Showing 1 - 10 of 159
With the announcement to intervene on financial markets to restore the monetary transmission mechanism, the ECB has attenuated the pressure of the markets on the endangered peripheral countries of the Eurozone. Critics argue that by eliminating the markets' disciplining interest mechanism,...
Persistent link: https://www.econbiz.de/10011988696
-run stability confirmed by Bounds co-integration test, the study found that inflationary expectations are key determinants of stock …
Persistent link: https://www.econbiz.de/10012290381
This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk...
Persistent link: https://www.econbiz.de/10012657493
Brazil, Russia, India and China (BRIC) contained in this issue of Journal of Agricultural Economics. The special feature is …
Persistent link: https://www.econbiz.de/10011627538
The US and BRIC economies are sharing increasing trade as well as financial linkages since the last decade. In this … and BRIC equity markets during different time frames, i.e., pre-crisis, crisis and post-crisis periods. The study employs … Johansen cointegration, VAR, VECM, Toda-Yamamoto's Granger causality, generalized impulse responses, and variance decomposition …
Persistent link: https://www.econbiz.de/10011936892
. Using the example of investments from the BRIC-countries (Brazil, Russia, India and China) in German firms, this paper … Beispiels von Investitionen aus den BRIC-Staaten (Brasilien, Russland, Indien und China) in Deutschland, ob die Sorgen der …
Persistent link: https://www.econbiz.de/10013192101
financialization bubble period and the resulting Global Financial Crisis, we study volatility spillovers arising from the BRIC, U … fragmented literature that document time-varying and imperfect BRIC markets' integration with mature economies. Overall, we show … that arbitrage opportunities continue to exist in international stock market portfolios with respect to BRIC assets. In a …
Persistent link: https://www.econbiz.de/10013201187
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For …
Persistent link: https://www.econbiz.de/10012611542
Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed...
Persistent link: https://www.econbiz.de/10010295297
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295321