Modeling Dependent Structure Among Micro-Economics Variables Through COPAR (1)-Model in Pakistan

Yousaf Ali Khan ()
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Yousaf Ali Khan: Jiangxi University of Finance and Economics

Journal of Quantitative Economics, 2022, vol. 20, issue 1, No 10, 257-279

Abstract: Abstract A great fluctuations in oil price due to COVID-19 has been observed worldwide. Expertise of complicated relationships among economic indicators has considerable significance for consumers, specialists and strategy producers the same. This exploration work is devoted to investigating the impact of oil price fluctuations due to corona virus pandemic on inflation rate, interest rate and industrial production during lock-down using recent monthly data of Pakistan economic system starting from 2008-01 to 2020-04. At analysis stage, we generally tend to contemplate a novel autoregressive model approach to model non-linear dependence structure amongst a couple of time series. Having gain from the flexibleness of R-vine copulas, the copula autoregression with efficiency investigates the have an impact on of one-time series onto some other: it really is, one-time arrangement normally plays a vital role. Through these qualities of the model, we tend to investigate fuel price effects on industrial production, expansion rate and interest rate in my homeland. One in every of the key finding of this analysis is that there’s a weak tail asymmetry, however some tail dependence, that COPAR-model with efficiency absorbs to account. Furthermore, the fashions monitor lagged reactions of interest rate and industrial production on adjustments in fuel prices inside Pakistan. The oil price result on the inflation rate; on the other hand, is quite rapid.

Keywords: Problem structuring; Copula autoregressive model; Dependence structure; Inflation rate; Industrial production; Multiple time series (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s40953-021-00284-6

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