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How related are interbank and lending interest rates? Evidence on selected EU countries
Heryan, Tomas; Stavarek, Daniel - Volkswirtschaftliche Fakultät, … - 2010
January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …
Persistent link: https://www.econbiz.de/10008765074
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Der Euro, ein Segen für Afrika? Folgen der Anbindung der afrikanischen Franc-Zone an den Euro
Kohnert, Dirk - Volkswirtschaftliche Fakultät, … - 1998
-Zone never fulfilled the most crucial preconditions of an optimal currency area. The peg to the EMU, orientated at the interests …
Persistent link: https://www.econbiz.de/10005260329
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Stock Market Linkages in Emerging Asia-Pacific Markets
P., Srinivasan; M., Kalaivani - Volkswirtschaftliche Fakultät, … - 2013
) multivariate cointegration test, Granger causality/Block exogeneity Wald test based on VECM approach and Variance Decomposition … Analysis was employed to investigate the dynamic linkages between markets. Cointegration test confirmed a well defined long …
Persistent link: https://www.econbiz.de/10011110634
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EXCHANGE RATE DETERMINATION IN PAKISTAN: EVIDENCE BASED ON PURCHASING POWER PARITY THEORY
Khan, Muhammad Arshad; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2007
rate using Johansen (1988) and Johansen and Juselius (1990) multivariate cointegration and bound testing approach to … cointegration (Pesaran et al., 2001) over the period 1982Q2-2005Q4. We find a considerable support for the existence of long-run PPP …
Persistent link: https://www.econbiz.de/10005621557
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Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity
Chan, Tze-Haw; Khong, Wye Leong Roy; Baharumshah, Ahmad … - Volkswirtschaftliche Fakultät, … - 2003
To examine the validity of real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest differentials of ASEAN-5.vis-à-vis Japan during the post liberalization era...
Persistent link: https://www.econbiz.de/10005790478
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Stock market integration: Malaysia and its major trading partners
Abdul Karim, Zulkefly; Abdul Karim, Bakri - Volkswirtschaftliche Fakultät, … - 2008
(1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between …
Persistent link: https://www.econbiz.de/10008740571
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The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies
Mutu, Simona; Breşfelean, Vasile Paul; Göndör, Mihaela - Volkswirtschaftliche Fakultät, … - 2011
cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …
Persistent link: https://www.econbiz.de/10011258912
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The expectations hypothesis of the term structure: some empirical evidence for Portugal
Silva Lopes, Artur C.; Monteiro, M.; Susana, Olga - Volkswirtschaftliche Fakultät, … - 2007
cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …
Persistent link: https://www.econbiz.de/10005616562
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Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity
Lucchetti, Riccardo; Palomba, Giulio - Volkswirtschaftliche Fakultät, … - 2008
framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not …
Persistent link: https://www.econbiz.de/10005787226
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Money and prices in the Maghreb countries: cointegration and causality analyses
Benamar, Abdelhak; CHERIF, Nasreddine; Benbouziane, Mohamed - Volkswirtschaftliche Fakultät, … - 2011
, which may have influenced prices, were included in the cointegration regressions. Second, the finding of a unidirectional …
Persistent link: https://www.econbiz.de/10011258231