Search Results - subject:"threshold cointegration"

Milk Market Integration between Hungary and Poland

Bakucs, Lajos Zoltan; Falkowski, Jan; Ferto, Imre - 2010

to test the linear cointegration null against the threshold cointegration with an exogenous threshold variable …

Persistent link: https://www.econbiz.de/10009442681

Baldi, Lucia; Vandone, Daniela; Peri, Massimo - 2010

This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stockmarket indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investmentsin the wine sector play a role in determining financial risk and return to...

Persistent link: https://www.econbiz.de/10009443768

Modelos de Cointegração com um ou dois Limiares: uma Aplicação para o Preço do Frango Inteiro Resfriado em Mercados Atacadistas no Brasil

Mattos, Leonardo Bornacki de; Lima, João Eustáquio de; … - In: Brazilian Journal of Rural Economy and Sociology (RESR) 48 (2010) 4

use threshold cointegration do not usually test the number of regimes of price adjustment. In this study, we use a testing …

Persistent link: https://www.econbiz.de/10011142901

Milk Market Integration between Hungary and Poland

Bakucs, Lajos Zoltan; Falkowski, Jan; Ferto, Imre - Agricultural Economics Society - AES - 2010

to test the linear cointegration null against the threshold cointegration with an exogenous threshold variable …

Persistent link: https://www.econbiz.de/10008509164

On the sustainability of government deficits: some long-term evidence for Spain, 1850-2000

Bajo-Rubio, Oscar; Díaz-Roldán, Carmen; Esteve, Vicente - Asociación Española de Economía y Finanzas … - 2010

threshold cointegration model. Our results show that (i) the government deficit has been strongly sustainable in the long run …

Persistent link: https://www.econbiz.de/10008544249

Threshold Cointegration in BRENT crude futures market

Mamatzakis, E; Remoundos, P - Volkswirtschaftliche Fakultät, … - 2010

This paper, using a threshold vector error-correction (TVECM) model, examines whether BRENT crude spot and futures oil prices are cointegrated. By employing this methodology we are able to evaluate the degree and dynamics of transaction costs resulting from various market imperfections. TVECM...

Persistent link: https://www.econbiz.de/10008493602

Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries

Wang, Kuan-Min - In: Annals of Economics and Finance 11 (2010) 1, pp. 95-137

This paper examines the impact of expected and unexpected impulses of monetary policy on the interest pass-through mechanism in nine Asian countries and the United States. It also investigates the asymmetry and rigidity of the pass-though process. The EC-EGARCH-M model is created for analyzing...

Persistent link: https://www.econbiz.de/10010554857

RE-EXAMINING THE FINANCE-GROWTH NEXUS: STRUCTURAL BREAK, THRESHOLD COINTEGRATION AND CAUSALITY EVIDENCE FROM THE ECOWAS

Esso, Loesse Jacques - In: Journal of Economic Development 35 (2010) 3, pp. 57-79

The aim of this paper is to re-examine the cointegrating and causal relationship between financial development and economic growth in the ECOWAS. To this end, we use the Gregory and Hansen (1996a, 1996b) approach to cointegration with structural change and the procedure for non-causality test of...

Persistent link: https://www.econbiz.de/10009350202

Marges à travers le temps et l'espace : détermination spatiale des prix sur les marchés de produits agricoles en Tanzanie

Rapsomanikis, George; Karfakis, Panagiotis - In: Revue d’économie du développement 18 (2010) 1, pp. 109-133

relationships and margins in Tanzania. Threshold cointegration provides a method for assessing the extent of market integration … infrastructure. We use threshold cointegration to investigate the relationship between prices in a number of well-connected and …. Although, threshold cointegration suggests that regional markets in the country are integrated, the spatial market model …

Persistent link: https://www.econbiz.de/10008568254

Revisiting Purchasing Power Parity for Central Asian Countries Using Threshold Cointegration Tests

Liew, Venus khim-sen; Puah, Chin-hong; Choong, Chee-keong; … - In: Economics Bulletin 30 (2010) 2, pp. 1283-1292

This study finds evidence supportive of the Purchasing Power Parity for Azerbaijan and Kazakhstan using threshold … cointegration tests. This finding suggests the existence of an asymmetry relationship between exchange rate and relative prices. The …

Persistent link: https://www.econbiz.de/10008577385