Pass-through Effect Analysis Using Vector Autoregression (VAR) with Exogenous Variables | Chapter 7 | Research Updates in Mathematics and Computer Science Vol. 7

 

This chapter presents a VAR analysis framework for pass-through effects emanating from macroeconomic shocks. The framework involves two critical steps. The first step involves estimating a VAR model parameter that helps in establishing the causal link among the variables. The estimated VAR model is utilized in structural analysis to determine the behavior of a variable in response to a shock given the causal link. In the structural analysis step; Granger causality, impulse response function and forecast error variance decomposition are considered. The framework is applied to analyze exchange rate pass-through in Kenya.

 

Author(s) Details

John K. Njenga

Department of Mathematics, University of Nairobi, P.O Box 13187 - 00200 Nairobi, Kenya.

 

 

Please see the book here:- https://doi.org/10.9734/bpi/rumcs/v7/12113F