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Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Hungary
Bakucs, Lajos Zoltan; Ferto, Imre - International Association of Agricultural Economists - IAAE - 2009
This article examines the impacts of monetary policy on agricultural prices in the Hungarian economy using time series analysis. The empirical results indicate that agricultural prices adjust faster to monetary shocks than industrial prices do, affecting relative agricultural prices in the short...
Persistent link: https://www.econbiz.de/10011069557
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Price Transmission Subject to Security‐based Trade Barriers in the Context of the Israeli‐Palestinian Conflict
Ihle, Rico; Rubin, Ofir D. - International Association of Agricultural Economists - IAAE - 2012
movement restrictions. An exogenous regime switching cointegration model is estimated using a novel extension of the Johansen …
Persistent link: https://www.econbiz.de/10011069647
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ANÁLISE DA COINTEGRAÇÃO E CAUSALIDADE DOS PREÇOS DE BOI GORDO EM DIFERENTES PRAÇAS NAS REGIÕES SUDESTE E CENTRO-OESTE DO BRASIL
Campos, Silva Kanadani; Silva, Adriana Ferreira; Costa, … - Sociedade Brasileira de Economia e Sociologia Rural - SOBER - 2008
been used the Johansen cointegration test and the Granger causality test with the use of the actual values of fat cattle in … the analyzed series had presented not stationary and, therefore, was carried through the cointegration test, about … concluded that all the regions had demonstrated relation of cointegration. The results of the causality test had shown that, in …
Persistent link: https://www.econbiz.de/10011069955
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Asset pricing tests with long run risks in consumption growth
Constantinides, George M.; Ghosh, Anisha - London School of Economics (LSE) - 2008
The Bansal and Yaron (2004) model of long run risks (LLR) in aggregate consumption and dividend growth and its extension that captures potential co- integration of the consumption and dividend levels, are tested on a cross-section of asset classes and rejected using annual data over the period...
Persistent link: https://www.econbiz.de/10011071278
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Multiple local whittle estimation in stationary systems
Robinson, Peter M. - London School of Economics (LSE) - 2007
cointegration, the consistency proof of these implicitly-defined estimates is nonstandard due to the β estimate converging faster …
Persistent link: https://www.econbiz.de/10011071412
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Time series tests of convergence of Chinese regional and provincial economic performance
Daly, Vince; Li, Hong - School of Economics, Kingston University - 2003
common trends among the provincial real incomes within Eastern and Central regions respectively while the cointegration …
Persistent link: https://www.econbiz.de/10011071594
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The Empirical Analysis of Budget Revenues and Expenditures in Turkey
AKAR, Sevda - In: Journal of BRSA Banking and Financial Markets 8 (2014) 1, pp. 141-159
). After that, the analysis continues with Gregory and Hansen (1996)’s cointegration test and Enders and Siklos (2001)’s TAR …
Persistent link: https://www.econbiz.de/10011074882
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Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures
Miller, J. Isaac - Economics Department, University of Missouri - 2012
Parsimoniously specified distributed lag models have enjoyed a resurgence under the MiDaS moniker (Mixed Data Sampling) as a feasible way to model time series observed at very different sampling frequencies. I introduce cointegrating mixed data sampling (CoMiDaS) regressions. I derive asymptotic...
Persistent link: https://www.econbiz.de/10011076208
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Time-varying Long-run Income and Output Elasticities of Electricity Demand
Miller, J. Isaac; Chang, Yoosoon; Kim, Chang Sik; Park, … - Economics Department, University of Missouri - 2014
It is widely accepted that long-run elasticities of demand for electricity are not stable over time. We model long-run sectoral electricity demand using a time-varying cointegrating vector. Specifically, the coefficient on income (residential sector) or output (commercial and industrial sectors)...
Persistent link: https://www.econbiz.de/10011076209
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On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
Miller, J. Isaac; Ghysels, Eric - Economics Department, University of Missouri - 2014
We analyze the sizes of standard cointegration tests applied to data subject to linear interpolation, discovering …
Persistent link: https://www.econbiz.de/10011076211