Search Results - subject:"STATIONARITY"

Unit roots and structural breakpoints in China¡¯s macroeconomic and financial time series

Qi, LIANG; Jianzhou, TENG - In: Frontiers of Economics in China 1 (2006) 4, pp. 537-559

credit, deposit liabilities and investment, can be more accurately characterized as a segmented trend stationarity process …

Persistent link: https://www.econbiz.de/10010944935

Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates

Darvas, Zsolt; Rappai, Gábor; Schepp, Zoltán - de Nederlandsche Bank - 2006

evidence on the stationarity of the long forward exchange rates of major currencies. We set up, calibrate and simulate a …

Persistent link: https://www.econbiz.de/10005101817

When did the 2001 recession really start?

Polzehl, Jörg; Spokoiny, Vladimir; Starica, Catalin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Committee. JEL classification: C14, C16, C32. Keywords and Phrases: business cycle, non-parametric smoothing, non-stationarity …]) enforce stationarity by the assumption of changes in the level of growth governed by an unobserved, stationary, Markov … common features of these time series which should be captured by a relevant data analysis12. Non-stationarity. Most …

Persistent link: https://www.econbiz.de/10005652766

Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006

-three) tests between the nominal exchange rate, domestic and foreign price levels are carried out (instead of stationarity tests on …

Persistent link: https://www.econbiz.de/10005765840

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

Berggrun, Luis - In: ESTUDIOS GERENCIALES (2006)

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables...

Persistent link: https://www.econbiz.de/10005769499

Is Fiscal Policy Contracyclical in India: An Empirical Analysis

Chakraborty, Pinaki; Chakraborty, Lekha S - Volkswirtschaftliche Fakultät, … - 2006

The paper empirically examines the validity of Keynesian philosophy of contracyclical variation in fiscal policy to the macroeconomic activity in India. The macroeconomic activity is proxied by ‘output gap’ a concept defined to estimate the index of economic activity. Applying Johansen’s...

Persistent link: https://www.econbiz.de/10005616872

Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective

Heracleous, Maria; Koutris, Andreas; Spanos, Aris - Society for Computational Economics - SCE - 2006

In the 1980s and 1990s the issue of non-stationarity in economic time series has been in the context of unit roots vs … we take a much broader perspective by viewing the problem as one of misspecification testing: assessing the stationarity …

Persistent link: https://www.econbiz.de/10005706200

Are equity market daily price indices and returns in the major european markets european markets cointegrated? Tests and evidence.

Kasibhatla, Krishna; Stewart, David; Sen, Swapan; … - Volkswirtschaftliche Fakultät, … - 2006

This paper examines the relationship between the stock market price indices and index returns in three major European equity markets, FTSE100 (U.K), DAX (Germany), and CAC40 (France). Our results, obtained using a vector autoregressive (VAR) model, indicate that while the price indices of the...

Persistent link: https://www.econbiz.de/10009647339

A Note on Regressions with Integrated Variables

Ahumada, Hildegart A. - In: Ensayos Económicos 1 (2006) 45, pp. 79-94

The purpose of this note is to contribute to modeling time series that may be characterized as integrated. In particular, a discussion about the use of standard distributions in regression models is included and some essential concepts are previously reviewed to this effect. The main objective...

Persistent link: https://www.econbiz.de/10010551959

Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy

Bilgili, Faik - Volkswirtschaftliche Fakultät, … - 2006

This paper observes the Turkish household’ consumption data to see whether it follows random walk or not. The quarterly data covers the period from 1987:1 to 2003:4. By employing the direct tests for random walk, excess smoothness or excess sensitivity, this study results in both excess...

Persistent link: https://www.econbiz.de/10008560486