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Financial integration, global liquidity and global macroeconomic linkages

Belke, Ansgar; Keil, Jonas - In: Journal of Economic Studies 43 (2016) 1, pp. 16-26

Purpose – The purpose of this paper is to analyse the effect of financial integration on several macroeconomic variables from a global perspective. Design/methodology/approach – The authors apply a cointegrated vector autoregression model using quarterly data for 1980-2009. Analysing the...

Persistent link: https://www.econbiz.de/10014864047

Industry level J -curve in Turkey

Durmaz, Nazif - In: Journal of Economic Studies 42 (2015) 4, pp. 689-706

Purpose – The purpose of this paper is to examine the J -Curve effect in Turkey at the industry level. Design/methodology/approach – In order to find the long-run and short-run effects, 58 industries (by Standard International Trade Classification Rev.3) have been identified by using monthly...

Persistent link: https://www.econbiz.de/10014864445

Does dollarization reduce or produce inflation?

Mengesha, Lula G.; Holmes, Mark J. - In: Journal of Economic Studies 42 (2015) 3, pp. 358-376

Purpose – The purpose of this paper is to address the unresolved outcome of the research on the impact of dollarization on inflation by examining the partially dollarized economy of Eritrea. Design/methodology/approach – Inflation under partial dollarization is modelled based on money demand...

Persistent link: https://www.econbiz.de/10014864630

The Great Leveraging in the European crisis countries

Cuestas, Juan Carlos; Staehr, Karsten - In: Journal of Economic Studies 44 (2017) 6, pp. 895-910

cointegrated one-to-one for Greece, Italy, Portugal and Spain, while there was no cointegration for Ireland. Estimation of vector …

Persistent link: https://www.econbiz.de/10014864698

Market linkages and conditional correlation between the stock markets of South and Central America

Panda, Ajaya Kumar; Nanda, Swagatika - In: Journal of Financial Economic Policy 9 (2017) 02, pp. 174-197

December 2015 are analyzed. Design/methodology/approach The Johansen and Juselius multivariate cointegration test, Granger … each other, suggesting a stronger linkages between national stock markets. Cointegration test confirms long-run equilibrium … uses various tools to investigate the dynamic linkages between markets.VAR, VECM, Cointegration and GARCH-DCC altogether in …

Persistent link: https://www.econbiz.de/10014867111

On the Relationship Between Asian Credit Default Swap and Equity Markets

Chan, Kam C.; Fung, Hung‐Gay; Zhang, Gaiyan - In: Journal of Asia Business Studies 4 (2009) 1, pp. 3-12

When extended to sovereign issuers, the Merton‐type structural model suggests a negative relationship between sovereign credit default swap (CDS) spreads and stock prices. In practice, capital structure arbitrage that exploits such relationships should foster the integration of CDS and the...

Persistent link: https://www.econbiz.de/10014838272

Long-run causal nexus between share price and dividend

Nirmala, P.S.; Sanju, P.S.; Ramachandran, M. - In: Journal of Asia Business Studies 8 (2014) 2, pp. 136-145

-run causal relations between share price and dividend. Prior to this, panel unit root tests and panel cointegration tests are …

Persistent link: https://www.econbiz.de/10014838567

Factors influencing fertilizer demand in developing countries: evidence from Malawi

Mustapha, Alhaji Bukar; Said, Rusmawati - In: Journal of Agribusiness in Developing and Emerging Economies 6 (2016) 1, pp. 59-71

Purpose – The purpose of this paper is to examine some factors that influence the intensity of fertilizer use in Malawi. Design/methodology/approach – The study uses Engle-Granger, Engle-Yoo three steps and autoregressive distributed lags (ARDLs) approaches to examine the long-run and the...

Persistent link: https://www.econbiz.de/10014839326

Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region

Thomas, Nisha Mary; Kashiramka, Smita; Yadav, Surendra S. - In: Journal of Advances in Management Research 14 (2017) 3, pp. 332-351

. Gregory and Hansen’s test of cointegration is employed to examine the stable long-run relationship between the indices under … diversification opportunities to global investors. Bidirectional cointegration analysis indicates that emerging and frontier markets … frontier markets. Unlike past studies, this paper analyzes the bidirectional cointegration relationship to examine if the …

Persistent link: https://www.econbiz.de/10014840192

Estimation of Total Energy Consumption in Jordan 1980‐1999: Evidence From Cointegration and Stock

Abdul Jabbar Saed, Afaf - In: Journal of Economic and Administrative Sciences 20 (2004) 1, pp. 71-82

The purpose of this study is to estimate the long‐run elasticities of the demand (consumption) for total energy in Jordan for the 1980‐1999 period. Assuming a simple linear relationship, in order to estimates the elasticities of a simple long‐run demand equation, we then employ a procedure...

Persistent link: https://www.econbiz.de/10014857496