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Testing for Correlation and Causality Relationships between Stock Prices and Macroeconomic Variables the Case of Palestine Securities Exchange

Abu-Libdeh, Haneen - 2014

This study aims at investigating the correlation and causality relationships between stock prices in Palestine and some macroeconomic variables. Two methodologies were used in order to determine the relationships, first we used a regression analysis for ten years' worth of quarterly data (40...

Persistent link: https://www.econbiz.de/10013054555

Financial Sector Reforms and Economic Growth in Ghana : A Dynamic ARDL Model

Owusu, Erasmus - 2015

This paper examines the relationship between financial sector reforms and sustainable economic growth in Ghana. Employing the autoregressive distributed lag (ARDL) bounds testing approach and using GDP per capita as a growth indicator, this paper establishes a long-run relationship between...

Persistent link: https://www.econbiz.de/10013016078

Linkages between Real & Financial Sector : Empirical Evidence from India Using ARDL Approach

Tripathi, Vanita - 2015

(ARDL) model, LM serial correlation test, CUSUM test and Johansen Cointegration test to capture the nature of relation … Credit). ARDL and Johansen Cointegration Test results reveal that GDP is significantly explained by its own past values (both …

Persistent link: https://www.econbiz.de/10013017153

Pairs Trading Using Fractional Cointegration Approach and Its Comparison with Cointegration Approach

Ramezanifar, Ehsan - 2015

The objective of this research is to apply the recently developed fractional cointegration vector autoregressive (FCVAR …) model in developing pairs trading model and compare the results to that of the cointegration approach. To the best of our … knowledge, there are no papers on fractional cointegration approach to date. Hence, this paper would be the first practical …

Persistent link: https://www.econbiz.de/10013021655

Estimating Unknown Arbitrage Costs : Evidence from a 3-Regime Threshold Vector Error Correction Model

Ters, Kristyna - 2018

We present a methodology for estimating a 3-regime threshold vector error correction model (TVECM) with an unknown cointegrating vector based on a new dynamic grid evaluation. This model is particularly suited to estimating deviations from parity conditions such as unknown arbitrage costs in...

Persistent link: https://www.econbiz.de/10012929611

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10012705391

A Primer on the Economics and Time Series Econometrics of Wealth Effects : A Comment

Lettau, Martin - 2013

labor income. Although cointegration implies that an equilibrium relation ties these variables together in the long run, the …

Persistent link: https://www.econbiz.de/10012711662

Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During COVID-19 Outbreak : An ARDL Approach

Asaad, Zeravan - 2021

, the study results accepted the null hypothesis of no cointegration exists between the variables respectively for the (Full …

Persistent link: https://www.econbiz.de/10013215302

Sensitivity of Profitability in Cointegration-Based Pairs Trading

Brunetti, Marianna; De Luca, Roberta - 2022

The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...

Persistent link: https://www.econbiz.de/10013292639

European Sovereign CDS Premia during the Crisis – A Cointegration Analysis

Schmidt, Alexander - 2013

In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I ﬁnd evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...

Persistent link: https://www.econbiz.de/10013078906