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In this study, a vector autoregression model with time-varying parameters is considered. The time varying parameter VAR model with stochastic volatility enables us to capture possible changes in underlying structure of the economy in a flexible and robust manner. The Markov chain Monte Carlo method is employed for the estimation. As an empirical application, the time varying parameter VAR model with stochastic volatility is estimated using the transformed data of oil price, stock index and seven different versions of exchange rates in Kazakhstan Tinge with significant structural changes in the dynamic relationship between the macroeconomic variables. The findings are in order. One is that the Kazakhstan economy shows significantly different macroeconomic performance, thus implying the possibility of important structural changes in the economy over time. The other one is that the time-varying impulse responses show remarkable changes in the relations between the macroeconomic variables compared with those estimated by a constant parameter VAR.
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참고문헌 (38)
참고문헌 신청
Akram, Q. F. / 2009 / Commodity Prices, Interest Rates and the Dollar / Energy Economics 31:838~851
Bello, Z. / 2013 / The Association between Exchange Rates and Stock Returns / Investment Management and Financial Innovation 10(3):40~45
Bierens, H. J. / 1993 / Testing Stationarity and Trend Stationarity against the Unit Root Hypothesis / Econometric Reviews 12(1):1~32
Bloomberg, S. B. / 1995 / The Commodity-consumer Price Connection: Fact or Fable? / Economic Policy Review 10:21~38
Breitung, J. / 2002 / Nonparametric Tests for Unit Roots and Cointegration / Journal of Econometrics 108:343~363
Bello, Z. / 2013 / The Association between Exchange Rates and Stock Returns / Investment Management and Financial Innovation 10(3):40~45
Bierens, H. J. / 1993 / Testing Stationarity and Trend Stationarity against the Unit Root Hypothesis / Econometric Reviews 12(1):1~32
Bloomberg, S. B. / 1995 / The Commodity-consumer Price Connection: Fact or Fable? / Economic Policy Review 10:21~38
Breitung, J. / 2002 / Nonparametric Tests for Unit Roots and Cointegration / Journal of Econometrics 108:343~363
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