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On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries
Arouri, Mohamed; Rault, Christophe - 2009
This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods … October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil … stock prices, except in Saudi Arabia. -- GCC stock markets ; oil prices ; panel cointegration analysis …
Persistent link: https://www.econbiz.de/10003854428
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Oil prices and stock markets : what drives what in the gulf corporation council countries?
Arouri, Mohamed; Rault, Christophe - 2010
In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...
Persistent link: https://www.econbiz.de/10003937088
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Testing uncovered interest rate parity using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012
, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …
Persistent link: https://www.econbiz.de/10009570031
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Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence
Mikhed, Vyacheslav - 2009
cointegration tests with aggregate data indicate that house rent is the only fundamental which has the same order of integration as …
Persistent link: https://www.econbiz.de/10013155512
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Equilibrium Land Prices of Japanese Prefectures : A Panel Cointegration Analysis
Nagahata, Takashi; Saita, Yumi; Tachibana, Towa; … - 2009
cointegration analysis, and then estimate an error-correction model (ECM) for land prices. The panel cointegration analysis reveals …
Persistent link: https://www.econbiz.de/10014204879
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Testing for Bubbles in Housing Markets : A Panel Data Approach
Mikhed, Vyacheslav; Zemcik, Petr - 2008
We employ recently developed cross-sectionally robust panel data tests for unit roots and cointegration to find whether …
Persistent link: https://www.econbiz.de/10014219293
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Revisiting the oil price and stock market nexus : a nonlinear Panel ARDL approach
Salisu, Afees A.; Isah, Kazeem O. - In: Economic modelling 66 (2017), pp. 258-271
Persistent link: https://www.econbiz.de/10011813734
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Real exchange rate dynamics and trade balance in WAEMU countries : evidence from panel nonlinear ARDL approach
Keho, Yaya - In: Journal of Economics and Financial Analysis 5 (2021) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10013350452
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Asymmetric effect of remittances and financial development on carbon emissions in sub-Saharan Africa : an application of panel NARDL approach
Mensah, Barbara Deladem; Abdul-Mumuni, Abdallah - In: International journal of energy sector management 17 (2023) 5, pp. 865-886
Persistent link: https://www.econbiz.de/10014331266
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Adaptive forecasting of exchange rates with panel data
Morales-Arias, Leonardo; Dross, Alexander - 2010
This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic ‘fundamentals’, (ii) return/volatility of asset markets and (iii)...
Persistent link: https://www.econbiz.de/10008696798