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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010270503
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010271375
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … of the global foreign exchange market to the extent that the second most important currency in the world with the highest … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011583206
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Non-linear dynamics in the euro area demand for M1
Calza, Alessandro; Zaghini, Andrea - 2006
This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...
Persistent link: https://www.econbiz.de/10011604638
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Public debt and long-term interest rates: the case of Germany, Italy and the USA
Paesani, Paolo; Strauch, Rolf; Kremer, Manfred - 2006
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...
Persistent link: https://www.econbiz.de/10011604702
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Modelling loans to non-financial corporations in the euro area
Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - 2009
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...
Persistent link: https://www.econbiz.de/10011605035
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area
Beyer, Andreas; Juselius, Katarina - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed …
Persistent link: https://www.econbiz.de/10011605195
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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/10011325127