Similar Search Results

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive … distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long … against inflation in the United States and Canada. …

Persistent link: https://www.econbiz.de/10012886334

Instability in Cointegration Regressions : Evidence from Inflation Rate Convergence in EU Countries

Sosvilla-Rivero, Simon; Olloqui, Irene - 2002

We use cointegration tests that determine endogenously the regime shift to test for bilateral inflation rate … convergence in the European Countries in the 1961-1997 period. When applying cointegration tests that do not allow for structural … breaks, only for seven of the fourteen countries examined we find evidence of a long run relationship between their inflation …

Persistent link: https://www.econbiz.de/10014128476

A Structural Common Factor Approach to Core Inflation Estimation and Forecasting

Morana, Claudio - 2013

In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain … principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the common persistent feature in inflation and excess nominal money growth and bears the interpretation of monetary …

Persistent link: https://www.econbiz.de/10014061779

On the stability of the Phillips Curve in Nigeria : does the Lucas Critique apply?

Tule, Moses Kpughur; Adeleke, Adegoke Ibrahim - In: West African journal of monetary and economic integration 19 (2019) 2, pp. 45-70

This study seeks to examine the stability of the Phillips Curve in Nigeria, as well as to ascertain the applicability of the popular Lucas Critique to the Phillips Curve in Nigeria. Using quarterly data from 1990Q1 to 2018Q3, the model is estimated with robust OLS that accounts for possible...

Persistent link: https://www.econbiz.de/10013348461

Validity of purchasing power parity for selected Latin American countries : linear and non-linear unit root tests

Vasconcelos, Claudio Roberto Fóffano; Lima Júnior, … - In: Economia : revista da ANPEC 17 (2016) 1, pp. 114-125

The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008)...

Persistent link: https://www.econbiz.de/10011865666

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …, and we are not aware of any study that has applied TVC and DFA to investigate the long-run validity and determinants of …

Persistent link: https://www.econbiz.de/10014500904

THE NEXUS BETWEEN PUBLIC EXPENDITURE AND INFLATION IN THE MEDITERRANEAN COUNTRIES

MAGAZZINO, Cosimo - In: Theoretical and Practical Research in Economic Fields II (2011) 1, pp. 94-107

The aim of this article is to assess the empirical evidence of the nexus between public expenditure and inflation for …(2) process. Moreover, a long-run relationship between the share of public expenditure and inflation is found for Cyprus … from inflation to expenditure for Cyprus, France and Spain; and of a bidirectional flow for Italy, Malta and Portugal. Some …

Persistent link: https://www.econbiz.de/10009653233

The nexus between public expenditure and inflation in the Mediterranean countries

Magazzino, Cosimo - Volkswirtschaftliche Fakultät, … - 2011

The aim of this article is to assess the empirical evidence of the nexus between public expenditure and inflation for …(2) process. Moreover, we find a long-run relationship between the growth of public expenditure and inflation only for … inflation for Cyprus, Malta and Spain; of a bidirectional flow for Italy; and from inflation to public expenditure for France …

Persistent link: https://www.econbiz.de/10008804692

A conversation with Søren Johansen

Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

Persistent link: https://www.econbiz.de/10013355167

A conversation with Katarina Juselius

Jusélius, Katarina (interviewee); … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355175