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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …
Persistent link: https://www.econbiz.de/10012171036
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Real exchange rate and economic growth : the interacting role of financial development in Nigeria
Farouq, Ibrahim Sambo; Sambo, Nuraddeen Umar - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 905-921
Persistent link: https://www.econbiz.de/10013531089
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan; Taylor, Mark P. - 2014
Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...
Persistent link: https://www.econbiz.de/10010384182
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Exchange Rate Determination, Risk Sharing and the Asset Market View
Burnside, A. Craig - 2013
Recent research in international finance has equated changes in real exchange rates with differences between the marginal utility growths of representative agents in different economies. The asset market view of exchange rates, encapsulated in this equation, has been used to gain insights into...
Persistent link: https://www.econbiz.de/10013091372
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Real Financial Market Exchange Rates and Capital Flows
Gelman, Maria - 2016
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10012988647
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10010211958
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Oil prices and the US effective exchange rate : a hidden cointegration analysis
Rafailidis, Panagiotis; Katrakilides, K. - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 134-144
Persistent link: https://www.econbiz.de/10011715968
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Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach
Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10
between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds … test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence … for a strong long-run relationship. The Granger causality test results indicate a long-run bidirectional causality between …
Persistent link: https://www.econbiz.de/10011649295
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Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices
Beckmann, Joscha - 2011
; cointegration ; nonlinear vector error correction …
Persistent link: https://www.econbiz.de/10009580305
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Effective exchange rates, current accounts and global imbalances : conference paper
Beckmann, Joscha; Czudaj, Robert - 2014
the causality mainly runs from effective exchange rates to current accounts and occurs through valuation e ects. However …
Persistent link: https://www.econbiz.de/10010483886