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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...

Persistent link: https://www.econbiz.de/10005119158

Exports, Imports and Economic Growth in India.

Kónya, László; Pal Singh, Jai - Department of Economics and Finance, La Trobe Business … - 2006

With the advent of WTO, India entered into the era of trade reforms in 1991 and is moving gradually towards an open economy. It is widely believed that export and import growth is crucial in providing the impetus for economic growth in developing countries and imports provide the important...

Persistent link: https://www.econbiz.de/10010615388

Electricity consumption and GDP in an electricity community: Evidence from bound testing cointegration and Granger-causality tests

Alinsato, Alastaire Sèna - Volkswirtschaftliche Fakultät, … - 2009

. The study further establishes long- and short-run Granger causality running from GDP to electricity consumption for Benin … and short-run Granger causality running from GDP to electricity consumption for Togo. The results of the cointegration … test and the causality reflect better the Benin and Togo economies that are less dependent on electricity. The absence of …

Persistent link: https://www.econbiz.de/10008619175

Predicting Markov-Switching Vector Autoregressive Processes

Krolzig, Hans-Martin - Department of Economics, Oxford University - 2000

While there has been a great deal of interest in the modelling of non-linearities and regime shifts in economic time series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general approach to predict multiple time series subject to...

Persistent link: https://www.econbiz.de/10010605227

Cliometrics and Time Series Econometrics: Some Theory and Applications

Grreasley, David - Department of Economics and Finance, College of … - 2010

regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter …

Persistent link: https://www.econbiz.de/10008455450

Revisiting the Temporal Causality between Money and Income

Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2005

-directional causality between money and income. When we apply Granger Causality tests we find that income Granger causes money. The … causality disappears when we add interest rates. Next when we use an Error Correction Model the results of the traditional … Granger causality tests hold true in the bivariate system. But, we observe bi-causality under longer lag specifications, and …

Persistent link: https://www.econbiz.de/10005773212

Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score

Angrist, Joshua; Kuersteiner, Guido M. - Institute for the Study of Labor (IZA) - 2008

effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes … a time series setting. This leads to a generalized definition of Sims (1980) causality. A technical contribution is the …

Persistent link: https://www.econbiz.de/10005822414

Causal inference by independent component analysis with applications to micro- and macroeconomic data

Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - 2010

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

Persistent link: https://www.econbiz.de/10010269741

Causality in Vietnam's parallel exchange rate system during 2005-2011: Policy implications for macroeconomic stability

Bui, Minh Tam - In: Economies 6 (2018) 4, pp. 1-20

As in many transition economies, Vietnam has experienced a multiple exchange rate system with three exchange rates having co-existed. This paper uses the Vector-Error-Correction model and the Granger tests to investigate the relationship between the official and black market exchange rates from...

Persistent link: https://www.econbiz.de/10012009857

The vanishing role of money in the macroeconomy: An Empirical investigation based on spectral and wavelet analysis

Nachane, D.M.; Dubey, Amlendu Kumar - Indira Gandhi Institute of Development Research (IGIDR) - 2008

The recent de-emphasizing of the role of "money" in both theoretical macroeconomics as well as in the practical conduct of monetary policy sits uneasily with the idea that inflation is a monetary phenomenon. Empirical evidence has, however, been accumulating, pointing to an important leading...

Persistent link: https://www.econbiz.de/10005537304