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Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2009
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10011518893
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Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2008
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10011384244
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International Oil Price and Sectoral Stock Prices : An Asymmetric Kernel and Nonlinear Autoregressive Distributed Lag Analysis
Banto, Jean Michel; Doho, Libaud Rudy Aurelien; Somé, … - 2023
In this work, we test the price sensitivity of sector indices to changes in the oil price over the period 2001 to 2021 using the kernel method and the non-linear autoregressive method with distributed lags (NARDL) proposed by Shin et al., (2014). We capture both short-term and long-term...
Persistent link: https://www.econbiz.de/10014348440
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An Empirical Study on the Dynamic Relationship between Oil Prices and Indian Stock Market
Sahu, Tarak Nath - 2017
.Design/methodology/approach– The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration … cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long …
Persistent link: https://www.econbiz.de/10012972835
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Stock market investment and inflation : evidence from the United States and Canada
Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365
distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …
Persistent link: https://www.econbiz.de/10012886334
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Stock Prices and Demand for Money : Evidence from Nigeria
Akinlo, Anthony Enisan - 2017
test and the cointegration with structural break. There are five important results for narrow and broad money in Nigeria …. First, there is cointegration between narrow and broad money and their determinants, income, interest rate, exchange rate … and real stock prices. Second, stock prices are an important determinant since cointegration fails if real stock prices …
Persistent link: https://www.econbiz.de/10012948868
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A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis
Scheffknecht, Lukas; Geiger, Felix - 2011
We merge a financial market model with leverage-constrained, heterogeneous agents with a reduced-form version of the New-Keynesian standard model. Agents in both submodels are assumed to be boundedly rational. The financial market model produces endogenously arising boom-bust cycles. It is also...
Persistent link: https://www.econbiz.de/10009384917
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The Stability of Money Demand in China : Evidence from the ARDL Model
Baharumshah, Ahmad Zubaidi - 2009
) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists …
Persistent link: https://www.econbiz.de/10013155958
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Money Velocity and Asset Prices in the Euro Area
Dreger, Christian - 2009
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10013158611
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426