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Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

Persistent link: https://www.econbiz.de/10012171036

Testing for multiple level shifts with an integrated or stationary noise component

Carrion i Silvestre, Josep Lluís; Gadea, María Dolores - In: Journal of applied econometrics 38 (2023) 6, pp. 801-819

Persistent link: https://www.econbiz.de/10014432113

PPP and the Balassa Samuelson effect : the role of the distribution sector

MacDonald, Ronald; Ricci, Luca Antonio - 2001

This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...

Persistent link: https://www.econbiz.de/10011398102

Comparing data sources of real GDP in purchasing power parities

Bentzen, Jan - In: Applied economics letters 22 (2015) 16/18, pp. 1303-1308

Persistent link: https://www.econbiz.de/10011380157

Testing purchasing power parity in a DFA rolling Hurst framework : the case of 23 OECD countries

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Applied financial economics 23 (2013) 16/18, pp. 1399-1406

Persistent link: https://www.econbiz.de/10010259398

Revisiting purchasing power parity in 34 OECD countries : sequential panel selection method

Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Liu, Wen-Chi - In: Applied economics letters 21 (2014) 16/18, pp. 1283-1287

Persistent link: https://www.econbiz.de/10010467480

Revisiting Purchasing Power Parity in OECD

Jiang, Chun; Bahmani-Oskooee, Mohsen; Chang, Tsangyao - In: Applied economics 47 (2015) 40/42, pp. 4323-4334

Persistent link: https://www.econbiz.de/10011294569

The mining sector boom in Mongolia : did it cause the Dutch disease?

Dagys, Kadirbyek; Heijman, Willem; Dries, Liesbeth; … - In: Post-communist economies 32 (2020) 5, pp. 607-642

Persistent link: https://www.econbiz.de/10012266806

VAR Analysis on the relationship between consumer price index, real interest and exchange rate : the case of Turkey

Sünbül, Ersin - In: International journal of empirical economics 1 (2022) 2, pp. 1-24

The study aims to examine the relationships between variables from different perspectives by using Turkey's Real exchange rate (TL/USD), Real interest rate and Consumer price index data. Data from 2012M7 to 2021M12 were used in the study. In order to examine the relationships between the...

Persistent link: https://www.econbiz.de/10014331729

Das Theorem der Kaufkraftparität : eine empirische Betrachtung unter dem Aspekt neuerer Verfahren der Zeitreihenanalyse

Holzer, Stefan - 1994

Persistent link: https://www.econbiz.de/10000890796