The Econometrics of Oil Market VAR Models

Econometrics Lecture 9: Cointegration in VAR Models

Labour Market Analysis with VAR Models

*This paper is the result of work being undertaken as part of a collaborative research program entitled ‘Unemployment: Economic Analysis and Policy Modelling’. The project is generously supported by the Australian Research Council and the following collaborative partners: Commonwealth Department of Family and Community Services, Commonwealth Department of Employment, Workplace Relations and Sma...

Time-Varying Transmission Mechanism of Oil Shocks in the Global Crude oil Market: A TVP-VAR Approach

In this paper, we have utilized a time-varying parameter vector autoregressive model in order to examine the structural changes in the transmission mechanisms of oil price shocks in the global crude oil market over the period of 1985-2016. In this setting, the contemporaneous response of real oil price and crude oil production to flow oil supply shock, flow oil demand shock, and speculative dem...

“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...

The Econometrics of Gravity Models

Gravity type models have often been used to analyse trade flows between countries and trading blocs. Previously however, these models were only applied to either cross-section data, or to single country time-series data, which imposed severe explicit (or implicit) restrictions on the specification of the model. Recently Gravity models have been generalised and adapted to a panel data setting, w...