challenge to the traditional financial instruments traded in the financial market. This study examines the dynamic relationship between the major privately issued digital currency (Bitcoin) and two financial market securities in Nigeria. The paper employed Vector Auto [...] Read more

Journal Article
Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach
by richard umeokwobi , Abayomi Awujola , Emeka Nkoro  and  Marvelous Aigbedion
Abstract
Excessive volatility in financial markets can disrupt economic activity, affect investor and consumer confidence, and potentially lead to financial crises in an economy. Due to this backdrop, this study examined the link between asset class volatility and the output gap in Nigeria. The asset classes were categorized into stock, crude, gold, and bitcoin. The study adopted the GA [...] Read more

Journal Article
Are Industry Returns Informative about Other Industries and Fundamentals?
by Nikiforos T. Laopodis
Abstract
This paper examines the information content of selected US industries focusing on the dynamic linkages among these industries, the stock market and a number of fundamental variables. The period of investigation spans from January 1960 to December 2021. The empirical strategy includes several methodologies such as regressions, vector autoregressions and volatility models. The id [...] Read more

Journal Article
An empirical investigation of the linkages between conventional and organic milk markets in Austria
by Panos Fousekis
Abstract
This work investigates the strength and the pattern of linkages among the three markets of qualitatively differentiated milk (i.e., conventional, organic without heymilk, and organic with heymilk) in Austria using the flexible TVP-VAR frequency connectedness approach and information on prices from 2018 to 2023. The main empirical findings are: (a) Taken together, the markets ha [...] Read more

Journal Article
COVID-19 and non-communicable diseases: GMM/IV Panel VAR evidence from US states
by Lotanna E. Emediegwu
Abstract
This paper estimates panel vector autoregressions to analyze the endogenous connection between COVID-19 and non-communicable diseases (NCDs). Using weekly, US state-level data, the study finds evidence of a significant positive effect of NCD-related mortality on deaths due to COVID-19. I find this effect to be higher for males than females. Results are robust to several sensiti [...] Read more

Journal Article
Dynamic Nonlinear Relationship between Digital Transformation, Green Transformation in Manufacturing Industry and Labor Structure: Evidence from Panel VAR Analysis
by Haiyong Jiang , Yinghui Han , Yue Wang  and  Zhenyu Chen
Abstract
The digital transformation of manufacturing industry can promote the development of green transformation and promote the differentiation of workers’ skill structure; On the other hand, it will also hinder the green development due to the huge energy consumption generated by the application of digital technology and facilities. In addition, the green transformation of manu [...] Read more