Search Results - subject:"threshold cointegration"

The Stock Market Relationship between Turkey and the United States under Unionisation

Ergun, Ugur; Nor, Abu Hassan Shaari Mohd - In: Asian Academy of Management Journal of Accounting and … 6 (2010) 2, pp. 19-33

bivariate cointegration, ECM, CGARCH and threshold cointegration for daily data spanning from 1988 to 2008. The presence of … nonlinear error correction terms is evaluated using threshold cointegration. Our empirical findings indicate that (a) there were …

Persistent link: https://www.econbiz.de/10010612021

Exchange rate pass-through, menu costs and threshold cointegration

Larue, Bruno; Gervais, Jean-Philippe; Rancourt, Yannick - In: Empirical Economics 38 (2010) 1, pp. 171-192

Persistent link: https://www.econbiz.de/10008596073

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

Rubio, Oscar Bajo; Roldán, Carmen Díaz; Esteve, Vicente - In: Journal of Applied Economics XIII (2010) November, pp. 263-281

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/10008835367

East Asia and its potentials in boosting economic growth in developing economies: the case of Africa

Maswana, Jean-Claude - In: International Journal of Economics and Business Research 2 (2010) 6, pp. 479-493

Using threshold cointegration and error-correction model, this paper has investigated the channels through which Africa … support threshold cointegration and non-linear adjustments in the relationship between South African economic growth and the …

Persistent link: https://www.econbiz.de/10008755189

Long-run purchasing power parity with asymmetric adjustment : evidence from nine major oil-exporting countries

Chang, Tsangyao; Liu, Wen-chi - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 263-274

Persistent link: https://www.econbiz.de/10015180119

Price linkage and transmission between shippers and retailers in the Frengh vegetable channel

Hassan, D.; Simioni, M. - Département d'Économie et Sociologie Rurales, … - 2001

of asymmetries in price transmission by using recently developed threshold cointegration methods. Our results do not give …

Persistent link: https://www.econbiz.de/10005272766

ARMS RACE BETWEEN TURKEY AND GREECE: A THRESHOLD COINTEGRATION ANALYSIS

Ocal, Nadir; Yildirim, Julide - In: Defence and Peace Economics 20 (2009) 2, pp. 123-129

relationship between the variables can be characterized by a threshold cointegration specification following an M-TAR type …

Persistent link: https://www.econbiz.de/10004966911

Is the adjustment to real interest rate parity asymmetric?

Cooray, Arusha - In: Empirica 36 (2009) 4, pp. 407-418

Persistent link: https://www.econbiz.de/10008491912

Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

Yang, Zheng; Tian, Zheng; Yuan, Zixia - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 4, pp. 507-513

A residual-based moving block bootstrap procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects is proposed. When the regressors and errors of the models are serially and contemporaneously correlated, our test compares favourably with the...

Persistent link: https://www.econbiz.de/10010748459

Modelling Federal Reserve Discount Policy

Baum, Christopher F.; Karasulu, Meral - Department of Economics, Boston College - 1996

We employ threshold cointegration methodology to model the policy problem solved by the Federal Reserve System in their …-imposed constraints on discontinuously changing the discount rate is satisfactorily modelled as an instance of threshold cointegration …

Persistent link: https://www.econbiz.de/10005074067