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Aggregate output measurements: a common trend approach
Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique - 2021
.S. quarterly data on GDP and GDI, obtaining an improved aggregate output measure. …
Persistent link: https://www.econbiz.de/10012498150
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Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors
Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling...
Persistent link: https://www.econbiz.de/10012302569
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Chapter 3. Macroeconomic Regimes and Regime Shifts
Hamilton, J.D. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 163-201). 2016
Many economic time series exhibit dramatic breaks associated with events such as economic recessions, financial panics, and currency crises. Such changes in regime may arise from tipping points or other nonlinear dynamics and are core to some of the most important questions in macroeconomics....
Persistent link: https://www.econbiz.de/10014024290
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Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index
Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23
This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...
Persistent link: https://www.econbiz.de/10014636061
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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - 2011
literature. -- bandwidth ; cointegration ; fixed-b asymptotics ; fully modified OLS ; IM-OLS ; kernel …
Persistent link: https://www.econbiz.de/10009686172
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Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …
Persistent link: https://www.econbiz.de/10009614880
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Fractional integration and the dynamics of UK unemployment
Gil-Alaña, Luis A.; Henry, S. G. B. - 2000
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...
Persistent link: https://www.econbiz.de/10009582384
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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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Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, Kevin D. - 2008
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
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Human capital and the middle-income trap revisited
Jayadevan, C. M.; Hoang, Nam; Yarram, Subba Reddy - In: Applied economics 55 (2023) 34, pp. 4003-4022
Persistent link: https://www.econbiz.de/10014299411