کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7364458 | 1479104 | 2016 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach
ترجمه فارسی عنوان
تست تأثیر نامتقارن شرایط مالی در آفریقای جنوبی: یک روش تصحیح خودکار بردار غیر خطی
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables to test whether the South African economy responds in a nonlinear and asymmetric way to unexpected changes in financial conditions. To this end, we make use of a nonlinear logistic smooth transition vector autoregressive model (LSTVAR), which allows for a smooth evolution of the economy, governed by a chosen switching variable between periods of high and low financial volatility. We find that the South African economy responds nonlinearly to financial shocks, and that manufacturing output growth and Treasury Bill rates are more affected by financial shocks during upswings. Inflation responds significantly more to financial changes during recessions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 43, July 2016, Pages 30-43
Journal: Journal of International Financial Markets, Institutions and Money - Volume 43, July 2016, Pages 30-43
نویسندگان
Mehmet Balcilar, Kirsten Thompson, Rangan Gupta, Reneé van Eyden,