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Money, Stock Prices and Central Banks : A Cointegrated VAR Analysis
Wiedmann, Marcel - 2011
This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock...
Persistent link: https://www.econbiz.de/10014015328
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Money, Capital Formation and Economic Growth : International Comparison with Time Series Analysis
Amano, Masanori - 2013
This book proposes new methods of detecting causality among several dynamic variables and of estimating divisions of nominal income changes into changes in output and prices. Amano builds on established traditions of macro-dynamics and the theories of Keynes and Freidman, while providing...
Persistent link: https://www.econbiz.de/10012106356
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Multivariate Modelling of Non-Stationary Economic Time Series
Hunter, John - 2017 - 2nd ed. 2017
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration … Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods … to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and …
Persistent link: https://www.econbiz.de/10012398276
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Modelling Non-Stationary Time Series : A Multivariate Approach
Burke, Simon P.; Hunter, John - 2005
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real …. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural …
Persistent link: https://www.econbiz.de/10012053773
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets
Persistent link: https://www.econbiz.de/10012053890
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Kointegrationskonzepte für die Kreditrisikomodellierung : Systematische Kreditrisiken und makroökonomische Theorienbildung
Wagatha, Matthias - 2005 - Gabler Edition Wissenschaft
In den letzten Jahren sind die Messung und die Steuerung von Kreditrisiken aufgrund der verschlechterten makroökonomischen Rahmenbedingungen und der daraus resultierenden Zunahme der Insolvenzen ins Zentrum des Interesses gerückt. Verstärkt wird diese Entwicklung durch die vom Baseler...
Persistent link: https://www.econbiz.de/10013517344
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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - Gabler Edition Wissenschaft
Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...
Persistent link: https://www.econbiz.de/10013517438
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New Introduction to Multiple Time Series Analysis
Lütkepohl, Helmut - 2005
Persistent link: https://www.econbiz.de/10013520820
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The Impact of Monetary Policy on Economic Inequality
Dörr, Patricia - 2018
The extensive monetary policy of central banks during the Great Recession has re-newed the interest in the relation between (possibly) non-neutral money and wealth and income inequality. In this work, a dynamic general equilibrium model approach is used to study the effects of an inflation rate...
Persistent link: https://www.econbiz.de/10012396988
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Macroeconomic Policy : Demystifying Monetary and Fiscal Policy
Langdana, Farrokh K. - 2016 - 3rd ed. 2016
positioned to relate explicitly to theory, and to look ahead to and preempt global macro situations and polices in the years to …
Persistent link: https://www.econbiz.de/10012398057