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

Pass-through Effect Analysis Using Vector Autoregression (VAR) with Exogenous Variables | Chapter 8 | 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

  

The Study on Economic Factors Influencing Malaysian Household Debt | Chapter 7 | Modern Perspectives in Economics, Business and Management Vol. 7

 Malaysian households are increasingly in debt, which is seen as one of the effects of the country's shaky economy. As a result, the researchers were motivated to investigate the various lending possibilities offered to consumers. The goals of this study are to investigate the relationship between macroeconomic drivers or variables and family debt in Malaysia, as well as to establish which element is the most relevant. The study examined annual secondary data from trustworthy sources such as Databank, Knoema, Bloomberg, and Bank Negara Malaysia from 1984 to 2018. The three macroeconomic factors considered were Gross Domestic Product (GDP), Unemployment Rate (UN-EM), and Inflation Rate (INF). Descriptive analysis, Augmented Dickey Fully (ADF) and Philips-Perron (PP) Unit Root Tests, Normality Tests, and Regression Analysis are used to study the relationship between macroeconomic factors and household debt. According to the findings of the multiple regression model test, all three variables, namely GDP, UN-EM, and INF, exhibit positive correlations with household debt. The most prominent was the UN-EM, which was followed by the GDP.

The rise of these independent variables, according to the data, influences the rise in household debt. Only the GDP and the UN-EM have been demonstrated to be significant influences, whereas the INF has been determined to be insignificant. The findings of this study indicated that households use debt to pay greater spending as a substitute for income as a result of rising living costs. According to the facts, the country's debt is tremendous, and the country is in serious trouble. Future researchers should experiment with different data architectures, perform additional study, and integrate new macroeconomic factors, as a recommendation.



Author (S) Details


Ms. Suhana Mohamed
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Johor Branch, Pasir Gudang Campus, Malaysia.


Mrs. Siti Sara Mohamadon
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Johor Branch, Pasir Gudang Campus, Malaysia.



Mr. Mohamad Azwan Md Isa
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Johor Branch, Segamat Campus, Malaysia.



Mr. Wan Muhd Faez Wan Ibrahim
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Sarawak Branch, Malaysia.



Mr. Ferri Nasrul
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Johor Branch, Segamat Campus, Malaysia.


Ms. Siti Salwa Hassan
Department of Finance, Faculty of Business and Management, Universiti Teknologi MARA, Sarawak Branch, Malaysia.


View Book :- https://stm.bookpi.org/MPEBM-V7/article/view/3623