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The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market

Aono, Kohei; Iwaisako, Tokuo - Institute of Economic Research, Hitotsubashi University - 2008

The first contribution of this paper, following the works of Lettau and Ludvigson (2001a,b), is construction of the Japanese consumption-wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption-wealth ratio does not predict future stock...

Persistent link: https://www.econbiz.de/10005574141

Electricity Demand Analysis Using Cointegration and ARIMA Modelling: A case study of Turkey

Erdogdu, Erkan - Volkswirtschaftliche Fakultät, … - 2007

part of the endeavors to avoid the so-called “energy crisis”. Using cointegration analysis and autoregressive integrated …

Persistent link: https://www.econbiz.de/10008557082

Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10008557209

Macroeconomic outcomes and the relative position of Argentina’s economy: 1875-2000

Sanz Villarroya, Isabel - Facultad de Economía y Empresa, Universidad de Zaragoza - 2007

This paper attempts to investigate the main factors behind Argentina’s economic decline comparing its evolution to that of Australia and Canada. With this objective, we have constructed a reduced index of economic freedom which captures and summarises the main political macroeconomic outcomes...

Persistent link: https://www.econbiz.de/10008642245

EXPORT-LED GROWTH HYPOTHESIS IN THE MENA REGION: A MULTIVARIATE COINTEGRATION, CAUSALITY AND STABILITY ANALYSIS

Husein, J - In: Applied Econometrics and International Development 10 (2010) 2

Empirical evidence supporting the export-led growth (ELG) hypothesis has been mixed and inconclusive. Some studies may … have been misspecified since they tested the ELG hypothesis using bivariate models. Others used multivariate cointegration … third variable. We utilize Johansen and Juselius cointegration procedure and error correction modeling to test the ELG …

Persistent link: https://www.econbiz.de/10008642418

Exchange Rate Pass-through in Nigeria: Evidence from a Vector Error Correction Model

Aliyu, Shehu Usman Rano; Yakub, Ma'aji Umar; Sanni, … - Volkswirtschaftliche Fakultät, … - 2009

The paper investigates the degree of exchange rate pass-through to import and consumer prices in Nigeria between 1986Q1 … is low, slightly higher in the import than in the consumer prices, significant and persistent. A one percent shock to … exchange rate, for instance, results in 14.3 and -10.5 percent pass-through effect to import and consumer prices four quarters …

Persistent link: https://www.econbiz.de/10008642708

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008643684

On the Identification of Codependent VAR and VEC Models

Trenkler, Carsten; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2010

In this paper we discuss identification of codependent VAR and VEC models. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and corresponding likelihood ratio testing...

Persistent link: https://www.econbiz.de/10008643718

Testing for Codependence of Non-Stationary Variables

Trenkler, Carsten; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2010

We analyze non-stationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed...

Persistent link: https://www.econbiz.de/10008643719

Testing for Stochastic Trends in Series with Structural Breaks

Busetti, Fabio - Banca d'Italia - 2000

This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate Locally Best Invariant test and the common trend test of Nyblom and Harvey...

Persistent link: https://www.econbiz.de/10005113652