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Regional and Outward Economic Integration in South-East Asia
Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
synchrony in the GDPs. According tests for cointegration and common serial correlation features reveal a high degree of …
Persistent link: https://www.econbiz.de/10005652796
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Assessing Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets With the Johansen Estimation Method
Ihle, Rico; Amikuzuno, Joseph - Courant Research Centre PEG - 2010
We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its...
Persistent link: https://www.econbiz.de/10008784665
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Convergence and Cointegration
Garcia-Hiernaux, Alfredo; Guerrero, David - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper provides a new, uni¯ed, and °exible framework to measure and characterize convergence in prices. We formally de¯ne this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement...
Persistent link: https://www.econbiz.de/10009142364
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Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
Zehirun, Mulatu F.; Breitenbach, Marthinus C.; Kemegue, … - Department of Economics, Faculty of Economic and … - 2015
area (OCA) theory. We apply Johansen’s multivariate co-integration technique, panel unit root tests, Pedroni’s residual … cointegration test and error correction based panel cointegration tests. The findings from this study confirm that GPPP holds among … SADC member countries included in this study on account of cointegration and stationarity in real exchange rate series. The …
Persistent link: https://www.econbiz.de/10011165590
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Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
Zerihun, Mulatu F; Breitenbach, Marthinus C; Kemegue, … - Economic Research Southern Africa (ERSA) - 2015
area (OCA) theory. We apply Johansen’s multivariate co-integration technique, panel unit root tests, Pedroni’s residual … cointegration test and error correction based panel co-integration tests. The findings from this study confirm that GPPP holds among … SADC member countries included in this study on account of cointegration and stationarity in real exchange rate series. The …
Persistent link: https://www.econbiz.de/10011165826
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Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity
Chan, Tze-Haw; Khong, Wye Leong Roy; Baharumshah, Ahmad … - Volkswirtschaftliche Fakultät, … - 2003
To examine the validity of real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest differentials of ASEAN-5.vis-à-vis Japan during the post liberalization era...
Persistent link: https://www.econbiz.de/10005790478
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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010292798
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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010293966
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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Measuring the Impact of Exchange Rate Movements on Domestic Prices: A Cointegrated VAR Analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...
Persistent link: https://www.econbiz.de/10011345539