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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …
Persistent link: https://www.econbiz.de/10011715983
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Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Akram, Qaisar Farooq - 2019
Empirical relationships between crude oil prices and exchange rates of oil exporting countries tend to vary over time. I use econometric models of the norwegian and canadian nominal exchange rates to investigate whether such time-variation could reflect shifts in the key oil price drivers over...
Persistent link: https://www.econbiz.de/10012214320
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Exchange rate hysteresis in UK imports from the South Asian countries
Aziz, Nusrate; Ahmad, Ahmad Hassan - 2018
We investigate and find evidence for the hysteresis hypothesis in UK imports from South Asian countries, using a monthly sample data that covers 1999 to 2012. This paper finds evidence of the asymmetric effect of exchange rate volatility that "large" depreciations significantly reduce UK imports...
Persistent link: https://www.econbiz.de/10011791216
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Trade liberalisation in Mexico : rhetoric and reality
Pacheco-López, Penélope (contributor);  … - 2004 - [Elektronische Ressource]
This paper examines the process of trade liberalisation in Mexico, particularly since the mid-1980s and the signing of the NAFTA agreement, and its impact on economic performance. The average growth of GDP of the Mexican economy since liberalisation has been only one-half the rate...
Persistent link: https://www.econbiz.de/10002024403
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The impact of trade liberalisation on exports, imports, the balance of payments and growth : the case of Mexico
Pacheco-López, Penélope (contributor) - 2004 - [Elektronische Ressource]
The aim of this paper is to disentangle the effects of trade liberalisation during the mid-1980s from the liberalisation involved in the North American Free Trade Agreement (NAFTA) on exports, imports and the balance of payments in Mexico. The main empirical results suggest that the trade...
Persistent link: https://www.econbiz.de/10001923534
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Current account sustainability in the US : what do we really know about its?
Christopulos, Dēmētrēs K. (contributor);  … - 2004 - [Elektronische Ressource]
-linear behaviour under the null of stationarity. This is confirmed by a set of non-linearity tests. We then fit an ESTAR model to the … current account dynamics and reject the null of non-stationarity. Hence, we conclude in favour of sustainability. Furthermore … equilibrium and a slower speed of mean reversion. -- Current account sustainability ; stationarity ; non-linear models …
Persistent link: https://www.econbiz.de/10002364771
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Does the real interest parity hypothesis hold? : Evidence for developed and emerging markets
Ferreira, Alex Luiz (contributor);  … - 2003 - [Elektronische Ressource]
Evidence is presented on the Real Interest Parity Hypothesis for a set of emerging and developed countries. This is done by carrying out a set of unit-root tests on the real interest differentials with respect to Germany and the US. Our results support the hypothesis of a rapid reversion towards...
Persistent link: https://www.econbiz.de/10001877121
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Futures markets, oil prices and the intertemporal approach to the current account
Arbatli, Elif C. (contributor) - 2008
The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...
Persistent link: https://www.econbiz.de/10003790571
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Sobreapreciação cambial no Brasil : estimativa, causas e consequências (1994 - 2008)
Araujo, Eliane Cristina de; Leite, Marcos Vinicius Chiliatto - 2009
This article analyzes the exchange rate misalignment in Brazil in the period between 1994 and the early 2008, exploring its causes and consequences. The method used was to adjust the exchange rate according to the economic fundamentals. The estimations led to an expected long-term exchange rate,...
Persistent link: https://www.econbiz.de/10003857099
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International capital flows and bond risk premia
Sierra, Jesus - 2010
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...
Persistent link: https://www.econbiz.de/10003981333