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What world price?
Jamora, Nelissa; Cramon-Taubadel, Stephan von - 2012
generating empirical evidence on the cointegration of different export prices. We start our analysis with the assumption that … cointegration of price series. Then, we extend the error correction model to a multivariate cointegration analysis by cluster. We …
Persistent link: https://www.econbiz.de/10010235140
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010208787
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Aggregate output measurements: a common trend approach
Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique - 2021
We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators of the...
Persistent link: https://www.econbiz.de/10012498150
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Dynamic panel modeling of climate change
Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …
Persistent link: https://www.econbiz.de/10012265695
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The impact of foreign direct investment on Namibia’s economic growth : a time series investigation
Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness …
Persistent link: https://www.econbiz.de/10014500822
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Linkages between direct and securitized real estate
Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009
Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and … direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are …
Persistent link: https://www.econbiz.de/10003970466
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
. -- Cointegration ; oil market ; futures prices ; price discovery …
Persistent link: https://www.econbiz.de/10003949493
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
. -- cointegration ; oil market ; futures prices ; price discovery …
Persistent link: https://www.econbiz.de/10003965099
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A dynamic causality study between electricity consumption and economic growth for global panel : evidence from 76 countries
Hossain, Md. Sharif; Saeki, Chikayoshi - 2012
unit root test ; panel cointegration test ; Granger causality test …
Persistent link: https://www.econbiz.de/10009690044