Showing 1 - 10 of 1,112
This paper investigates causal links between economic growth, oil consumption and natural gas usage in Poland on the basis of quarterly data for the period Q1 2000 – Q4 2009. The application of the Toda–Yamamoto procedure, a nonlinear Granger causality test, bootstrap techniques and an...
Persistent link: https://www.econbiz.de/10011259721
We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona....
Persistent link: https://www.econbiz.de/10011260743
The energy sector is assuming an increasing importance in the global economy. As a consequence, there is a vast literature on the causal relation between energy use and others economic variables. In this paper, I investigate the relationship between electricity consumption and economic growth...
Persistent link: https://www.econbiz.de/10008727905
Most popular approaches for modeling electricity prices rely at present on microeconomics rationale. They aim to study the interaction between decisions of agents in the market, and usually represent the impact of uncertainty in such decisions in a simplified way. The usual methodology of...
Persistent link: https://www.econbiz.de/10005668395
This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...
Persistent link: https://www.econbiz.de/10011259493
The aim of the paper is to estimate the day of the week effect in the stock markets in the Czech Republic, Hungary and Poland over the period 2006 – 2012. The entire period of estimation is divided to six sub-periods capturing individual phases of the financial and economic crisis. We...
Persistent link: https://www.econbiz.de/10011259677
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative...
Persistent link: https://www.econbiz.de/10005836313
This paper discusses Bayesian inference for stochastic volatility models based on continuous superpositions of Ornstein-Uhlenbeck processes. These processes represent an alternative to the previously considered discrete superpositions. An interesting class of continuous superpositions is defined...
Persistent link: https://www.econbiz.de/10005619877
The paper examines the short to medium term trends and volatility in Karachi Stock Exchange and further explore the nature of relationship between stock market activities and a set of macroeconomic variables in 1990s. The analysis is based on daily and monthly data on general stock price index...
Persistent link: https://www.econbiz.de/10005620029