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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004
, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged …
Persistent link: https://www.econbiz.de/10005063637
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Duration and Order Type Clusters
NG, Wing Lon - Econometric Society - 2004
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...
Persistent link: https://www.econbiz.de/10005130252
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Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...
Persistent link: https://www.econbiz.de/10005063668
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Nonlinear estimators with integrated regressors but without exogeneity
Jong, Robert de - Econometric Society - 2004
This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...
Persistent link: https://www.econbiz.de/10005699677
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Duration and Order Type Clusters
NG, Wing Lon - Econometric Society - 2004
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...
Persistent link: https://www.econbiz.de/10005702575
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The impact of monetary policy on New Zealand business cycles and inflation variability
McLellan, Nathan; Buckle, Robert A; Kim, Kunhong - Econometric Society - 2004
This paper uses the open economy structural VAR model developed in Buckle, Kim, Kirkham, McLellan and Sharma (2002) to evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/inflation variability trade-off. The model includes a...
Persistent link: https://www.econbiz.de/10005130253
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Monetary Policy and Capital Accumulation Processes :How did the FED react to the Transition Phases ?
Frank, Paolucci - Econometric Society - 2004
The present paper is related to the recent discussion about the efficiency of the Reserve Federal Bank on investment decisions. Our aim is not to propose an optimal policy rule but rather to appreciate and to understand the link between the monetary interventions of the FED and capital...
Persistent link: https://www.econbiz.de/10005063627
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What Explains the Varying Monetary Response to Technology SHocks in G7-Countries
Theodorou, Athena T.; Francis, Neville R.; Owyang, … - Econometric Society - 2004
Structural vector autoregressions (SVARs) have become a standard tool used to determine the roles of monetary policy shocks in generating cyclical fluctuations in the United States. Using both long- and short-run identifying restrictions, various authors have explored the empirical response of...
Persistent link: https://www.econbiz.de/10005342196
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International Evidence on Monetary Neutrality Under Broken Trend Stationary Models
Velazquez, R.; Noriega, A.E.; Soria, L.M. - Econometric Society - 2004
We analyze the issue of the impact of multiple breaks on monetary neutrality results, using annual data on real output and monetary aggregates for Argentina (1884-1996), Australia (1870-1997), Brazil (1912-1995), Canada (1870-2001), Italy (1870-1997), Mexico (1932-2000), Sweeden (1871-1988), and...
Persistent link: https://www.econbiz.de/10005699639
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PRODUCTIVITY, INFLATION, AND INVESTMENT: AN ANALYSIS OF CAUSALITY
Núñez, José Antonio; Cruz, José Luis de la - Econometric Society - 2004
This paper elaborates a Vector Error Correction (VEC) in order to determine the causality between inflation and … productivity, and between the productivity and investment in Mexico. A VEC allows a causality analysis among cointegrated variables … rank developed by Quintos (1997). The results show a consistent and bidirectional causality between inflation and …
Persistent link: https://www.econbiz.de/10005129772