Showing 1 - 10 of 1,630
Binnennachfrage. Eine Analyse der Immobilienmärkte in Deutschland und UK kommt zu dem Ergebnis, dass die langfristigen Gleichgewichte …
Persistent link: https://www.econbiz.de/10009450173
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
Based on a cash-in-advance approach, this paper investigates theoretically the determinants of money holdings of firms under the conditions of a highly regulated labor market and analyses empirically the demand for money of German businesses during the period 1960-1998. As a result of our...
Persistent link: https://www.econbiz.de/10008462103
This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this...
Persistent link: https://www.econbiz.de/10009447946
(US) dollar on the ASEAN5 countries’ exports to the US. The Johansen cointegration test and Ordinary Least Square (OLS …) regression are applied. The cointegration tests show that there are long-term relationships among real GDP of the US, ASEAN5’s … real exchange rates and their volatility, and RMB real exchange rate. The RMB devalution has positive significant long …
Persistent link: https://www.econbiz.de/10010739297
This paper performs a quantitative analysis of iron ore prices. The analysis will focus on two general issues. First, are prices more volatile before or after the introduction of spot market pricing in 2008/2009? Second, has the change in pricing regime had a significant effect on the iron ore...
Persistent link: https://www.econbiz.de/10011066011
justified by the high volatility in grain prices and the need to understand how shocks are diffused across markets. We use … structural upward shifts in their trend explain the observed persistence of shock in grain markets. Using Johansen cointegration … causality links among the grain prices and they volatility. Soybean and wheat as well as maize, individually and together, play …
Persistent link: https://www.econbiz.de/10011068874
Persistent link: https://www.econbiz.de/10005612870
In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y, the "spread" S - Y - qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model...
Persistent link: https://www.econbiz.de/10005762611