Scholars Discuss the Applications and Use of Econometric Models in Applied Research
The next in a series of open
research seminars was held at the National Bank of
Ukraine on 8 August 2017. The seminar was conducted by Dr. Inessa
Love, professor of economics at the University of Hawaii at Manoa
and an internationally renowned researcher, who has published papers in several
leading journals in economics, including the Journal of Financial Economics, the Journal of
Development Economics, the Economic Letters and other international
economic journals.
During the seminar, Dr. Inessa Love covered the applications and use of Panel
Vector Autoregressive (PVAR) models, highlighted their advantages and presented
a new package of PVAR programs for STATA, one of the most popular econometric
software (Estimation of panel vector autoregression in Stata). Dr. Inessa
Love also presented the results of her research conducted using PVAR models,
provided some examples to illustrate the applications of the PVAR package of
programs, explained the rationale behind the imposition of constraints and
highlighted the peculiarities of panel VAR model estimation in economic
research.
In particular, in the paper
entitled "Financial Development and Dynamic Investment Behavior:
Evidence from Panel VAR", by using orthogonalized
impulse-response functions the researchers were able to separate the
‘fundamental factors’ (such as marginal profitability of investment) from the
‘financial factors’ (such as availability of internal finance) that influence
the level of investment. The researchers find that the impact of financial
factors on investment, which indicates the severity of financing constraints,
is significantly larger in countries with less developed financial systems.
The
findings of the paper entitled “The
Impact of Funding Models and Foreign Bank Ownership on Bank Credit Growth: Is
Central and Eastern Europe different?” also aroused a keen interest among the seminar
participants. By using PVAR the researchers find that domestic private credit
growth is highly sensitive to cross-border funding shocks and this relationship
is significantly stronger in Central and Eastern Europe, a region with
considerably stronger foreign presence.
In her speech, Dr. Inessa Love also touched on the use of PVAR models to
investigate macro-financial linkages and assess the impact of macroeconomic
shocks on banks’ loan portfolio quality using her research paper entitled "Macro-Financial Linkages in Egypt: A Panel Analysis of
Economic Shocks and Loan Portfolio Quality”. The authors find that a positive shock to
capital inflows and growth in gross domestic product improves banks’ loan
portfolio quality. However, higher lending rates may adversely affect banks’
profitability, an
increase in provisioning levels, and
hence to a drop in portfolio quality.
The video of the seminar is available at the following link.
The proceedings of open research seminars can be found
at the following link.
We invite potential contributors to participate in the upcoming seminars
and present the findings of their research studies. To this end, please send your submissions
(CV, abstract, with an indication of a suitable date for the seminar to take
place. Please send your proposals to the Research Division of the Monetary
Policy and Economic Analysis Department for
consideration via e-mail to: research@bank.gov.ua
