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An alternative approach to the modelling of interest rate pass through and asymmetric adjustment

Valadkhani, Abbas; Bollen, Bernard - In: Economics Letters 120 (2013) 3, pp. 491-494

We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.

Persistent link: https://www.econbiz.de/10010681753

Identification in models of gasoline pricing

Bachmeier, Lance - In: Economics Letters 120 (2013) 1, pp. 71-73

This paper presents evidence that the price of oil does not respond contemporaneously to shocks to the US gasoline market. We find no support for the hypothesis of feedback from the US gasoline market to the price of oil, justifying the identification of impulse response functions by applying a...

Persistent link: https://www.econbiz.de/10010665697

The pricing behaviour of Australian banks and building societies in the residential mortgage market

Valadkhani, Abbas - In: Journal of International Financial Markets, … 26 (2013) C, pp. 133-151

This paper examines if the dynamic interplay between the Reserve Bank of Australia's (RBA) cash rate and the standard …

Persistent link: https://www.econbiz.de/10010702730

How to capture the full extent of price stickiness in credit card interest rates?

Valadkhani, Abbas; Anwar, Sajid; Arjonandi, Amir - School of Accounting, Economics, and Finance, … - 2012

Reserve Bank of Australia’s (RBA) target interest rate. Rate rises are passed onto the consumer faster than rate cuts and the …

Persistent link: https://www.econbiz.de/10010686645

Asymmetric changes in Australia’s small business loan rate

Valadkhani, Abbas; Chen, George; Kotey, Bernice - In: Small Business Economics 43 (2014) 4, pp. 945-957

This paper examines the dynamic asymmetric relationship between changes in the Reserve Bank of Australia’s (RBA) cash … borrowing for small businesses in Australia by 2.21 %. These findings indicate that small businesses have limited time to …

Persistent link: https://www.econbiz.de/10011154855

Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets

Krištoufek, Ladislav; Lunackova, Petra - Institut ekonomických studií, Univerzita Karlova v Praze - 2015

We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices...

Persistent link: https://www.econbiz.de/10011147549

Temporal Causality between Taxes and Public Expenditures: The Case of South Africa

Ndahiriwe, Kasai; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2007

This paper investigates the direction of causal relationship between taxes and expenditure in South Africa, using quarterly data for the period 1960:1-2006:2, and annual data for 1960 to 2005. For both frequencies, gross domestic product and government debt are included in the VAR system as...

Persistent link: https://www.econbiz.de/10005773175

Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1988

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …

Persistent link: https://www.econbiz.de/10005749557

The Causal Relationship between Foreign Direct Investment and Current Account: An Empirical Investigation for Pakistan Economy

Siddiqui, Danish Ahmed; Ahmad, Mohsin Hasnain - Volkswirtschaftliche Fakultät, … - 2007

-Juselius cointegration technique and the Granger causality test. The study results indicate that FDI and CA are cointegrated and thus exhibit …

Persistent link: https://www.econbiz.de/10008476358

A Test of The Market Efficiency Hypothesis with An Application to Canadian Treasury Bill Yields

Park, Soo-Bin - Carleton University, Department of Economics - 1999

In this paper we propose a new test for efficiency of spot and forward markets where returns are nonstationary and cointegrated. The test for market efficiency is developed within the framework of a vector error correction (VEC) representation of a bivariate vector autoregression (VAR) model....

Persistent link: https://www.econbiz.de/10005838429

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