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Dynamics of inflationary processes in Malawi

Simwaka, Kisu - EconWPA - 2004

variables. A model of inflation is estimated as a co-integrating vector that spans nominal exchange rate and domestic output. In … the second stage, a model of inflation is estimated with first differences of the non-stationary variables, a level … variable and the co-integrating vector. Results indicate that inflation in Malawi is a result of both real and monetary shocks …

Persistent link: https://www.econbiz.de/10005561185

Inflationary Dynamics and the Angell-Johnson Proposals

Jr, Thomas M Fullerton; Hirth, Richard A; Smith, Mark B - EconWPA - 2004

The links between commodity prices, interst rates, wages, and the exchange rate of the U.S. dollar with consumer prices is investigated. An ARIMA transfer function methodology is employed. Sample data are from January 1972 to December 1988. Although model diagnsotics are relatively good,...

Persistent link: https://www.econbiz.de/10005076818

What’s the Beef with House Prices? Economic Shocks and Local Housing Markets

Grimes, Arthur; Aitken, Andrew - EconWPA - 2005

We examine the impact of shocks on community outcomes. The shocks that we examine are exogenous economic shocks which occur externally to the local community, and which are hypothesised to impact on the community. By testing the impact of these shocks on community developments, we enrich...

Persistent link: https://www.econbiz.de/10005062526

THE TERMS OF TRADE FOR COMMODITIES IN THE TWENTIETH CENTURY

Ocampo, Jose Antonio; Parra, Maria Angela - EconWPA - 2004

This paper looks at the evolution of the terms of trade between commodities and manufactures in the twentieth century. A statistical analysis of the relative price series for 24 commodities and of eight indices reveals a significant deterioration in their barter terms of trade over the course of...

Persistent link: https://www.econbiz.de/10005119305

Commodity Price Volatility Across Exchange Rate Regimes

Cuddington, John T.; Liang, Hong - EconWPA - 1998

This paper documents a new "stylized fact" regarding commodity prices using alternative datasets covering the period from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the manufacturing unit value index, is higher under flexible-exchange...

Persistent link: https://www.econbiz.de/10005119448

Equity Returns and Inflation: The Puzzlingly Long Lags

Lothian, James R.; McCarthy, Cornelia H.. - EconWPA - 2001

equities fail the test as inflation hedges, as had been quite widely believed, but that they take so long to pass. …

Persistent link: https://www.econbiz.de/10005124935

Integration or Segmentation of Malaysian Equity Market: An Analysis of Pre- and Post- Capital Controls

Ibrahim, Mansor H. - EconWPA - 2004

The paper implements time series techniques of cointegration and vector autoregression (VAR) to assess the integration or segmentation of Malaysian equity market prior to the Asian crisis and after the imposition of capital controls. We consider both regional and international financial forces...

Persistent link: https://www.econbiz.de/10005125066

On detecting and modeling periodic correlation in financial data

Broszkiewicz-Suwaj, Ewa; Makagon, Andrzej; Weron, Rafal; … - EconWPA - 2005

For many economic problems standard statistical analysis, based on the notion of stationarity, is not adequate. These include modeling seasonal decisions of consumers, forecasting business cycles and - as we show in the present article - modeling wholesale power market prices. We apply standard...

Persistent link: https://www.econbiz.de/10005407946

Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption

Kostov, Philip; Lingard, John - EconWPA - 2004

The standard Vector Error Correction Model (VECM) approach to investigating the underlying dynamics of economic variables assumes a constant co-integration space. This paper relaxes this assumption by implementing a regime switching VECM that allows for shifts in both the drift and the long-run...

Persistent link: https://www.econbiz.de/10005556387

Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market

Shepherd, Ben - EconWPA - 2005

Vector autoregressions are used to model price transmission through the coffee processing chain, from producers to the world market and from the world market to consumers. A comparison is made of price dynamics against a backdrop of two very different market structures: pre-1989, producers...

Persistent link: https://www.econbiz.de/10005556496

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