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Analysis of multiple long run relations in panel data models with applications to financial ratio

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025

This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

Persistent link: https://www.econbiz.de/10015409539

Who Leads the Australian Interest Rates in the Short and Long Run? An Application of Long Run Structural Modelling

Masih, A. Mansur M.; Winduss, Trent - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 01, pp. 1-24

The focus of this paper is to test the cointegrating and Granger-causal relationships between Australian short-run interest rate securities and those of the UK, US, Japan, Hong Kong, Singapore and New Zealand. A relatively new methodology known as Long Run Structural Model (LRSM) (Pesaran and...

Persistent link: https://www.econbiz.de/10005047221

Debt and Equity Market Reaction to Employment Reports

Ghosh, Asim; Clayton, Ronnie - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 03, pp. 431-440

Several researchers have recently shown an interaction between macroeconomic variables and stock returns. Most of these studies have concentrated on interest rates and inflation. These and other variables, of course, have an influence on the debt markets as well. Other variables that can...

Persistent link: https://www.econbiz.de/10005047227

An Empirical Study on the Long-Run Determinants of Exchange Rate

Chiu, I-Ming - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 03, pp. 389-409

The behavior of exchange rates has been an important issue in the international finance literature. Although exchange rate is erratic and unpredictable in the short run, its long-run behavior is believed to be guided by economic fundamentals. This paper empirically tests the long-run...

Persistent link: https://www.econbiz.de/10005080742

Economic globalization and public debt in Sub-Saharan Africa

Bataka, Hodabalo - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1756-1771

Persistent link: https://www.econbiz.de/10014253445

Household debt and the rise of financial fragility in the Tunisian context

Abid, Lobna; Ouertani, Med Nejib; Zouari-Ghorbel, Sonia - In: International journal of economics and finance 8 (2016) 1, pp. 58-71

Persistent link: https://www.econbiz.de/10011422749

Are US real house prices stationary? : new evidence from univariate and panel data

Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011431067

Economic integration in the six Middle Eastern Gulf countries : a look from the perspective of money demand

Azar, Samih Antoine; Asrawi, Fadi; Gharzuddine, Emad - In: Journal of emerging market finance 16 (2017) 3, pp. 189-218

Persistent link: https://www.econbiz.de/10011925261

Purchasing power parity in ASEAN-5 countries : revisit with cross-sectional dependence and structural breaks

Munir, Qaiser; Kok Sook Ching; Hooi Hooi Lean; Teplova, … - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 233-249

Persistent link: https://www.econbiz.de/10011974592

Long-run linkages of ASEAN+3 floating currencies

Rufino, Cesar C. - In: DLSU business & economics review 27 (2017/2018) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011948552