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NONLINEARITY AND MARKET EFFICIENCY IN GCC STOCK MARKETS
Alharbi, Abdullah M. H. - 2009
will probably be irrelevant in doing empirical analysis. Existence of nonlinearity in financial markets has been argued by … regarded nonlinearity tests. In addition, the Efficient Market Hypothesis (EMH) was tested in this dissertation for the GCC … stock markets using both the standard linear approach and the more sophisticated nonlinearity tests. Since most of the …
Persistent link: https://www.econbiz.de/10009430941
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Price Transmission Asymmetries and Nonlinearities in the International Coffee Supply Chain
Lee, Jun; Gomez, Miguel I. - 2011
We examine two distinct and important dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price …
Persistent link: https://www.econbiz.de/10009444363
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Price Transmission and Adjustment in the Ethiopian Coffee Market
Alemu, Zerihun Gudeta; Worako, Tadesse Kumma - 2009
This study focused on the interrelationships among producer, auction and world prices. In so doing, it criticized previous studies and extended technique developed by Hansen (1999) to handle inferential biases occurring as a result of specification errors. The following results were found:...
Persistent link: https://www.econbiz.de/10009444810
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Sample Size and Robustness of Inferences from Logistic Regression in the Presence of Nonlinearity and Multicollinearity
Bergtold, Jason S.; Yeager, Elizabeth A.; Featherstone, … - 2011
The logistic regression models has been widely used in the social and natural sciences and results from studies using this model can have significant impact. Thus, confidence in the reliability of inferences drawn from these models is essential. The robustness of such inferences is dependent on...
Persistent link: https://www.econbiz.de/10009446710
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Exchange Rate Volatility and Regime Change:Visegrad Comparison
Kocenda, Evžen; Valachy, Juraj - 2006
We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that...
Persistent link: https://www.econbiz.de/10009476919
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Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad
Valachy, Juraj; Ko?enda, Evžen - 2003
Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a selected group of European Union countries (the...
Persistent link: https://www.econbiz.de/10009477538
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Essays on Fiscal Policy and the Support for Economic Reform in Emerging Europe
Eller, Markus - 2011
This doctoral thesis addresses in a sequence of five essays the question how fiscal policy and economic output are interrelated in emerging Europe and how this relationship is shaped by the respective politico-economic environment and the individual-level support for economic reforms. Following...
Persistent link: https://www.econbiz.de/10009480955
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A small, macroeconometric model of the Australian economy : with an emphasis on modelling wages and prices
McHugh, Zoe D. - 2004
Traditional macroeconometric models of the Australian economy estimate the behaviour of wage and price inflation separately, thereby ignoring the possibility that there is a contemporaneous relationship between these two variables. This thesis follows a recent trend emerging in other small open...
Persistent link: https://www.econbiz.de/10009438087
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A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
GOSWAMI, GAUTAM; SHRIKHANDE, MILIND; WU, LIUREN - 2002
We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10009440709
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Essays on monetary economics and financial economics
Jansen, Dennis (contributor) - 2006
In this dissertation three different economic issues have been analyzed. The firstissue is whether monetary policy rules can improve forecasting accuracy of inflation.The second is whether the preference of a central bank is symmetry or not. The last issueis whether the behavior of aggregate...
Persistent link: https://www.econbiz.de/10009465152