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Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis
Sinha, Dipendra - Econometric Society - 2004
In this study, we look at the relationship between export stability, investment and economic growth in nine Asian … Thailand, we find a positive relationship between the two variables. For India, we get mixed results. In most cases, economic … growth is found to be positively associated with domestic investment …
Persistent link: https://www.econbiz.de/10005130232
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New evidence of the impact of capital account liberalization on economic growth
Santana, José Ricardo; Garcia, Fernando - Econometric Society - 2004
This article analyzes the effects of financial liberalization on economic growth, focusing mainly the empirical aspects of this line of research. The text aims to answer fundamental questions put forward by recent literature: What effects has capital account liberalization had on economic...
Persistent link: https://www.econbiz.de/10005170254
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Fractional Output Convergence, with an Application to Nine Developed Countries
Beyaert, Arielle - Econometric Society - 2004
We argue that cross-country convergence of output per capita should be examined in a fractional-integration time-series context and we propose a new empirical strategy to test it, which is the first one that discriminates between fractional long-run convergence and fractional catching-up. The...
Persistent link: https://www.econbiz.de/10005702532
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Rational Panics, Absorbing Regime Switching and Stock Market
CHEN, Dengta; ZHOU, Yinggang - Econometric Society - 2004
A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...
Persistent link: https://www.econbiz.de/10005086425
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Discovering the Sources of TFP Growth: Occupation Choice, Capital Heterogeneity, and Financial Deepening
Townsend, Robert M.; Jeong, Hyeok - Econometric Society - 2004
The sources of "total factor productivity (TFP) growth" or the "Solow residual" typically remain unknown as a residual. This paper aims to identify the underlying sources of this residual growth, being explicit about micro underpinnings and transitional growth from occupation choices of...
Persistent link: https://www.econbiz.de/10005702604
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Rational Panics, Absorbing Regime Switching And Stock Market
ZHOU, Yinggang - Econometric Society - 2004
A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...
Persistent link: https://www.econbiz.de/10005702742
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Credit Crunches and Household Welfare: The Case of Korean Financial Crisis
Sawada, Yasuyuki; Kang, Sung Jin - Econometric Society - 2004
The financial crisis in 1997 caused serious deterioration of the Korean economy. We examined the credit crunch in Korea and how it affected household welfare. With household panel data from 1996-1998, we estimated a switching regression model of a consumption Euler equation, which is augmented...
Persistent link: https://www.econbiz.de/10005702753
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
Chu, Timothy; Choi, In - Econometric Society - 2004
This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The number of cross-sectional units in the panel data...
Persistent link: https://www.econbiz.de/10005328871
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The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
Manganelli, Simone; Cappiello, Lorenzo; Gerard, Bruno - Econometric Society - 2004
We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...
Persistent link: https://www.econbiz.de/10005328895
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COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU
Lahura, Erick - Econometric Society - 2004
This paper analyses empirically the relationship between money and output in Peru, based on an orthogonal decomposition of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the application of wavelet filtering to analyze cointegrating...
Persistent link: https://www.econbiz.de/10005328904