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Testing the International Crude Oil Market Integration with Structural Breaks

Aruga, Kentaka - In: Economics Bulletin 35 (2015) 1, pp. 641-649

As spread between the WTI and Brent crude oil price is widening after early 2011, it could be that the price relationship between these crude oil is changing. To see if such change affected the price linkages among the international crude oil markets, this study investigates if the world's major...

Persistent link: https://www.econbiz.de/10011207119

Is The Real Effective Exchange Rate Biased Against the PPP Hypothesis?

Wallace, Frederick H; Ventosa-santaulària, Daniel; … - In: Economics Bulletin 34 (2014) 1, pp. 395-399

We show that the use of the real effective exchange rate to test for purchasing power parity, as in Astorga (2012) and other studies, is subject to a problem that biases tests against finding evidence of PPP. The problem is illustrated using Astorga´s data on six Latin American countries.

Persistent link: https://www.econbiz.de/10010747088

Financial development and economic growth: the case of ECOWAS and WAEMU

Afawubo, Komivi; Fromentin, Vincent - In: Economics Bulletin 33 (2013) 3, pp. 1715-1722

panel cointegration approach. We estimate a trivariate vector error correction model (VECM) to simultaneously assess the …

Persistent link: https://www.econbiz.de/10010835793

Long-run relationship with shifts between Mexican current account revenues and expenditures

Ventosa-santaulària, Daniel; Gómez-zaldívar, Manuel; … - In: Economics Bulletin 33 (2013) 2, pp. 1317-1327

We study whether there is a long-run relationship between Mexican current account (CA) revenues and expenditures. Our results show that evidence in favor of this claim is drawn only when (at least) three structural break levels are allowed. The CA therefore behaves as a broken-mean stationary...

Persistent link: https://www.econbiz.de/10010835852

Oil and gold: correlation or causation?

Le, Thai-Ha; Chang, Youngho - In: Economics Bulletin 31 (2011) 3, pp. 31-31

This study used the monthly data spanning January-1986 to April-2011 to investigate the relationship between the prices of two strategic commodities: gold and crude oil. We examined this relationship through the inflation channel and their interaction with the index of the US dollar. We used...

Persistent link: https://www.econbiz.de/10010835856

Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries

Chia, Ricky Chee Jiun; Lim, Shiok Ye; Ong, Sheue Li - In: Economics Bulletin 34 (2014) 3, pp. 1438-1447

Studies on long-run purchasing power parity based on rank test for nonlinear cointegration is limited. Therefore, to … is not only capable in the detection of cointegration, but can further distinguish linear from nonlinear relationship if … cointegration exists. In addition, this study also follows the suggestion by Liew et al. (2012) to solve the rank problem in testing …

Persistent link: https://www.econbiz.de/10010835860

Testing the null of cointegration with a structural break: optimal kernel and bandwidth selection

Ludwig, Alexander - In: Economics Bulletin 33 (2013) 4, pp. 2828-2839

crises or local reforms. If such structural breaks exist, cointegration tests have to take them into account. Arai and … Kurozumi (2007), Carrion-i-Silvestre and Sanso (2006) and Kejriwal (2008) propose a test for the null of cointegration with … structural breaks against the alternative of no cointegration (ACK test). In this paper, we systematically examine the ACK test …

Persistent link: https://www.econbiz.de/10010835987

Is the rating given to a European mutual fund a good indicator of its future performance?

Fromentin, Vincent; Louargant, Christine - In: Economics Bulletin 34 (2014) 2, pp. 1235-1246

The objective of this paper is to investigate whether the rating of a fund is a determinant of its future performance. This study focuses on the Fundclass ratings for a sample of 1,452 EU funds with a similar style of management for the period 2003–12 (a period marked by economic crisis). By...

Persistent link: https://www.econbiz.de/10010836004

The relationship between natural resources rents, trade openness and economic growth in Algeria

Hamdi, Helmi; Sbia, Rashid - In: Economics Bulletin 33 (2013) 2, pp. 1649-1659

growth within a trivariate framework by adding trade openness as a third variable. By using cointegration and error …

Persistent link: https://www.econbiz.de/10010836044

The Johansen Test and the Transitivity Property

Ferré, Montserrat - In: Economics Bulletin 3 (2004) 27, pp. 1-7

Sometimes two variables Y and Z are each cointegrated with another variable X, but Y and Z do not appear to be cointegrated with each other. This article provides a possible explanation why this might happen.

Persistent link: https://www.econbiz.de/10010836128