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The Marginal Density of Bivariate Cointegration Estimators.

Abadir, Karim; Paruolo, P. - Business School, University of Exeter - 1994

The limiting marginal density of efficient estimators of bivariate cointegration vectors is derived in closed form. The …

Persistent link: https://www.econbiz.de/10008852345

Cointegration Theory, Equilibrium and Disequilibrium Economics.

Abadir, Karim; Larsson, R. - Business School, University of Exeter - 1994

. Cointegration was taken to be the statistical expression of the notion of equilibrium in economics. But is it still possible to talk … of cointegration when "disequilibrium" economics prevails? This note argues that it is, and that the duality is strongest … between cointegration theory and economic theories of nonclearing markets. By setting up a simple model, it is shown that …

Persistent link: https://www.econbiz.de/10008852384

Testing for Cointegration: The Effects of Mis-Specifying the Lag Length.

Bewley, R.; Yang, M. - School of Economics, UNSW Business School - 1993

Persistent link: https://www.econbiz.de/10005631380

The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation

Ilmolelian, Peter - EconWPA - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005119105

Monetization in Low- and Middle-Income Countries

Kinoshita, Noriaki; McLoughlin, Cameron - International Monetary Fund (IMF) - 2012

The degree of an economyâ€™s monetization, which has an important implication on economic growth, can be affected by the conduct of monetary policy, financial sector reform, and episodes of financial crises. The paper finds that monetization--measured by the ratio of broad money to nominal...

Persistent link: https://www.econbiz.de/10011142100

Correlations in Emerging Market Bonds; The Role of Local and Global Factors

Hamann, A. Javier; Bunda, Irina; Lall, Subir - International Monetary Fund (IMF) - 2010

This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or...

Persistent link: https://www.econbiz.de/10008561082

Cointegration: An Introduction to the Literature

Perman, Roger - In: Journal of Economic Studies 18 (1991) September, pp. 3-30

An overview of the cointegration approach to econometric specification and estimation is provided. A non … knowledge of the subject but with some limited knowledge of econometrics. Particular emphases are given to the rationale for … using cointegration techniques in the estimation of economic relationships, to providing intuitive explanations of the …

Persistent link: https://www.econbiz.de/10008459576

On Cointegration Test for VAR Models with Drift.

Yang, M.; Bewley, R. - School of Economics, UNSW Business School - 1995

Persistent link: https://www.econbiz.de/10005664144

An introduction to stochastic Unit Root Processes.

Granger, E.J.; Swanson, N.R. - Department of Economics, Pennsylvania State University - 1996

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

Persistent link: https://www.econbiz.de/10005664250

Vector Autoregression Modelling and Forecasting Growth of South Korea

Ghatak, A. - Leicester Business School, De Montfort University - 1997

In this paper we have estimated Vector Autoregression (VAR), Bayesian VAR and Vector Error Correction models (VECMs) using annual time series data of SOuth Korea for 1950-1994. We find evidence supporting the view that growth of real per capita income has been aided by income, investment and...

Persistent link: https://www.econbiz.de/10005669900