Search Results - subject:"Johansen's cointegration"

Modeling the relationships among the stock market, gold price, oil price and exchange rate : a MECM and VDA approach

Agrawal, Pravin Kumar; Kumar, Mohit - In: Financial internet quarterly 21 (2025) 1, pp. 1-14

Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50),...

Persistent link: https://www.econbiz.de/10015393621

The long-run relationship between remittances and household consumption : evidence from Lesotho

Makina, Daniel - In: Cogent economics & finance 12 (2024) 1, pp. 1-13

1991-2019 using the Johansen cointegration technique and the Engle-Granger Residual Approach. Despite remittances in …

Persistent link: https://www.econbiz.de/10015394277

Air pollution and economic development in KSA : environmental Kuznets Curve and implications for sustainable development

Abid, Mehdi; Gheraia, Zouheyr; Sekrafi, Habib; Abdelli, … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 628-639

Persistent link: https://www.econbiz.de/10014495152

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...

Persistent link: https://www.econbiz.de/10015047800

Determination of the effects and optimal thresholds of monetary policy instruments: A study of Central Bank Lending system in Kingdom of Eswatini

Dlamini, Samuel Nkosinathi; Mashau, Pfano - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-20

Eswatini and Eswatini Central Statistics Office is used for the period January 2000 to December 2017. Using the Johansen … cointegration test and Vector Error Correction Model, our results show that: there is one cointegration in the model and the current …

Persistent link: https://www.econbiz.de/10015074759

The effects of currency devaluation on Ethiopia's major export commodities: The case of coffee and khat: Evidence from the vector error correction model and the Johansen co-integra...

Elias, Abdelkaf; Dachito, Amsalu; Abdulbari, Shabu - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-27

of Johansen's co-integration and vector error correction modelling, the impact of the devaluation of the real effective …

Persistent link: https://www.econbiz.de/10015074983

Investor behavior in gold, US dollars and cryptocurrency during global pandemics

Kim, Yoochan; Topal, Erkan; Ghosh, Apurna Kumar; Asad, … - In: Economies : open access journal 12 (2024) 3, pp. 1-14

COVID-19 and SARS are epidemics which have influenced the largest global economic crisis in recent years. This research reveals that both SARS and COVID-19 have led to fluctuations in the prices of gold and the US dollar index; however, there is no direct causal relationship be-tween COVID-19...

Persistent link: https://www.econbiz.de/10014501066

Determination of the effects and optimal thresholds of monetary policy instruments : a study of Central Bank Lending system in Kingdom of Eswatini

Dlamini, Samuel Nkosinathi; Mashau, Pfano - In: Cogent economics & finance 11 (2023) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014500477

The effects of currency devaluation on Ethiopia's major export commodities : the case of coffee and khat : evidence from the vector error correction model and the Johansen co-integ...

Elias, Abdelkaf; Dachito, Amsalu; Abdulbari, Shabu - In: Cogent economics & finance 11 (2023) 1, pp. 1-27

of Johansen's co-integration and vector error correction modelling, the impact of the devaluation of the real effective …

Persistent link: https://www.econbiz.de/10014500698

Human capital and economic growth in India : a time series analysis using educational variables from 1982-2017

Naik, Surendra Kumar; Bairagya, Indrajit - 2023

Persistent link: https://www.econbiz.de/10014556593