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Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests

Kutan, Ali; Zhou, Su - In: Open Economies Review 14 (2003) 4, pp. 369-379

Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between...

Persistent link: https://www.econbiz.de/10005543038

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10005263948

Predictability of Equity Models

Valls Pereira, Pedro L.; Chicaroli, Rodrigo - Volkswirtschaftliche Fakultät, … - 2009

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the …. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential … predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns …

Persistent link: https://www.econbiz.de/10004980415

Unternehmen im Strukturwandel : Analyse von Strukturbrüchen in Japan und Deutschland

Waragai, Tomoki - 1990

Persistent link: https://www.econbiz.de/10004094785

Testing for Panel Cointegration with Multiple Structural Breaks

Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

This paper proposes an LM test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown...

Persistent link: https://www.econbiz.de/10005419379