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How do financial cycles interact? : evidence from the US and the UK
Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2015
Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of...
Persistent link: https://www.econbiz.de/10010529345
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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
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Macroeconomic forces and stock prices : evidence from the Bangladesh stock market
Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek - 2013
-series techniques were used which include Cointegration, Vector Error Correction Model (VECM), Impulse Response Functions (IRF) and … Variance Decompositions (VDC). Cointegration analysis, along with the VECM, suggests that interest rates, crude oil prices and … Prices ; Macroeconomic Factors ; Dhaka Stock Exchange ; Cointegration ; VEC …
Persistent link: https://www.econbiz.de/10009737188
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Long Run Relationship between Aggregate Stock Prices and Macroeconomic Factors in BRICS Stock Markets
Tripathi, Vanita - 2016
:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …
Persistent link: https://www.econbiz.de/10012995658
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The Swiss business cycle and the lead of small neighbor Liechtenstein
Brunhart, Andreas - 2015
This contribution investigates the business cycles of Switzerland compared to its five neighboring countries Germany, Austria, Italy, France and Liechtenstein. In contrast to the widespread notion of small countries "importing" the business cycle from bigger neighbors, it is shown that the real...
Persistent link: https://www.econbiz.de/10011427978
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Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK
Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2017
In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...
Persistent link: https://www.econbiz.de/10011710009
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Measuring the strength of cointegration and Granger-causality
Atukeren, Erdal (contributor) - 2003 - [Elektronische Ressource]
testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of … causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of … bivariate relationship between money and income in Canada. -- Schwarz criterion ; Cointegration ; Granger-causality ; Posterior …
Persistent link: https://www.econbiz.de/10001783594
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The direction, timing and causality relationships between the cyclical components of real and financial variables during the financial liberalization period in Turkey
İnsel, Aysu; Soytaş, Mehmet Ali; Gündüz, Seda - 2004 - Draft version.1
The purpose of this paper is the determination of sources and pattern of business cycle in Turkey throughout the period 1988-2002 using quarterly data. The question of the paper is "Has financial liberalization increased the fragility of the financial and real sides of the Turkish economy?". The...
Persistent link: https://www.econbiz.de/10011529029
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Stock prices and economic activity nexus in OECD countries : new evidence from an asymmetric panel Granger causality test in the frequency domain
Yilanci, Veli; Ozgur, Onder; Gorus, Muhammed Sehid - In: Financial innovation : FIN 7 (2021), pp. 1-22
This study investigates the stock price-economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1-2018:3. For this purpose, the study uses Granger causality in the frequency domain in the...
Persistent link: https://www.econbiz.de/10012429266
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Testing the twin deficit hypothesis : evidence from the Republic of North Macedonia
Bucevska, Vesna - In: Business systems research : a system view accross … 11 (2020) 3, pp. 45-62
Background An econometric analysis of the twin deficit hypothesis is of special importance for the Republic of North Macedonia in view of its perspective membership in the European Union and from the point of view of its macroeconomic stability in the long run. Objectives The objective of this...
Persistent link: https://www.econbiz.de/10012414405