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Sahito, Jam Ghulam Murtaza - 2015

integration in Pakistan’s south and north Punjab regions, mainly relying on co-integration only and not considering advanced … Dickey Fuller (ADF) test and it was found that all prices are integrated of order one, commonly written as I(1). Co-integration … was also identified in all price series pairs using Johansen’s co-integration test. The Vector Error Correction Model …

Persistent link: https://www.econbiz.de/10011338160

Spatial market integration and the dynamics of transaction costs in the Chinese soy bean market

Brosig, Stephan; Weitzel, Enno-Burghard; Glauben, Thomas; … - 2007

The development over time of market integration between Chinese provinces is analyzed by estimating threshold vector error correction models for rolling windows during 1998-2003. Transaction costs clearly decrease during this period characterized by liberalization of external trade and domestic...

Persistent link: https://www.econbiz.de/10011525791

Price Convergence and Cointegration

García-Hiernaux, Alfredo - 2017

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process. Specifically, we formally define the notion of price convergence and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework...

Persistent link: https://www.econbiz.de/10012975957

Measuring macroeconomic convergence and divergence within EMU using long memory

Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020

existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher …

Persistent link: https://www.econbiz.de/10012252805

Panel data analysis of the proposed monetary union in the Southern African development community

Zerihun, Mulatu Fekadu; Breitenbach, Marthinus C. - In: Spoudai : journal of economics and business 67 (2017) 4, pp. 23-44

1995-2016. We use first and second generation panel unit root tests and panel cointegration tests to test mainly for … stationarity and cointegration of real exchange rate series for the group of SADC countries. The findings from this study confirm … that there is stationarity and cointegration of the real exchange rate series among the 11 SADC member countries included …

Persistent link: https://www.econbiz.de/10011843930

Inflation convergence after the introduction of the Euro

Mentz, Markus; Sebastian, Steffen P. - Center for Financial Studies - 2003

Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged … in cointegration analyses we pay special attention to the appropriate identification of non-stationary inflation rates by …

Persistent link: https://www.econbiz.de/10010958595