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Oil and product price dynamics in international petroleum markets
Lanza, Alessandro; Manera, Matteo; Giovannini, Massimo - 2003
and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …
Persistent link: https://www.econbiz.de/10011592760
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - 2020
Persistent link: https://www.econbiz.de/10012155729
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The impact of currency carry trade activity on the transmission of monetary policy
Boeck, Maximilian; Steshkova, Alina; Zörner, Thomas - 2024 - This Version: August 2024
This paper examines how carry trade activity affects the transmission of monetary policy in currency markets. It analyzes a set of developed and emerging market currencies against the U.S. dollar. The U.S. dollar appreciates in response to a conventional monetary policy shock but depreciates to...
Persistent link: https://www.econbiz.de/10015053521
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Energy prices and the real exchange rate of commodity-exporting countries
Dauvin, Magali - 2013
This paper investigates the relationship between energy prices and the real effective exchange rate of commodity-exporting countries. We consider two sets of countries: 10 energy-exporting and 23 non-fuel commodity-exporting countries over the period 1980-2011. Estimating a panel cointegrating...
Persistent link: https://www.econbiz.de/10010225994
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Forecasting exchange rates of major currencies with long maturity forward rates
Darvas, Zsolt M.; Schepp, Zoltán - 2020
This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...
Persistent link: https://www.econbiz.de/10012302033
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Spurious correlation in estimation of the health production function : a note
Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009
; Innovation ; Pharmaceuticals ; Health care expenditure ; Cointegration …
Persistent link: https://www.econbiz.de/10003900852
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Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …
Persistent link: https://www.econbiz.de/10011603089
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Long-run models of oil stock prices
Lanza, Alessandro; Manera, Matteo; Grasso, Margherita; … - 2003
-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly …
Persistent link: https://www.econbiz.de/10011592924
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Fiscal sustainability in the Caribbean : an econometric analysis
Khadan, Jeetendra - 2019
countries over the period 1991-2017. The evidence from panel co-integration models of government revenue and expenditure shows …
Persistent link: https://www.econbiz.de/10012028426
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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10012596987