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Structural breaks, cointegration and the Fisher effect
Beyer, Andreas; Haug, Alfred Albert; Dewald, William G. - 2009
of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration. -- Fisher …
Persistent link: https://www.econbiz.de/10003831793
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...
Persistent link: https://www.econbiz.de/10003867061
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Global liquidity and commodity prices : a cointegrated VAR approach for OECD countries
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2009
CVAR fits the data very well. -- Commodity prices ; cointegration ; CVAR analysis ; global liquidity ; inflation …
Persistent link: https://www.econbiz.de/10003824866
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
. -- price impact ; limit order ; impulse response function ; cointegration …
Persistent link: https://www.econbiz.de/10003893148
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009
regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity … suggested model is shown to deliver forecasts that are more precise compared to competing models. -- Cointegration ; electricity …
Persistent link: https://www.econbiz.de/10003872445
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Spurious correlation in estimation of the health production function : a note
Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009
; Innovation ; Pharmaceuticals ; Health care expenditure ; Cointegration …
Persistent link: https://www.econbiz.de/10003900852
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The euro and the transatlantic capital market leadership : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector...
Persistent link: https://www.econbiz.de/10003375781
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Common and uncommon sources of growth in Asia Pacific
Weber, Enzo (contributor) - 2006
Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector …
Persistent link: https://www.econbiz.de/10003375991
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Testing for the cointegrating rank of a VAR process with level shift and trend break
Trenkler, Carsten (contributor);  … - 2006
corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …
Persistent link: https://www.econbiz.de/10003376003
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
. -- Price Impact ; Limit Order ; Impulse Response Function ; Cointegration …
Persistent link: https://www.econbiz.de/10003909348