Showing 1 - 10 of 11
Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...
Persistent link: https://www.econbiz.de/10011988812
This paper analyses monthly returns of 10 share portfolios negotiated at Bovespa between 1987 and 1997 in order to test the APT model. Macroeconomic factors were created as sources of common variance of these assets. The factors were statistically significant in explaining the relationship...
Persistent link: https://www.econbiz.de/10011935007
This paper shows that the LM statistic for testing first order serial correlation in regression models can be computed using the Kalman Filter. It is shown tha.t when there are missing observations, the LM statistic for this tesi is equivalent to the tesi statistic derived by Robinson (1985)...
Persistent link: https://www.econbiz.de/10012234027
The aim of this paper is to set out criteria for defining trend and seasonal components in a time series. The criteria are set up primarily in terms of properties involving prediction. Because a structural time series model is set up in terms of components of interest, the relevant information...
Persistent link: https://www.econbiz.de/10012234032
This paper aims to compare two different methodologies to estimate exchange rate misalignment. The first methodology consists in using multivariate time series techniques and a model with domestic variables. The second methodology consists in Pesaran's Global Vector Error Correction Model with...
Persistent link: https://www.econbiz.de/10010330505
This paper aims to discuss a methodology to calculate the error bands for exchange rate misalignments estimative. The exchange misalignment is not directly observed and its precision depends on the coefficients that link fundamentals to real effective exchange rate. The precision of exchange...
Persistent link: https://www.econbiz.de/10010330572
This paper aims to estimate the equilibrium real exchange rate for the Brazilian economy. The equilibrium exchange rate is defined as the level of exchange that guarantees that the net foreign asset position is stable over time. An econometric model is estimated using cointegration techniques....
Persistent link: https://www.econbiz.de/10010330875
This paper aims to evaluate what are the main long run determinants of Chinese real exchange rate that have depreciated substantially compared to a basket of currencies. The Chinese government started a process of accumulating foreign reserve in growing speed measured in absolute or relative...
Persistent link: https://www.econbiz.de/10010330917
Economic performance increasingly relies on global economic environment due to the growing importance of trade and financial links among countries. This work aims to analyze the possible effects of a potential economic growth downturn or one large negative shock in China, Germany and United...
Persistent link: https://www.econbiz.de/10013466667
This paper studies the interactions between access to infrastructure, women's time allocation, and economic growth in developing countries. The first part provides a review of the evidence on the impact of poor infrastructure on women's ability to allocate their time to productive activities....
Persistent link: https://www.econbiz.de/10014000610