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Gold Price, Crude Oil, Exchange Rate and Stock Markets: Cointegration and Neural Network Analysis
Rastogi, Shailesh - In: International Journal of Corporate Finance and … 3 (2016) 2, pp. 1-13
been taken. For internal success, stock markets have been taken as a parameter. Johansen's Cointegration test, error …
Persistent link: https://www.econbiz.de/10012043617
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Employment Adjustment in a “Sclerotic” Labour Market: Comparing Portugal with Germany, Spain, and the United Kingdom / Beschäftigungsanpassung in einem „sklerotischen“ Arbeitsmarkt: Ein Vergleich von Portugal mit Deutschland, Spanien und Großbritannien
Addison, John T.; Teixeira, Paulino - In: Jahrbücher für Nationalökonomie und Statistik 221 (2001) 4, pp. 353-370
Summary Summary measures of the overall strictness of a country’s employment protection laws have proven popular constructs in cross-country studies of the covariation of labour market institutions and macroeconomic outcomes. Portugal occupies an unenviable position in the rankings, and is...
Persistent link: https://www.econbiz.de/10014608841
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The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages
Hiang Liow, Kim - In: Journal of Property Investment & Finance 32 (2014) 6, pp. 610-641
Purpose – The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging...
Persistent link: https://www.econbiz.de/10014898876
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Securitization and financial markets: the implications for interest rate pass-through
Robertson, Mari L. - In: Journal of Financial Economic Policy 8 (2016) 4, pp. 472-498
Purpose The transmission of monetary policy rates to lending rates is viewed as a crucial path of monetary policy. As an integral part of the financial system and the recent financial crisis, securitized assets have the potential to affect the interest rate pass-through process and monetary...
Persistent link: https://www.econbiz.de/10014866935
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Informal finance, trade credit and private firm performance
Su, Jun; Sun, Yuefan - In: Nankai Business Review International 2 (2011) 4, pp. 383-400
Purpose – The purpose of this paper is to test the effect of informal finance and trade credit on the performance of private firms. Design/methodology/approach – Based on a survey to private firms in 19 cities, the paper empirically tests the promoting effects of informal finance and trade...
Persistent link: https://www.econbiz.de/10014954224
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The Evolving Importance of Banks and Securities Markets
Demirgüç-Kunt, Asli; Feyen, Erik; Levine, Ross - In: The World Bank Economic Review 27 (2013) 3, pp. 476-490
The roles of banks and securities markets evolve during the process of economic development. As countries develop economically, (1) the size of both banks and securities markets increases relative to the size of the economy, (2) the association between an increase in economic output and an...
Persistent link: https://www.econbiz.de/10015360674
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Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
Chao, John C.; Chiao, Chaoshin - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...
Persistent link: https://www.econbiz.de/10014620803
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Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
Zeng, Tian; Swanson, Norman R. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a...
Persistent link: https://www.econbiz.de/10014620808
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Information-Theoretic Analysis of Serial Dependence and Cointegration
Aparicio, F. M.; Escribano, A. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 3
This paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of …
Persistent link: https://www.econbiz.de/10014620815
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Detecting Equilibrium Correction with Smoothly Time-Varying Strength
Eliasson, Ann-Charlotte - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2
existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the … nonlinearity, and the Johansen cointegration test and the Lin and Ter¨asvirta parameter constancy test are applied. It turns out … high power when dealing with unrestricted cointegration, that is, when no cointegrating vector is estimated and the …
Persistent link: https://www.econbiz.de/10014620846