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Global liquidity and commodity prices uncertainty using SFAVEC model
Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17
This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...
Persistent link: https://www.econbiz.de/10015047800
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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
, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity …
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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The Impact of Unconventional Monetary Policy on the Sovereign Bank Nexus within and Across EU Countries. A Time-Varying Conditional Correlation Analysis
Cifarelli, Giulio - 2016
We investigate the time varying dynamics of the linkages between sovereign and bank default risks over the period 2006-2015, using the credit default swap (CDS) spreads of the bonds of major international banks and of sovereign issuers as indicators of risk within four major European countries....
Persistent link: https://www.econbiz.de/10012988476
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Time‐Varying Price Discovery in Sovereign Credit Markets
Guidolin, Massimo - 2019
January 2006 – September 2015. In particular, we test whether the cointegration relationship that should tie bond and CDS … European countries, the UK, and the US. Moreover, when the cointegration relationship fails to hold, none of the two markets …
Persistent link: https://www.econbiz.de/10012860341
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Measuring the Natural Rate of Interest : International Trends and Determinants
Holston, Kathryn - 2016
U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the...
Persistent link: https://www.econbiz.de/10013210446
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Measuring the natural rate of interest : international trends and determinants
Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2016
U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the...
Persistent link: https://www.econbiz.de/10011578458
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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World-wide purchasing power parity
Jacobson, Tor; Nessén, Marianne - 1998
Persistent link: https://www.econbiz.de/10011583890
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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