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An Empirical Investigation on the Determinants of the Saving-Investment Interaction
Gur, Timur Han; Erden, Lutfi; Ozkan, Ibrahim - In: Panoeconomicus 58 (2011) 3, pp. 343-353
This study aims to shed light on the Feldstein-Horioka (F-H) puzzle, making use of the potential explanations put forward in the related literature. To this end, the study takes a distinct empirical route, combining a cointegration technique and regression analysis. In the first step, we obtain...
Persistent link: https://www.econbiz.de/10009318799
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An analysis of two leading indicators of economic growth in Turkey: Monthly manufacturing industry output and CNBC-e consumption indices
ASLANOĞLU, Erhan; ÇELİK, Sadullah - In: Iktisat Isletme ve Finans 25 (2010) 293, pp. 9-31
recent period. The indicators to be tested are CNBC-e Consumption Index and Manufacturing Industry Output Index. CNBC …-e Consumption Index can be expected to be the early indicator of consumption expenditures in Turkey which is composing more than 70 …
Persistent link: https://www.econbiz.de/10008525423
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A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis
Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2002
The methods listed in the title are compared by means of a simulation study and a real world application. The aspects compared in the simulations are: The performance of the tests of the different methods for the dimension of the cointegrating space and the quality of the estimated cointegrating...
Persistent link: https://www.econbiz.de/10005515705
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Chapter 13 Forecasting Seasonal Time Series
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006
integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …
Persistent link: https://www.econbiz.de/10014023693
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Monitoring stationarity and cointegration : conference paper
Wagner, Martin; Wied, Dominik - 2014
We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...
Persistent link: https://www.econbiz.de/10010484411
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Foreign direct investment - domestic investment nexus : evidence from India
Babu, Abraham - In: Contemporary economics 15 (2021) 3, pp. 267-275
2014-15. The data series were checked for stationarity and the presence of long run relationship between foreign direct …
Persistent link: https://www.econbiz.de/10012629553
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Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia
Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … cointegration test results confirms that GDP and Public consumption of the Republic of North Macedonia are not cointegrated and can …
Persistent link: https://www.econbiz.de/10013489691
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Is Fiscal Policy Contracyclical in India: An Empirical Analysis
Chakraborty, Pinaki; Chakraborty, Lekha S - Volkswirtschaftliche Fakultät, … - 2006
The paper empirically examines the validity of Keynesian philosophy of contracyclical variation in fiscal policy to the macroeconomic activity in India. The macroeconomic activity is proxied by ‘output gap’ a concept defined to estimate the index of economic activity. Applying Johansen’s...
Persistent link: https://www.econbiz.de/10005616872
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The Good News and the Bad News about Long-run Stock Market Returns
Robertson, Donald; Wright, Stephen - Faculty of Economics, University of Cambridge - 1998
If stock prices followed a random walk, uncertainty about future stock prices would be so great that the observed bias towards equities in long-term investment portfolios would be surprising. The good news is that if, as a growing body of research suggests, there is even a weak tendency for...
Persistent link: https://www.econbiz.de/10005113827
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Sectoral trends and cycles in Germany
Cheung, Yin-Wong; Westermann, Frank - 2001
We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...
Persistent link: https://www.econbiz.de/10011398919