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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Pham-Thu, Hien - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...

Persistent link: https://www.econbiz.de/10010895341

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …

Persistent link: https://www.econbiz.de/10010895635

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...

Persistent link: https://www.econbiz.de/10010895669

Trade, Market Integration and Spatial Price Transmission on EU Pork Markets following Eastern Enlargement

Holst, Carsten; von Cramon-Taubdel, Stephan - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2014

The accession of ten countries to the EU in May 2004, and of Bulgaria and Romania in January 2007, eliminated barriers to trade between old and new, and among new member states. We analyse the effects of this accession on the integration of pork markets in the EU. Our results show that the speed...

Persistent link: https://www.econbiz.de/10010960831

Implications of Climate Variability for Yields of Major Staple Food Crops in Northern Ghana: Some Empirical Evidence

Amikuzuno, Joseph - Moroccan Association of Agricultural Economics (AMAEco) - 2011

important staple food crops in Northern Ghana. Applying pooled panel data of rainfall, temperature and yields of the selected … crops from 1976 to 2010 to cointegration and Granger causality models, there is cogent evidence of cointegration between … Savannah zones of Northern Ghana. This suggests that inter-annual yields of the crops have been influenced by the total mounts …

Persistent link: https://www.econbiz.de/10010960878

Ethanol, the Agricultural Economy, and Rural Incomes in the United States: A Bivariate Econometric Approach

Akinfenwa, Samson O.; Qasmi, Bashir A. - In: Agricultural and Resource Economics Review 43 (2014) 2

United States for 1981 through 2010. We use bivariate cointegration and Granger causality procedures and account for two …

Persistent link: https://www.econbiz.de/10011142612

Ethanol, the Agricultural Economy, and Rural Incomes in the United States: A Bivariate Econometric Approach

Akinfenwa, Samson O.; Qasmi, Bashir A. - Northeastern Agricultural and Resource Economics …

United States for 1981 through 2010. We use bivariate cointegration and Granger causality procedures and account for two …

Persistent link: https://www.econbiz.de/10011142626

U.S. Import Demand and Supply Response for Fresh Tomatoes, Cantaloupes, Onions, Oranges, and Spinach

Seale, James L. Jr.; Zhang, Lisha; Traboulsi, Mohamad R. - In: Journal of Agricultural and Applied Economics 45 (2013) 03

Elasticities of import demand and supply often drive economic models, but few empirical estimates of these elasticities exist for vegetables and fruits. For those that do exist, most are outdated. Because elasticities change over time as income, prices, and market conditions change, outdated...

Persistent link: https://www.econbiz.de/10011142841

Determinantes da Demanda Brasileira por Importação de Arroz: uma abordagem não linear

Poerschke, Rafael Pentiado; Morais, Igor Alexandre … - In: Brazilian Journal of Rural Economy and Sociology (RESR) 52 (2014) 1

The objective of this study is to analyze the behavior of the Brazilian demand for rough and milled rice between January 1995 and June 2010. The main aim is to test the adequacy of linear and non-linear relations that represent short and long-term variables on the demand. In general, long-term...

Persistent link: https://www.econbiz.de/10011142926

Determinants of Property Prices in Hong Kong SAR; Implications for Policy

Craig, R. Sean; Hua, Changchun - International Monetary Fund (IMF) - 2011

This paper uses an econometric model of residential property prices in Hong Kong SAR to assess the effectiveness of alternative policies in slowing the increase in property prices. The rapid rise in property prices is well explained by macroconomic fundamentals; real GDP per capital, real...

Persistent link: https://www.econbiz.de/10009370558