An empirical strategy for applying VAR model to the analysis of macroeconomic responses Online publication date: Wed, 26-Nov-2014
by Namkyu Park, Dongbin Jeong
International Journal of Innovation and Learning (IJIL), Vol. 9, No. 2, 2011
Abstract: The analysis of business cycle performed in this paper is based on the past 24 years' macroeconomic data in Korea. The three major economic variables – gross domestic product, consumer price index, and exchange rate – have been considered for the Korean business cycle analysis using vector autoregression (VAR) model. Some empirical strategies for the analysis are also suggested for the purpose of building an appropriate VAR model based on the real market and global economic areas. Using the VAR model, macroeconomic responses to the three variable shocks were investigated using the historical data in Korea.
Online publication date: Wed, 26-Nov-2014
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