Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10005203989
In examining the likely consequences of nonsense relationship, Granger and Newbold (1974) made it clear that the differencing is not the universal sure solution to the problem of spurious regression models. This has prompted the discovery of the cointegration regression estimation by Engle and...
Persistent link: https://www.econbiz.de/10005342144
The banking sector plays a pivotal role in the economic development of most Asian countries. In 1997, a full-fledged banking and financial crisis took place in South Asian countries. Many banks had to be bailed out by their governments. It is believed that an examination of indicators that led...
Persistent link: https://www.econbiz.de/10005143258
This paper constructs a stochastic growth model that anchors on technology diffusion and improvement in social infrastructure to explain the growth of developing countries. The model is based on the technological diffusion model by Barro and Sala-i-Martin (1997) with two significant extensions:...
Persistent link: https://www.econbiz.de/10009350211
In the folklore of emerging markets, there is a popular belief that bubbles are inevitable. In this paper, our objective is to estimate a state-space model for rational bubbles in selected Asian economies with the aid of the Kalman Filter. For each economy, we derive a possible picture of the...
Persistent link: https://www.econbiz.de/10004977564
Persistent link: https://www.econbiz.de/10005193031
This study investigates the investment styles of Chinese funds. The index-based multi-factor model is introduced, allowing the asset allocation to bond assets. The evidence shows herding behaviour among funds. It is found that Chinese funds strongly prefer large-cap stocks and slightly prefer...
Persistent link: https://www.econbiz.de/10005495927
This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-finance model capture two...
Persistent link: https://www.econbiz.de/10005534210
In sturdy econometrics specification search problems of unit roots and multicollinearity are well documented since the inception of regression analysis. In examining the likely consequences of nonsense relationship Granger and Newbold (1974) make it clear that first differencing is not the...
Persistent link: https://www.econbiz.de/10005534212
We extract global yield curve factors based on the affine arbitrage-free dynamic Nelson-Siegel model. The measure of integration proposed in the paper allows time-varying partial segmentation of national and global government bond markets. It takes into account the maturity structure of yields,...
Persistent link: https://www.econbiz.de/10005534217