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Monetary Conditions and Stock Returns: A South African Case Study

Coetzee, Clive - EconWPA - 2002

Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...

Persistent link: https://www.econbiz.de/10005413129

Cointegration in Frequency Domain

Levy, Daniel - EconWPA - 2004

Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series …

Persistent link: https://www.econbiz.de/10005556273

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory....

Persistent link: https://www.econbiz.de/10005556281

Testing Cointegration Rank in Large Systems

Pu, Chen; Chihying, Hsiao - EconWPA - 2005

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. Especially for the cases of few …

Persistent link: https://www.econbiz.de/10005556351

Estimating Short and Long Run Relationships: A Guide to the Applied Economist

Rao, Bhaskara - EconWPA - 2005

Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...

Persistent link: https://www.econbiz.de/10005556358

DEMAND PULL AND SUPPLY PUSH IN PORTUGUESE CABLE TELEVISION

Leitão, João - EconWPA - 2004

In this paper a Vector Autoregressive Model is applied to the most representative Portuguese cable television operators, in order to obtain a dynamic analysis of the interactivity established between the supply and the demand of network services, through the strategy of vertical integration of...

Persistent link: https://www.econbiz.de/10005556388

The Nonlinear Skeletons in the Closet

Barnett, William A.; Jones, Barry E.; Kirova, Milka; … - EconWPA - 2004

Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain 'skeletons in the closet' in empirical economic...

Persistent link: https://www.econbiz.de/10005556393

OIL AND GAS MARKETS IN THE UK: EVIDENCE FOR FROM A COINTEGRATING APPROACH

Panagiotidis, Theodore; Rutledge, Emilie - EconWPA - 2005

-2003. Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between …

Persistent link: https://www.econbiz.de/10005556400

Dynamics of real effective exchange rate in Malawi and South Africa

Simwaka, Kisukyabo - EconWPA - 2004

empirical analysis, we conducted unit root and cointegration test in order to determine the time series properties of the data … in both Malawi and South Africa. Key words: real effective exchange rate, stationarity, cointegration …

Persistent link: https://www.econbiz.de/10005556421

Foreign Trade Regimes and Import Demand Function: Evidence from Sri Lanka

Emran, M. Shahe; Shilpi, Forhad - EconWPA - 2001

Time series data for Sri Lanka span periods of pervasive trade and exchange restrictions along with periods of liberalized trade. This paper implements a structural econometric model of aggregate imports which incorporates the implications of the shifts in the policy regime. The results...

Persistent link: https://www.econbiz.de/10005556426