Search Results - subject:"Response function"

Cointegration of Capital Markets in ASEAN-5 Countries

Chaiphat, Channarong - In: Applied Economics Journal 21 (2014) 1, pp. 42-58

. Moreover, the conintegration as well as the impulse response function were also calculated and analyzed. The findings reveal … response function also turns out to be synchronous. This study supports the possibility of setting up the ASEAN securities …

Persistent link: https://www.econbiz.de/10010904037

Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443

Revisiting Identification and estimation in Structural VARMA Models

Gouriéroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2014

The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...

Persistent link: https://www.econbiz.de/10011097428

Dynamic spillovers of oil price shocks and economic policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: Energy Economics 44 (2014) C, pp. 433-447

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01–2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012)...

Persistent link: https://www.econbiz.de/10011100073

Full-scale temperature response function (G-function) for heat transfer by borehole ground heat exchangers (GHEs) from sub-hour to decades

Li, Min; Li, Ping; Chan, Vincent; Lai, Alvin C.K. - In: Applied Energy 136 (2014) C, pp. 197-205

Heat transfer by borehole ground heat exchangers involves diverse time–space scales and thus imposes a significant challenge to geothermal engineers. In order to overcome this challenge, this paper develops an analytical full-scale model from the idea of matched asymptotic expansion. The...

Persistent link: https://www.econbiz.de/10011076496

Global commodity prices, economic activity and monetary policy: The relevance of China

Klotz, Philipp; Lin, Tsoyu Calvin; Hsu, Shih-Hsun - In: Resources Policy 42 (2014) C, pp. 1-9

After decades of strong economic growth, industrialization and rising living standards, China has become a dominant player in commodity markets. This study attempts to shed light on the role of China in global commodity price dynamics.

Persistent link: https://www.econbiz.de/10011118221

The response of macroeconomic aggregates to monetary policy shocks in Pakistan

Rashid, Abdul; Jehan, Zainab - In: Journal of Financial Economic Policy 6 (2014) 4, pp. 314-330

Purpose – This paper aims to empirically examine how shocks to monetary policy measures (the short-term nominal interest rate and broad money supply) affect macroeconomic aggregates, namely, output growth of the economy, national price levels and the nominal exchange rate....

Persistent link: https://www.econbiz.de/10014866995

The impact of promotional mix on profit in the B2B sector

Siddhanta, Somroop; Banerjee, Neelotpaul - In: Marketing Intelligence & Planning 32 (2014) 5, pp. 600-615

impulse response function (IRF) and forecast error variance decomposition (FEVD) were also studied to see the time path and …

Persistent link: https://www.econbiz.de/10014947184

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates.

Panopoulou, Ekaterini; Malliaropulos, Dimitrios; … - Department of Economics, National University of Ireland - 2006

function of a VAR model, where the real exchange rate is Granger caused by these variables with the impulse response function … of a univatiate ARMA model for the real exchange rate. We show that the impulse response function of the VAR model is not …, in general, the same with the impulse response function obtained from the equivalent ARMA representation, if the real …

Persistent link: https://www.econbiz.de/10005656698

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates

Malliaropulos, Dimitrios; Panopoulou, Ekaterini; … - Institute for International Integration Studies (IIIS), … - 2006

Persistent link: https://www.econbiz.de/10005649988