| Title | Transmission of financial shocks across europe: a gvar approach / |
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| Translation of Title | Europos šalių finansinių šokų tarpusavio poveikis: GVAR metodas. |
| Authors | Gudauskaitė, Laura |
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| Pages | 31 |
| Keywords [eng] | GVAR, Europa, Baltijos, Šiaurės, finansiniai įsipareigojimai, VECMX, sasajų matrica, globali sistema, impulsai, generalizuoti atsakai. |
| Abstract [eng] | This thesis analyzes the impact of financial shocks across European countries using the GVAR approach. The possible effects of the mutual financial system between the Baltic and Nordic countries are analyzed in more detail. The use of financial liabilities data to analyze the financial links between countries and to use these results bringing countries together into a common framework for studying impulse responses to macroeconomic and financial variables. Financial liabilities data is used as a link matrix. For each country, a model with internal and external variables is evaluated, whereby the external variables are weighted by the link matrix. The results of combining and estimating individual models into a common system have shown that greater financial liabilities afect responses size. The variables for the countries more financially realited to Nordic countries are more responsive to Nordic shocks. |
| Dissertation Institution | Vilniaus universitetas. |
| Type | Master thesis |
| Language | English |
| Publication date | 2020 |