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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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Oil prices and their long-term relationship with macroeconomic and financial indicators
Bucevska, Vesna; Gjelevski, Borjan; Matevska, Lea - In: Economic review : journal of economics & business 21 (2023) 1, pp. 3-24
The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration …
Persistent link: https://www.econbiz.de/10014466537
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Unit root tests : the role of the univariate models implied by multivariate time series
Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …
Persistent link: https://www.econbiz.de/10011505987
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Tax and spend, spend and tax, fiscal synchronisation or institutional separation? : examining the case of Greece
Richter, Christian; Dimitrios, Paparas - In: Romanian journal of fiscal policy : RJFP 4 (2013) 2, pp. 1-17
, the Johansen (1988) cointegration approach and finally the Granger (1969) causality tests. We found strong evidence of …
Persistent link: https://www.econbiz.de/10010480257
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Is euro area money demand (still) stable? : cointegrated VAR versus single equation techniques
Belke, Ansgar; Czudaj, Robert - In: Applied economics quarterly 56 (2010) 4, pp. 285-315
applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …
Persistent link: https://www.econbiz.de/10009316570
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The validity of Okun's law in Nigeria : a difference model approach
Babalola, Sikiru Jimoh; Saka, Jimoh Olakunle; Adenuga, … - 2013
difference model approach of the Okun’s law are used even though one of them is frequently used in the literature. We utilize Var-cointegration …
Persistent link: https://www.econbiz.de/10009788571
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Empirical analysis of employment and foreign direct investment in Malaysia : an ARDL bounds testing approach to cointegration
Pinn, Stan Lee Shun; Kok Sook Ching; Mori Kogid; Dullah … - In: Advances in management & applied economics 1 (2011) 3, pp. 77-91
, and ECM-ARDL model. The results show that there is no cointegration relationship between employment and the FDI in the … other way round. -- employment ; FDI ; cointegration ; causality ; Malaysia …
Persistent link: https://www.econbiz.de/10009569735
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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory
Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64
cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …
Persistent link: https://www.econbiz.de/10003746940
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Cointegration tests using instrumental variables
Lee, Junsoo; Yucel, Ali Gokhan - In: International journal of empirical economics 1 (2022) 2, pp. 1-39
This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of … regressors, differing deterministic terms, structural dummies, and inclusion of stationary covariates. Thus, our IV cointegration …
Persistent link: https://www.econbiz.de/10014331711