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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations …
Persistent link: https://www.econbiz.de/10012508617
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Re-examining crude oil and natural gas price relationship : evidence from time-varying regime-switching models
Hasanli, Mübariz - In: Energy economics 133 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015048121
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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011
employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
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Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method
Ihle, Rico; Amikuzuno, Joseph - 2010
We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its...
Persistent link: https://www.econbiz.de/10010342911
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Measuring macroeconomic convergence and divergence within EMU using long memory
Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020
existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher …
Persistent link: https://www.econbiz.de/10012252805
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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials
Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....
Persistent link: https://www.econbiz.de/10011414128
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …
Persistent link: https://www.econbiz.de/10014071881
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Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
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Time series analysis of economic growth rate series in Nigeria : structural breaks, non-linearities and reasons behind the recent recession
Awe, Olushina Olawale; Gil-Alaña, Luis A. - In: Applied economics 51 (2019) 50, pp. 5482-5489
Persistent link: https://www.econbiz.de/10012197247