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Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384

Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...

Persistent link: https://www.econbiz.de/10009611541

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any...

Persistent link: https://www.econbiz.de/10009611544

Job Reallocation and Productivity Growth under Alternative Economic Systems and Policies: Evidence from the Soviet Transition

Brown, J. David; Earle, John S. - William Davidson Institute, University of Michigan - 2002

Soviet Republics of Russia and Ukraine. Exploiting annual manufacturing census data from 1985 to 2000, we find that Soviet … Russia displayed job flow behavior quite different from market economies, with very low rates of job reallocation that bore … reforming Russia than in “gradualist” Ukraine, as did the estimated effects of privatization and competitive pressures from …

Persistent link: https://www.econbiz.de/10005207903

BANKING REFORM IN RUSSIA: A WINDOW OF OPPORTUNITY?

Chowdhury, Abdur - William Davidson Institute, University of Michigan - 2003

Only a successful implementation of an overall reform program will enable Russian banks to provide financial intermediation and assist in the country's development from a nascent market economy to a mature financial system. The chances for reform are better now than at any time during the last...

Persistent link: https://www.econbiz.de/10005207904

Returns to Skills and the Speed of Reforms: Evidence from Central and Eastern Europe, China, and Russia

Fleisher, Belton M.; Peter, Klara Sabirianova; Wang, Xiaojun - William Davidson Institute, University of Michigan - 2004

a number of Central and Eastern European countries, Russia, and China. We use metadata from 33 studies of 10 transition …-time variation in rates of return as a function of the timing, speed, and volatility of reform processes as well as estimation … schooling. We report the systematic effects of sample characteristics, estimation methods, and model specifications on estimated …

Persistent link: https://www.econbiz.de/10005784595

CONTRACT VIOLATIONS, NEIGHBORHOOD EFFECTS, AND WAGE ARREARS IN RUSSIA

Earle, John S.; Peter, Klara Sabirianova - William Davidson Institute, University of Michigan - 2004

complementarity in the practice. The model is estimated on panel data for workers and firms in Russia, facilitating identification …

Persistent link: https://www.econbiz.de/10005784666