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Interest rate pass-through : a nonlinear vector error-correction approach

Popiel, Michal Ksawery - 2015

This paper analyzes pass-through from money market rates to consumer retail loan and deposit rates in Canada from 1983 to 2015 using a nonlinear vector error-correction model. In contrast to empirical frameworks used in previous studies, this model permits estimation of long-run pass-through...

Persistent link: https://www.econbiz.de/10011392140

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - 2015

The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10010518800

Testing for unit roots with cointegrated data

Reed, W. Robert - 2015

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...

Persistent link: https://www.econbiz.de/10011309691

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...

Persistent link: https://www.econbiz.de/10009767620

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10009771139

Economic regime shifts and the US subprime bubble

Anundsen, André Kallåk - 2013

of financing. -- cointegration ; regime shifts ; US housing bubble ; subprime lending ; bubble indicator …

Persistent link: https://www.econbiz.de/10009704286

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

Persistent link: https://www.econbiz.de/10010356541

Proximity and price co-movement in West African rice markets

Mengel, Caroline; Cramon-Taubadel, Stephan von - 2014

This study explores the link between proximity and price cointegration between two markets, where proximity is captured … with variables for geographical, political and cultural distance. Linear and threshold cointegration is tested for a set of …

Persistent link: https://www.econbiz.de/10010357875

Distance and border effects on price transmission : a meta-analysis

Mengel, Caroline; Cramon-Taubadel, Stephan von - 2014

cointegration and price transmission. A border separating two markets reduces the probability of cointegration of price series by 23 …% compared with markets located in the same country. 1000 kilometers of distance reduces the probability of cointegration by 7 … and cointegration is most prevalent for barley. Price transmission is slowest in wheat markets. In peer reviewed studies …

Persistent link: https://www.econbiz.de/10010357877