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Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
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Does Fiscal Policy Matter for the Trade Account? : A Panel Cointegration Study
Nickel, Christiane - 2006
This paper analyzes the empirical relationship between fiscal policy and the trade account. Research prior to this paper did not consider that the components of private and public demand in the import demand equation exhibit different elasticities. Using pooled mean group estimation for annual...
Persistent link: https://www.econbiz.de/10014402247
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Do asset price drops foreshadow recessions?
Bluedorn, John Christopher; Decressin, Jörg; Terrones, … - 2013
This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood...
Persistent link: https://www.econbiz.de/10012667489
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Global Liquidity, Risk Premiums and Growth Opportunities
De Nicoló, Gianni - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging market countries, documents their evolution and comovements, and assesses the extent to which such measures are determinants of selected spreads and proxy measures of countries''...
Persistent link: https://www.econbiz.de/10014404263
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …
Persistent link: https://www.econbiz.de/10014395829
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China's bond market and global financial markets
Cerutti, Eugenio M.; Obstfeld, Maurice - 2018
A cross-country comparative analysis shows that there is substantial room for further integration of China into global financial markets, especially in the case of the international bond market. A further successful liberalization of the Chinese bond market would encompass not only loosening...
Persistent link: https://www.econbiz.de/10011978420
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Capital market integration : progress ahead of the East African community monetary union
Yabara, Masafumi - 2012
Persistent link: https://www.econbiz.de/10009423914
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Capital Market Integration in the Pacific Basin Region : An Analysis of Real Interest Rate Linkages
Phylaktis, Kate - 1995
, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws …
Persistent link: https://www.econbiz.de/10014397776
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Financial Integration, Growth, and Volatility
Epaulard, Anne - 2005
The aim of this paper is to evaluate the welfare gains from financial integration for developing and emerging market economies. To do so, we build a stochastic endogenous growth model for a small open economy that can (i) borrow from the rest of the world, (ii) invest in foreign assets, and...
Persistent link: https://www.econbiz.de/10014399779
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Financial Sector Reforms and Prospects for Financial Integration in Maghreb Countries
Sole, Juan - 2007
A healthy and dynamic financial sector is essential to achieving high and sustainable economic growth in the Maghreb region-Algeria, Libya, Mauritania, Morocco, and Tunisia. Financial integration within the Maghreb region will help deepen financial markets, increase their efficiency, and enhance...
Persistent link: https://www.econbiz.de/10014400223