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Stock Markets, Banks and Long Run Economics Growth: A Panel Cointegration-Based Analysis

Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz - CESifo - 2013

the direction of potential causality between financial and economic development. Our results conclude to the existence of … a single cointegrating vector between financial development and growth and of causality going from financial development … to economic growth. We find little evidence of reverse causation as well as bi-directional causality. We interpret this …

Persistent link: https://www.econbiz.de/10010723543

Energy Consumption and Economic Growth Revisited in African Countries

Eggoh, Jude C.; Bangaké, Chrysost; Rault, Christophe - CESifo - 2011

growth for 21 African countries over the period from 1970 to 2006, using recently developed panel cointegration and causality …

Persistent link: https://www.econbiz.de/10009320785

On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables

Pagan, Adrian; Pesaran, M. Hashem - CESifo - 2007

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

Persistent link: https://www.econbiz.de/10005094156

MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy

Bühn, Andreas; Schneider, Friedrich - CESifo - 2008

The analysis of economic loss attributed to the shadow economy has attracted much attention in recent years by both academics and policy makers. Often, multiple indicators multiple causes (MIMIC) models are applied to time series data estimating the size and development of the shadow economy for...

Persistent link: https://www.econbiz.de/10005406427

Testing Uncovered Interest Rate Parity Using LIBOR

Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - CESifo - 2012

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...

Persistent link: https://www.econbiz.de/10010552442

Short and Long-run Behaviour of Long-term Sovereign Bond Yields

Afonso, António; Rault, Christophe - CESifo - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...

Persistent link: https://www.econbiz.de/10008727299

Budgetary and External Imbalances Relationship: A Panel Data Diagnostic

Afonso, António; Rault, Christophe - CESifo - 2009

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the...

Persistent link: https://www.econbiz.de/10005765818

Unit Roots and Cointegration in Panels

Breitung, Joerg; Pesaran, M. Hashem - CESifo - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

Persistent link: https://www.econbiz.de/10005766004

Long-run Determinants of Sovereign Yields

Afonso, António; Rault, Christophe - CESifo - 2010

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10008498994

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics

Caporale, Guglielmo Maria; Cerrato, Mario - CESifo - 2006

This paper presents further empirical evidence on the relationship between black market and official exchange rates in six emerging economies (Iran, India, Indonesia, Korea, Pakistan, and Thailand). First, it applies both time series techniques and heterogeneous panel methods to test for the...

Persistent link: https://www.econbiz.de/10005405731