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Srovnání otevřenosti trhů Brazílie, Ruska, Indie a Číny a zemí střední a východní Evropy
Bolotov, Ilya; Gajdušková, Kateřina - In: Současná Evropa 2013 (2013) 3, pp. 9-34
cointegration regression model. The article shows that Brazil, Russia, India and China are less open economies with different …
Persistent link: https://www.econbiz.de/10011195458
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A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey
Kiran, Burcu - In: Quality & Quantity: International Journal of Methodology 47 (2013) 2, pp. 1077-1084
cointegration and fractional cointegration approaches. The findings from Engle and Granger cointegration test indicate that … inflation and nominal interest rate series are cointegrated. Since the conventional cointegration tests do not provide strong … evidence on the long run relationship, we also use fractional cointegration definition suggested by Cheung and Lai (J Bus Econ …
Persistent link: https://www.econbiz.de/10010993128
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A re-evaluation of empirical tests of the Fisher hypothesis
Baum, Christopher; Bekdache, Basma - Department of Economics, Boston College - 2000
This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …
Persistent link: https://www.econbiz.de/10004968859
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An analysis of the ex post Fisher hypothesis at short and long term
Bassil, Charbel - In: Economics Bulletin 30 (2010) 3, pp. 2388-2397
This paper tests the Fisher effect. The analysis is applied to the U.S.A. It contributes to the existing empirical literature in three ways. First, it considers a panel of short term and long term real interest rates between 1960 and 2008. Second, it explores both the presence of unit root and...
Persistent link: https://www.econbiz.de/10008548980
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A re-evaluation of empirical tests of the Fisher hypothesis
Bekdache, Basma; Baum, Christopher F. - Society for Computational Economics - SCE - 1999
This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …
Persistent link: https://www.econbiz.de/10005132854
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Testing for the Fisher hypothesis under regime shifts: an application to Asian countries
Nusair, Salah - In: International Economic Journal 22 (2008) 2, pp. 273-284
1978-2005 using a cointegration procedure developed by Gregory and Hansen (1996) that allows for the presence of a one …
Persistent link: https://www.econbiz.de/10005511687
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Volatility in EMU sovereign bond yields: Permanent and transitory components
Sosvilla-Rivero, Simón; Morales-Zumaquero, Amalia - Asociación Española de Economía y Finanzas … - 2011
This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 period. In a first step, we decompose volatility in...
Persistent link: https://www.econbiz.de/10009002063
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Volatility in EMU sovereign bond yields: Permanent and transitory components
Sosvilla-Rivero, Simón; Morales-Zumaquero, Amalia - Instituto Complutense de Estudios Internacionales … - 2011
This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 period. In a first step, we decompose volatility in...
Persistent link: https://www.econbiz.de/10009143379
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Causality and contagion in peripheral EMU public debt markets: A dynamic approach
Gómez-Puig, Marta; Sosvilla-Rivero, Simón - Asociación Española de Economía y Finanzas … - 2011
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With...
Persistent link: https://www.econbiz.de/10009319647
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"Causality and contagion in peripheral EMU public debt markets: a dynamic approach"
Gómez-Puig, Marta; Sosvilla-Rivero, Simón - Facultat d'Economia i Empresa, Universitat de Barcelona - 2011
Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With...
Persistent link: https://www.econbiz.de/10009320482