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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 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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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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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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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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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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Oil price shocks and the spanish economy: Cointegration analysis and monetary policy under Taylor rules
Hernandez Martinez, Fernando - Volkswirtschaftliche Fakultät, … - 2009
The main purpose of this paper is to show evidence about the negative impact of oil price shocks in the economy of Spain. Since oil demand is continuously increasing all around the world and OPEC countries use to act having certain power to raise them, it is necessary to study how these price...
Persistent link: https://www.econbiz.de/10008578252