Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR

Abstract

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The effects of ageing population on health expenditure and economic growth in China: A Bayesian-VAR approach

“…These problems are particularly relevant in our context, where, due to the lack of data, we can perform our analysis only on a short period of time . One of the advantages of the B-VAR approach is to overcome the problems associated with overfitting and the poor forecasting performance introduced by the VAR methodology when the dataset is short, the sample information is weak or the number of the parameters is large (Litterman 1981(Litterman , 1986Sims 1982;Doan et al 1984;Stock and Watson 2001;Canova 2007;Banbura et al 2010;Auer 2014;Kanngiesser et al 2019).…”

Monetary policy, crisis and capital centralization in corporate ownership and control networks: A B-Var analysis

“…In recent years, Bayesian techniques applied to VAR models (B-VAR models) have been introduced in several fields -especially macroeconomics and finance -providing valid solutions to VAR deficiencies (Litterman 1981(Litterman , 1986Sims 1982;Doan et al 1984;Stock and Watson 2001;Canova 2007;Banbura et al 2010;Auer 2014).…”

Cointegration analysis and VECM of FDI, employment, export and GDP in Croatia (2002-2017) with particular reference to the global crisis and poor macroeconomic governance

“…We test for a deterministic trend or stochastic using the Extended Dickey-Fuller (ADF) test (Fuller, 1996), (Auer, 2019). ADF (augmented Dickey-Fuller) test tests on specification:…”

“…Since FDI is mainly service-oriented, therefore, the impact of FDI on exports is negative. The research of economies of the United States and Canada that include foreign investment income flows show that monetary policy shocks have a statistically and economically significant impact on both gross and net foreign investment income flows (Auer, 2019).…”