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Seasonality on non-linear price effects in scanner-data based market-response models
Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2005
Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the number of parameters and to shrink parameters towards plausible and interpretable values, multi-level models turn out to be useful. Such models contain in the second...
Persistent link: https://www.econbiz.de/10010837954
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Seasonality on non-linear price effects in scanner-data based market-response models
Fok, D.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the number of parameters and to shrink parameters towards plausible and interpretable values, multi-level models turn out to be useful. Such models contain in the second...
Persistent link: https://www.econbiz.de/10004991091
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Price Relationships in the U.S. Tree Nut Market
Ibrahim, Mohammed; Florkowski, Wojciech J. - Agricultural and Applied Economics Association - AAEA - 2007
cointegration procedure. We found long run equilibrium among some nut prices, namely, pecans, walnuts, and almonds. These findings …
Persistent link: https://www.econbiz.de/10005038914
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Exchange Rates and Fundamentals: Closing a Two-country Model
Kano, Takashi - Crawford School of Public Policy, Australian National … - 2013
equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenous first-order integrated … discount factor implies the counterfactual joint equilibrium dynamics of random-walk exchange rates and economic fundamentals … based on post-Bretton Woods data from Canada and the United States reveal difficulties in reconciling the equilibrium random …
Persistent link: https://www.econbiz.de/10010860354
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Self-fulfilling and fundamentals based speculative attacks on public debt.
Posta, Pompeo Della - Dipartimento di Economia e Management, Università … - 2014
The euro area crisis shows some similarities with the crisis that affected the European Monetary System in 1992-93. I argue that the theoretical framework to be used in order to analyze it can also be similar. As a matter of fact, together with the point of view of the government, that should...
Persistent link: https://www.econbiz.de/10010933041
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Exchange rate pass-through and inflation dynamics in Tunisia: A Markov-switching approach
Khemiri, Rim; Ali, Mohamed Sami Ben - In: Economics - The Open-Access, Open-Assessment E-Journal 7 (2013), pp. 1-30
This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for...
Persistent link: https://www.econbiz.de/10010954754
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Exchange rate pass-through and inflation dynamics in Tunisia: A Markov-Switching approach
Khemiri, Rim; Ali, Mohamed Sami Ben - Institut für Weltwirtschaft (IfW) - 2012
This paper studies the effect of exchange rate pass-through on inflation in Tunisia over the period 2001-2009. The authors' objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main...
Persistent link: https://www.econbiz.de/10010956150
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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - Banca d'Italia - 2014
The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by...
Persistent link: https://www.econbiz.de/10011277939
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Do Investment Agreements Matter?
Banga, Rashmi - In: Journal of Economic Integration 21 (2006), pp. 40-63
The study estimates the impact of bilateral investment agreements (BITs) on FDI inflows into fifteen Asian developing countries for the period 1980-81 to 1999- 2000 and examines whether signing an investment agreement with a developed country or a developing country matters. It also examines the...
Persistent link: https://www.econbiz.de/10009392040
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Political Instability and the August 1998 Ruble Crisis
Fic, Tatiana; Saqib, Omar Farooq - In: Journal of Economic Integration 21 (2006), pp. 764-783
The main objective of this study is to highlight the importance of political instability, defined as frequent changes in and of government, in undermining the Russian exchange rate based stabilization program of the 1990s. The empirical evidence supports the significance of political instability...
Persistent link: https://www.econbiz.de/10009392045