Search Results - subject:"cointegration"

Banking in the negative : a vector error correction analysis of bank-specific lending and deposit rates

Agati, Alessandra; Sigmund, Michael - 2025

a cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit …-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction … after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between …

Persistent link: https://www.econbiz.de/10015339711

Too much in one basket? : debt concentration and sovereign yields

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we …

Persistent link: https://www.econbiz.de/10015420879

Do trade frictions distort the Purchasing Power Parity (PPP) hypothesis? : a closer look

Bonga-Bonga, Lumengo - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-15

to test the PPP hypothesis includes nonlinearity through quantile unit root tests and quantile cointegration, designed to …

Persistent link: https://www.econbiz.de/10015436954

Uncertainty, FDI inflows, and financial market development : empirical evidence

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Economies : open access journal 13 (2025) 6, pp. 1-12

This study offers insight into the multifaceted relationship between economic policy uncertainty, foreign direct investment, and financial development. It analyzes the effects of economic policy uncertainty and financial development on foreign direct investment (FDI) inflows, using a sample of...

Persistent link: https://www.econbiz.de/10015439436

40 years of empirical evidence of cointegration and nonlinear equilibrium correction in UK money demand since the XIX century

Escribano, Álvaro; Rodríguez, Juan-Andrés; Arranz, … - 2025

Persistent link: https://www.econbiz.de/10015440602

A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de/10015455221

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

asset classes. The results reveal that a long-term equilibrium exists among the variables, with significant cointegration …

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

Are money demand equations still alive and kicking? : historical evidence of cointegration for the UK, using nonlinear techniques

Escribano, Álvaro; Rodríguez, Juan-Andrés; Arranz, … - 2025

Persistent link: https://www.econbiz.de/10015395823

Geopolitical risk and military spending in Poland

Waszkiewicz, Grzegorz - In: Krakow review of economics and management 1008 (2025) 2, pp. 181-198

Objective: To examine the impact of geopolitical risk on military spending in Poland in the years 1993-2022. Research Design & Methods: Autoregressive distributed lags, error correction, and Granger causality test were used. Findings: Polish budgetary spending on defence is influenced by...

Persistent link: https://www.econbiz.de/10015446273

Examining the relationship between manufacturing value added and environmental impact in Azerbaijan

Hasanov, Ramil I.; Giyasova, Zeynab; Mahmudova, Ilhama; … - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 2, pp. 84-89

Persistent link: https://www.econbiz.de/10015416289