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Cointegration of International Stock Market Indices

Chou, Ray Yeu-Tien - 1994

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …

Persistent link: https://www.econbiz.de/10014395829

Demand for M2 in an Emerging-Market Economy : An Error-Correction Model for Malaysia

Sriram, Subramanian S. - 1999

-economy framework. Based on the cointegration and weak-exogeneity test results, short-run dynamic error-correction models are specified …

Persistent link: https://www.econbiz.de/10014399799

Money Demand in Guyana

Egoumé-Bossogo, Philippe - 2000

This paper analyzes broad money demand (M2) in Guyana from January 1990 to September 1999; a period marked by deep transformations aimed at shifting Guyana from a centralized to a market economy. The paper develops a stable error-correction model based on a long-run cointegrating vector of money...

Persistent link: https://www.econbiz.de/10014399832

A Cointegration Model for Search Equilibrium Wage Formation

International Monetary Fund - 2004

cointegration approach. It finds that labor flows, and notably flows from outside the labor market, are important determinants of …

Persistent link: https://www.econbiz.de/10014401436

Does Fiscal Policy Matter for the Trade Account? : A Panel Cointegration Study

Nickel, Christiane - 2006

This paper analyzes the empirical relationship between fiscal policy and the trade account. Research prior to this paper did not consider that the components of private and public demand in the import demand equation exhibit different elasticities. Using pooled mean group estimation for annual...

Persistent link: https://www.econbiz.de/10014402247

Broad Money Demand and Monetary Policy in Tunisia

Treichel, Volker - 1997

The development of empirical foundations to the conduct of monetary policy in Tunisia is the central concern of this paper. Finding stable money demand functions, it broadly corroborates the choice of monetary aggregates as intermediate targets of monetary policy by the Tunisian Central Bank. It...

Persistent link: https://www.econbiz.de/10014403786

The Equilibrium Real Exchange Rate of the Malagasy Franc : Estimation and Assessment

Cady, John - 2003

Employing cointegration techniques, the long-run determinants of Madagascar''s real exchange rate are examined from a …

Persistent link: https://www.econbiz.de/10014404020

Forecasting Commodity Prices : Futures Versus Judgment

Husain, Aasim M. - 2004

This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear...

Persistent link: https://www.econbiz.de/10014404097

Challenging the Empirical Evidence From Present Value Models of the Current Account

Miniane, Jacques - 2004

Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...

Persistent link: https://www.econbiz.de/10014404141

Understanding Inflation Inertia in angola

Kyei, Alexander - 2009

In recent years, the decline in inflation in Angola has stalled and further steps may be needed to attain the authorities'' medium term goal of meeting the Southern African Development Community (SADC) convergence criteria of a low single digit inflation rate. A Vector Error Correction (VEC)...

Persistent link: https://www.econbiz.de/10014402500