List of Articles Autoregression

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  1 - Assessing the effect of macroeconomic shocks on systemic risk of the banking system using the SVAR model in Iran
  ali ostadhashemi seyed jalal sharif ali Souri
  In this study, we have used the total capital market index (TEDPIX) as an index of the real sector of the economy and the index of banks and credit financial institutions as an index that explains the developments of the banking system. Also, oil revenues, exchange rate More

  In this study, we have used the total capital market index (TEDPIX) as an index of the real sector of the economy and the index of banks and credit financial institutions as an index that explains the developments of the banking system. Also, oil revenues, exchange rate uncertainty, tax revenues, liquidity, nominal interest rates, inflation uncertainty and GDP have been used as macroeconomic variables in the research period (1370-1396). To estimate the systemic risk of the banking system, the quarterly data of the banks' index is used and the value at risk of the return of the seasonal data of the index is estimated using an exponential GARCH model. In order to model the interaction of macroeconomic variables and systemic risk of the banking system, an unrestricted vector autoregression (VAR) model was estimated and then using instantaneous impact functions and based on Chulsky analysis, systemic risk response to other variables was investigated and analyzed. In order to identify the channels of impact of economic shocks on the systemic risk of the banking system, based on the structures of the Iranian economy, a structural vector autoregression (SVAR) model was specified and then the instantaneous impact functions were extracted and the effect of macro variable shocks on the systemic risk of the banking system was investigated. Also, the effect of systemic risk of the banking system on macroeconomic variables was investigated and analyzed using instantaneous impact functions. Finally, the interaction model of macroeconomic variables and systemic risk of the banking system was approved using the vector autoregressive model. Manuscript profile
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  2 - Comparative Study of 5G Signal Attenuation Estimation Models
  Md Anoarul Islam Manabendra Maiti Judhajit Sanyal Quazi Md Alfred
  10.52547/jist.32544.11.42.84
  Wireless networks functioning on 4G and 5G technology offer a plethora of options to users in terms of connectivity and multimedia content. However, such networks are prone to severe signal attenuation and noise in a number of scenarios. Significant research in recent y More

  Wireless networks functioning on 4G and 5G technology offer a plethora of options to users in terms of connectivity and multimedia content. However, such networks are prone to severe signal attenuation and noise in a number of scenarios. Significant research in recent years has consequently focused on establishment of robust and accurate attenuation models to estimate channel noise and subsequent signal loss. The identified challenge therefore is to identify or develop accurate computationally inexpensive models implementable on available hardware for generation of estimates with low error and validate the solutions experimentally. The present work surveys some of the most relevant recent work in this domain, with added emphasis on rain attenuation models and machine learning based approaches, and offers a perspective on the establishment of a suitable dynamic signal attenuation model for high-speed wireless communication in outdoor as well as indoor environments, presenting the performance evaluation of an autoregression-based machine learning model. Multiple versions of the model are compared on the basis of root mean square error (RMSE) for different orders of regression polynomials to find the best-fit solution. The accuracy of the technique proposed in the paper is then compared in terms of RMSE to corresponding moderate and high complexity machine learning techniques implementing adaptive spline regression and artificial neural networks respectively. The proposed method is found to be quite accurate with low complexity, allowing the method to be practically applicable in multiple scenarios. Manuscript profile
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  3 - Monetary shocks and evaluation of real exchange rate overshooting in Iran
  Alameh  Ehsani Baei وحید  تقی نژاد عمران Maryam Khalili Asl
  Exchange rate fluctuations are very important in spreading and creating economic shocks. Knowing the effective factors in creating exchange rate instability is very important and can be a guide for economic policy makers. Monetary shocks have been one of the effective f More

  Exchange rate fluctuations are very important in spreading and creating economic shocks. Knowing the effective factors in creating exchange rate instability is very important and can be a guide for economic policy makers. Monetary shocks have been one of the effective factors in causing the exchange rate to jump. The main question in this article is to what extent monetary shocks cause overshooting of the exchange rate. Dornbusch model is used to identify structural shocks. For this purpose, the research model has been estimated using the structural vector autoregression (SVAR) technique and seasonal data during the years 1999-2017.The experimental results of the research indicate the positive and significant effect of monetary shocks on the real rate. Therefore, due to the fact that changes in the amount of money cause fluctuations in the exchange rate and the overshooting phenomenon in the exchange rate, it is suggested that the government refrain from creating monetary shocks and that follow the appropriate monetary rule is inspired by Friedman's monetary rule or Taylor's monetary rule based on the limitation of money growth to the extent of economic growth. Manuscript profile