Search results for "parity"
showing 10 items of 513 documents
Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC
1996
The aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis a vis the European Community for the period 1980–89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Joh…
DOES REAL INTEREST RATE PARITY HOLD FOR OECD COUNTRIES? NEW EVIDENCE USING PANEL STATIONARITY TESTS WITH CROSS-SECTION DEPENDENCE AND STRUCTURAL BREA…
2010
This paper tests for real interest rate parity (RIRP) among the 17 major Organisation for Economic Cooperation and Development countries over the period 1978:Q1–2006:Q1. The econometric methods applied consist of combining the use of panel data tests that are valid under cross-section dependence and the presence of multiple structural breaks. This feature is important because the misspecification errors due to not accounting for structural breaks and/or cross-section dependence can lead to misleading conclusions. Our results support the fulfilment of the weak version of the RIRP for short-term interest rate differentials once dependence and structural breaks are considered.
Oil prices and Spanish competitiveness
2002
Abstract This paper tries to find, using panel cointegration techniques, the factors explaining the real exchange rate of the Spanish peseta following the monetary approach to exchange rate determination developed in Meese and Rogoff (1988). In addition to the real interest rate differential, the real oil price (adjusted accounting for the relative oil dependence of the countries considered) is included as one of the main long-run determinants. The results are favorable to this simple model, stressing the role played by both, demand and supply factors, to explain the behavior of the peseta real exchange rate. However, the results are not homogeneous in the case of the real oil prices: this …
The dark side of the sun: How solar power production affects the market value of solar and gas sources
2015
Abstract Using daily data for the Italian wholesale day-ahead power market over the period 2008–2013, we assess the impact of solar production on the market value of solar and gas sources, defined using the concepts of value factor and unit revenues. We find that, on average, solar generation negatively affects the solar source market value, causing a departure from the grid parity condition and mining their competitiveness once public incentives are removed. This negative relation is not constant over time and becomes stronger for increasing solar penetration in the energy mix. Interestingly, the opposite is found when looking at gas. While the relation between solar production and the gas…
TESTING FOR REAL INTEREST RATE PARITY USING PANEL STATIONARITY TESTS WITH DEPENDENCE: A NOTE*
2009
In this paper we test for real interest parity (RIRP) among the 19 major OECD countries over the period 1978:Q1–2006:Q1 using both short- and long-run definitions of interest rates. Once the independence hypothesis is rejected among these series, we test for RIRP using panel data unit root and stationarity tests based on common factor models that allow for pervasive forms of dependence. Our results indicate that there is no evidence in favor of the weak version of the RIRP since one of the common factors that have been estimated is non-stationary.
Linear and nonlinear interest rate sensitivity of Spanish banks
2011
Abstract Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non-parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique…
Space-time analysis of GDP disparities among European regions : a Markov chains approach
2004
The purpose of this paper is to study the evolution of the disparities between 138 European regions over the 1980-1995 period. We characterize the regional per capita GDP cross-sectional distribution by means of nonparametric estimations of density functions and we model the growth process as a first-order stationary Markov chain. Spatial effects are then introduced within the Markov chain framework using regional conditioning (Quah, 1996b) and spatial Markov chains (Rey, 2001). The results of the analysis indicate the persistence of regional disparities, a progressive bias toward a poverty trap and the importance of geography to explain the convergence process.
Equity: a cornerstone in designing national education policies
2014
DT 2014-02, avril 2014; This paper aims to cover some at least of the most significant dimensions that can help document, based on a sampling of countries, the issues surrounding equity and children's right to attend school, to stay in school long enough and to receive appropriate education services to ensure access to adult life with the basic knowledge and skills that will give them a chance at a decent economic and social life. Above and beyond its quantitative observations, this analysis identifies connections with various active or passive education policies found in national education systems. Additionally,to the extent that they provide a better understanding of the situation and poi…
Combined description of N-barN scattering and annihilation with a hadronic model.
1995
A model for the nucleon-antinucleon interaction is presented which is based on meson-baryon dynamics. The elastic part is the {ital G}-parity transform of the Bonn {ital NN} potential. Annihilation into two mesons is described in terms of microscopic baryon-exchange processes including all possible combinations of {pi},{eta},{rho},{omega},{ital a}{sub 0},{ital f}{sub 0},{ital a}{sub 1},{ital f}{sub 1},{ital a}{sub 2},{ital f}{sub 2},{ital K},{ital K}{sup *}. The remaining annihilation part is taken into account by a phenomenological energy- and state-independent optical potential of Gaussian form. The model enables a simultaneous description of nucleon-antinucleon scattering and annihilatio…
"Expected co-NSLP limits" of "Search for displaced leptons in $\sqrt{s} = 13$ TeV $pp$ collisions with the ATLAS detector"
2021
Expected 95% CL exclusion sensitivity. The limit is displayed in the lifetime vs. $m(\tilde{\ell})$ plane where all slepton flavors and chiralities are mass degenerate.