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Stock markets, banks and long run economics growth : a panel cointegration-based analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …
Persistent link: https://www.econbiz.de/10010223077
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CO2 emissions and GDP : evidence from China
Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2019
fractional integration and cointegration methods. The univariate results indicate that the two series are highly persistent …, their orders of integration being around 2, whilst the cointegration tests (using both standard and fractional techniques …
Persistent link: https://www.econbiz.de/10012119768
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10010518800
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Testing for common cyclical features in var models with cointegration
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
Persistent link: https://www.econbiz.de/10011398127
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10009786715
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Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002
investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10011409009
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The chair of the U.S. Federal Reserve and the macroeconomic causality regimes
Aksoy, Yunus; Morita, Rubens; Psaradakis, Zacharias G. - 2019
We investigate regime-dependent Granger causality between real output, inflation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and...
Persistent link: https://www.econbiz.de/10012157284
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On the time-varying impact of China's bilateral political relations on its trading partners (1960-2022)
Afonso, António; Mignon, Valérie; Saadaoui, Jamel - 2023
We assess the impact of China's bilateral political relations with three main trading partners-the US, Germany, and the UK-on current account balances and exchange rates, over the 1960Q1-2022Q4 period. Relying on the lag-augmented VAR approach with time-varying Granger causality tests, we find...
Persistent link: https://www.econbiz.de/10014443830
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
rates ; causality-in-variance ; cointegration …
Persistent link: https://www.econbiz.de/10009727058
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Revisiting the great ratios hypothesis
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022
little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …
Persistent link: https://www.econbiz.de/10013041372