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Finance and Macroeconomic Performance. Some Evidence for Emerging Markets
Darrat, Ali F.; Elkhal, Khaled; McCallum, Brent - In: Emerging Markets Finance and Trade 42 (2006) 3, pp. 5-28
activity. Results from cointegration and error correction models suggest that financial deepening (alternatively measured …
Persistent link: https://www.econbiz.de/10005753609
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Business fixed investment and credit market frictions. A VECM approach for Hungary
Endrész, Marianna - Magyar Nemzeti Bank (MNB) - 2011
multiple cointegration. Financial frictions are captured by including balance sheet indicators of firms and banks (cash flow …
Persistent link: https://www.econbiz.de/10009145968
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The Impact of Foreign Direct Investment on Economic Growth : A Case Study of Ireland
Kim, Kyuntae; Bang, Hokyung - East Asian Bureau of Economic Research (EABER) - 2008
cointegration, which is more appropriate for estimating small sample studies. The data span for the study is from 1975 to 2006. The …
Persistent link: https://www.econbiz.de/10009363557
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Retail Dairy Prices Fluctuate with the Farm Value of Milk
Stewart, Hayden; Blayney, Donald P. - In: Agricultural and Resource Economics Review 40 (2011) 2
Farm milk prices tend to be volatile. Dairy farmers, industry pundits, and policymakers further tend to react to price volatility with alarm. One point of concern is the response of retail prices. This study investigates farm-to-retail price transmission in the 2000s for whole milk and cheddar...
Persistent link: https://www.econbiz.de/10009365684
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The causal relationship between patent growth and growth of GDP with quarterly data in the G7 countries: cointegration, ARDL and error correction models
Josheski, Dushko; Koteski, Cane - Volkswirtschaftliche Fakultät, … - 2011
patents growth and quarterly growth of GDP. Johansen’s procedure for cointegration showed that long run multipliers are …
Persistent link: https://www.econbiz.de/10009278288
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Wage-setting and capital in unionized markets: Evidence from South Europe
Kazanas, Thanassis; Miaouli, Natasha - In: Economic Modelling 37 (2014) C, pp. 368-376
The present paper analyzes the optimal response of real wages to the installed capital stock in a dynamic monopoly union. We use data from five Southern European countries during the period 1970–2010. We explore how this rent-extraction response changes over time and across countries depending...
Persistent link: https://www.econbiz.de/10010744026
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On determination of cointegration ranks
Li, Qiaoling; Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2009
We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then … the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown …
Persistent link: https://www.econbiz.de/10010746018
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Testing the Validity of Wagner’s Law in Bolivia: A Cointegration and Causality Analysis with Disaggregated Data
Bojanic, Antonio N. - In: Revista de Analisis Economico – Economic Analysis Review 28 (2013) 1, pp. 25-45
cointegration analysis. Third, Error Correction Models are utilized to determine the direction of causality between the variables of …
Persistent link: https://www.econbiz.de/10010748292
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The switching relationship between natural gas and crude oil prices
Brigida, Matthew - In: Energy Economics 43 (2014) C, pp. 48-55
In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch...
Persistent link: https://www.econbiz.de/10011100134
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Times Series: Cointegration
Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014
An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...
Persistent link: https://www.econbiz.de/10010940436