Search results for "Cointegration"
showing 10 items of 62 documents
Nordic stock market integration
2001
A dynamic analysis of SP 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates.
2018
In this study, we assess the dynamic evolution of short-term correlation, long-term cointe-gration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the time-varying integration among the S&P 500, FTSE 100 and EURO STOXX 50 indices. The results obtained show that the dynamic correlation, cointegration and ECM-based long-run Gra…
Price convergence of peripheral European countries on the way to the EMU: A time series approach
2000
This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.
Tests for real and complex unit roots in vector autoregressive models
2014
The article proposes new tests for the number of real and complex unit roots in vector autoregressive models. The tests are based on the eigenvalues of the sample companion matrix. The limiting distributions of the eigenvalues converging to the unit eigenvalues turn out to be of a non-standard form and expressible in terms of Brownian motions. The tests are defined such that the null distributions related to eigenvalues +/-1 are the same. The tests for the unit eigenvalues with nonzero imaginary part are defined independently of the angular frequency. When the tests are adjusted for deterministic terms, the null distributions usually change. Critical values are tabulated via simulations. Al…
Exploring the finance-real economy link in U.S.: an empirical evidence from panel unit root and cointegration analysis
2011
International audience
Long-Run Determinants and Short-Run Dynamics of the Trade Balance in the Eu-15 Countries
2016
Several studies have analyzed the long-run determinants of current account balances using panel cointegration techniques. In this paper we will study both the long-run determinants and the short-run dynamics of the trade balances in the EU-15 countries. We will analyze each country separately and decompose the aggregate trade balance into the intra balance (trade balance vis-a-vis euro area) and the extra balance (trade balance vis-a-vis the rest of the world). Overall, our results suggest that there are significant differences in the long-run relations across the EU-15 countries which might be overlooked in the panel cointegration studies. In most of the countries there is a long-run coint…
Studies on money and labour market dynamics and goods market imperfections
2010
On the Substitutability between Paid-employment and Self-employment: Evidence from the Period 1969–2014 in the United States
2019
This paper provides estimates of the elasticity of substitution between operational and managerial jobs in the US economy during the years 1969–2014, derived from an aggregate CES production function. Estimating the long-term relationship between (the log of) the aggregate employment/self-employment ratio and (the log of) the returns from paid-employment relative to self-employment and testing for structural breaks, we report different estimates of the elasticity of substitution in each of the two regimes identified. To this end we apply the methodology on instability tests proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and Kurozumi (2007) …
Równowaga długookresowa pomiędzy cenami w łańcuchu dostaw na rynku mleka
2019
Łańcuch dostaw żywności łączy działania, ze sfery pierwotnej produkcji rolnej (rolnika) aż do konsumenta. Obejmuje on producentów, dostawców, firmy transportowe, magazyny, sprzedawców hurtowych i detalicznych, organizacje usługowe oraz konsumentów. Poziomy cen w poszczególnych ogniwach łańcucha dostaw na rynku mleka, ale nie tylko, charakteryzują się cyklicznością. Celem artykułu jest zbadanie, na podstawie danych pochodzących z Głównego Urzędu Statystycznego, występowania długookresowych zależności pomiędzy cenami na rynku mleka w poszczególnych ogniwach łańcucha dostaw. W badaniach wspomnianych zależności pomocny będzie test na występowanie kointegracji Engle’a-Grangera. Zakres czasowy an…
Threshold Effects in the U.S. Budget Deficit. ECONOMIC INQUIRY
2004
We contribute to the debate on whether the U.S. large federal budget deficits are sustainable in the long run. We model the U.S. government deficit per capita as a threshold autoregressive process. We find evidence that the U.S. budget deficit is sustainable in the long run and that economic policy makers will only intervene to reduce per capita deficit when it reaches a certain threshold.