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The impact of oil revenues on the Iranian economy and the Gulf states
Dreger, Christian; Rahmani, Teymur - 2014
countries of the Gulf Cooperation Council (GCC) using (panel) cointegration techniques. The existence of cointegration between … oil revenues, GDP and investment can be confirmed for all countries. While the cointegration vector is found to be unique …
Persistent link: https://www.econbiz.de/10010339608
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Investigating the asymmetric impact of oil prices on GCC stock markets
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2020
This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...
Persistent link: https://www.econbiz.de/10012314956
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The determinants of crude oil prices : evidence from ARDL and nonlinear ARDL approaches
Ben Salem, Leila; Nouira, Ridha; Jeguirim, Khaled; … - 2022
) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10013429325
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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
investigates the directionally dynamic connectedness among WTI and Shanghai crude oil futures and currency markets. We explored …
Persistent link: https://www.econbiz.de/10014494631
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On the impact of oil prices on sectoral inflation : evidence from world's top oil exporters and importers
Ben Salem, Leila; Nouira, Ridha; Rault, Christophe - 2024
This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
Persistent link: https://www.econbiz.de/10014454468
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How do oil prices affect the GDP and its components? : new evidence from a time-varying threshold model
Ben Salem, Leila; Nouira, Ridha; Saafi, Sami; Rault, … - 2024
Revealing the precise thresholds at which fluctuations in oil prices start to affect gross domestic product and its various components (consumption, investment, expenditure and exports) holds significant implications for policymakers in both oil-importing and oil-exporting countries. Existing...
Persistent link: https://www.econbiz.de/10014527191
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Does the unemployment invariance hypothesis hold for Canada?
Tansel, Aysıt; Ozdemir, Zeynel Abidin; Aksoy, Emre - 2016
. The cointegration analysis vindicates the existence of a long-run relationship between these two variables. This finding …
Persistent link: https://www.econbiz.de/10011528837
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MIMIC models, cointegration and error correction : an application to the French shadow economy
Bühn, Andreas (contributor);  … - 2008
differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction … economy ; tax burden ; regulation ; unemployment ; cointegration ; error correction models ; MIMIC models …
Persistent link: https://www.econbiz.de/10003652676
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International migration with heterogeneous agents : theory and evidence
Brücker, Herbert (contributor);  … - 2006
investigation of the cointegration relationships of German migration stocks and flows since 1967. We find that (i) panel-unit root … migration stocks and the explanatory variables are all I(1) variables, and (ii) the hypothesis of cointegration cannot be … rejected for the stock model. -- international migration ; temporary migration ; panel cointegration …
Persistent link: https://www.econbiz.de/10003376850