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Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long …

Persistent link: https://www.econbiz.de/10012886334

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

Persistent link: https://www.econbiz.de/10012251074

Analysing the relationship between CO2 emissions and GDP in China : a fractional integration and cointegration approach

Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - In: Journal of innovation and entrepreneurship : JIE 10 (2021), pp. 1-16

Product (GDP) in China by applying fractional integration and cointegration methods. These are more general than the standard … integration being around 2, whilst the cointegration tests (using both standard and fractional techniques) imply that there exists …

Persistent link: https://www.econbiz.de/10012617211

Modelling determinants of inflation in CESEE countries : global vector autoregressive approach

Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169

Persistent link: https://www.econbiz.de/10013270502

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

Persistent link: https://www.econbiz.de/10014500904

The relative effectiveness of fiscal and monetary policies in promoting Egypt's output growth : an empirical investigation using an ARDL approach

El Husseiny, Israa A. - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-23

approach to cointegration to investigate the long run and short run effects of fiscal and monetary policies on Egypt's output …

Persistent link: https://www.econbiz.de/10014497282

Testing the consistency of asymmetric interest rate pass-through : the case of Indonesia

Herlambang, R. Dimas Bagas; Purwono, Rudi; Rumayya - In: Cogent economics & finance 11 (2023) 1, pp. 1-12

This paper investigates the consistency of asymmetric interest rate past-trough (IRPT) using a nonlinear autoregressive distributed lag framework. Superior to the previous studies, this study exploits the historical profile of Indonesia to enrich the analysis. Asian Financial Crisis (AFC) which...

Persistent link: https://www.econbiz.de/10014500695

Diaspora investments in low & high interest rate environments

Adediran, Idris A.; Okunade, Solomon O.; Aor, Raymond L. - In: Research in globalization 5 (2022), pp. 1-10

and Turkey). First, we employ the Bounds cointegration analysis to investigate whether diaspora investment integrates …

Persistent link: https://www.econbiz.de/10014330969

Structural breaks and co-movements of Bitcoin and Ethereum : evidence from the COVID-19 pandemic period

Tekin, Bilgehan - In: Journal of central banking theory and practice 13 (2024) 2, pp. 5-39

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization...

Persistent link: https://www.econbiz.de/10014581553

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

Persistent link: https://www.econbiz.de/10012202240