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The Impact of Real Exchange Rate on International Trade : Evidence From Panel Structural VAR Model
Aslan, Caglayan - 2020
This paper investigates the importance of real exchange rates on export volumes by estimating a panel SVAR model using quarterly unbalanced panel data from 21 emerging markets over the 2005:Q1-2018:Q4 period. Although the results suggest no conclusive evidence that real exchange rate shocks do...
Persistent link: https://www.econbiz.de/10012827070
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Arab countries between winter and spring : where democracy shock goes next!
Abdel-Latif, Hany; Mishra, Tapas; Staneva, Anita - In: Economies : open access journal 7 (2019) 1/20, pp. 1-19
We examine the role of democracy shocks in the cross-country economic growth processes over a period of five decades since 1960. The recent uprisings that arose independently and spread across the Arab world form the main context of our investigation. We study if (i) a shock to democracy in one...
Persistent link: https://www.econbiz.de/10012020510
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Are fiscal rules helpful in mitigating the impact of oil market fluctuations?
Mammadov, Fuad; Shaig, Adigozalov - 2017
In this paper we empirically examined the role of fiscal rules in mitigating the impact of oil market fluctuations in resource-rich economies using a structural panel VAR framework following P. Pedroni (2013) and incorporating identification scheme of Kilian (2009). Our key findings can be...
Persistent link: https://www.econbiz.de/10011927236
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Wealth and Consumption : An Assessment of the International Evidence
Labhard, Vincent; Sterne, Gabriel; Young, Chris - 2005
The main objective of this paper is to offer a critique of the existing literature on the link between wealth and consumption, as captured by the long-run marginal propensity to consume from financial wealth (mpcw). The international evidence suggests that the mpcw varies considerably across...
Persistent link: https://www.econbiz.de/10014060309
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526
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Selected macroeconomic variables and stock market movements : empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272
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Financial cycles and bankruptcies in the Nordic countries
Hansen, Jan - 2003
a financial cycle, followed by severe banking crises. Cointegration analysis and Granger causality tests suggest that …
Persistent link: https://www.econbiz.de/10011584527
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Growth empirics : structural transformation and sectoral interdependencies of Sri Lanka
Jayasooriya, S. P. - 2017
, vector autoregression, was used including causality analysis, and Gregory-Hansen cointegration, for estimating a long … effect of Gregory-Hansen co-integration affirmed a long-run nexus in agricultural growth positively with industrial and …
Persistent link: https://www.econbiz.de/10011637982
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2013
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10013082067
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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Soren; Swensen, Anders Rygh - 2021
In cointegrated vector autoregressive models exact linear rational expectation relations can imply restrictions on the adjustment parameters. We show how such restrictions can be tested, in particular when the restrictions imply weak exogeneity of some variables
Persistent link: https://www.econbiz.de/10013220286