Similar Search Results

Return and volatility transmission between oil prices and oil-exporting and oil-importing countries

Guesmi, Khaled; Fattoum, Salma - In: Economic Modelling 38 (2014) C, pp. 305-310

This paper provides further evidence of the comovements and dynamic volatility spillovers between stock markets and oil prices for a sample of five oil-importing countries (USA, Italy, Germany, Netherland and France) and four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia...

Persistent link: https://www.econbiz.de/10010753334

Liquidity management of foreign exchange reserves in continuous time

Zhang, Dewei; Wang, Yiqi; Wang, Jingjing; Xu, Weidong - In: Economic Modelling 31 (2013) C, pp. 138-142

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...

Persistent link: https://www.econbiz.de/10010636278

Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic Modelling 33 (2013) C, pp. 126-136

We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...

Persistent link: https://www.econbiz.de/10010737998

Testing for serial correlation and random effects in a two-way error component regression model

Wu, Jianhong; Zhu, Lixing - In: Economic Modelling 28 (2011) 6, pp. 2377-2386

In this paper, we test the existence of serial correlation and random effects in a two-way error component regression model with panel data. Under moment conditions alone, we suggest several easily implemented tests based on the parameter estimators for artificial autoregressions modeled by the...

Persistent link: https://www.econbiz.de/10010573292

Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model

Baharumshah, Ahmad Zubaidi; Soon, Siew-Voon; Hamzah, … - In: Economic Modelling 35 (2013) C, pp. 634-642

This paper examines the validity of real interest parity (RIP) for 10 Asian economies over the period 1977–2012 (quarterly frequency). The evidence based on two-break unit root tests reveals that majority of the real interest rate differentials (RIDs) with respect to Germany and the US are...

Persistent link: https://www.econbiz.de/10010719412

The animal spirits hypothesis and the Benhabib–Farmer condition for indeterminacy

Guerrazzi, Marco - In: Economic Modelling 29 (2012) 4, pp. 1489-1497

This paper provides a self-contained review of the introduction of the animal spirits hypothesis into the infinite horizon optimal‐growth model. The analysis begins with an economic discussion of Pontryagin's maximum principles. Thereafter, I develop a version of the increasing-returns...

Persistent link: https://www.econbiz.de/10011048918

Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test

Emirmahmutoglu, Furkan; Omay, Tolga - In: Economic Modelling 40 (2014) C, pp. 184-190

literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear …. To this end, we propose a nonlinear heterogeneous panel unit root test where the alternative hypothesis allows for … linear and symmetric nonlinear heterogeneous panel unit root tests are against the PPP hypothesis, the asymmetric nonlinear …

Persistent link: https://www.econbiz.de/10010781980

The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?

Chen, Mei-ping; Lee, Chien-Chiang; Hsu, Yi-Chung - In: Economic Modelling 28 (2011) 1, pp. 526-539

market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis … are employed to investigate the nonlinear relationship between ADR and LD. The results indicate the existence of a … nonlinear relationship between ADR and LD by employing Bayesian factor analysis, which has never been employed in the related …

Persistent link: https://www.econbiz.de/10010573282

Covariance estimation using high-frequency data: Sensitivities of estimation methods

Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic Modelling 43 (2014) C, pp. 416-425

In this study we examine three widely used realized correlation estimators for natural gas, gasoil, and crude oil futures using data from IntercontinentalExchange (ICE). The objective is to illustrate sensitivities of estimation methods on the resulting realized correlation estimates. The...

Persistent link: https://www.econbiz.de/10010939705

Macroeconomic policy responses to financial crises in emerging European economies

Josifidis, Kosta; Allegret, Jean-Pierre; Gimet, Céline; … - In: Economic Modelling 36 (2014) C, pp. 577-591

This paper contributes to the literature on monetary policy responses in emerging economies to international financial crises. Such an issue is especially relevant for these countries insofar as they tend to be more unstable than developed countries. In addition, they suffer from larger...

Persistent link: https://www.econbiz.de/10010729850