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Monetary policy and exchange rates : a balanced two-country cointegrated var model approach

Heinlein, Reinhold; Krolzig, Hans-Martin - In: Macroeconomic dynamics 23 (2019) 5, pp. 1838-1874

Persistent link: https://www.econbiz.de/10012127247

Forecasting EUR–USD implied volatility: The case of intraday data

Dunis, Christian; Kellard, Neil M.; Snaith, Stuart - In: Journal of Banking & Finance 37 (2013) 12, pp. 4943-4957

This study models and forecasts the evolution of intraday implied volatility on an underlying EUR–USD exchange rate for a number of maturities. To our knowledge we are the first to employ high frequency data in this context. This allows the construction of forecasting models that can attempt...

Persistent link: https://www.econbiz.de/10010709463

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

Persistent link: https://www.econbiz.de/10014023695

Does defence expenditure deter economic growth in Turkey? A cointegration analysis

Karagol, Erdal; Palaz, Serap - In: Defence and Peace Economics 15 (2004) 3, pp. 289-298

This paper investigates a series of unit root, cointegration and causality tests to ascertain the direction of …

Persistent link: https://www.econbiz.de/10005462809

Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market

Bunn, Derek; Koc, Veli; Sapio, Alessandro - In: Energy Economics 48 (2015) C, pp. 265-275

In competitive product markets, repeated interaction among producers with similar economic characteristics would be expected to result in convergence of their behaviors. If convergence does not occur, it raises fundamental questions related to the sustainability of heterogeneous competitive...

Persistent link: https://www.econbiz.de/10011208294

Spatial Price Linkages in Regional Food Grain Markets in India

Ghosh, Madhusudan - In: Margin: The Journal of Applied Economic Research 4 (2010) 4, pp. 495-516

cointegration, it investigates whether regional food grain markets within and across states are spatially linked or not. The … cointegration tests provide evidence in favour of spatial integration of the regional food grain markets. Even though regional …

Persistent link: https://www.econbiz.de/10010781160

ARE INDIAN EXPORTS AND IMPORTS COINTEGRATED?

KONYA, Laszlo; SINGH, Jai Pal - In: Applied Econometrics and International Development 8 (2008) 2, pp. 177-186

logarithms of Indian exports and imports between 1949/50 and 2004/2005, using the unit-root, cointegration approach. To ascertain … been performed allowing for a one-time structural break in 1992/93. The results indicate no-cointegration between exports … and imports. The lack of cointegration means that Indian macroeconomic policies have been ineffective in bringing exports …

Persistent link: https://www.econbiz.de/10005607521

US inflation and consumption: A long-term perspective with a level shift

Paradiso, Antonio; Casadio, Paolo; Rao, B. Bhaskara - In: Economic Modelling 29 (2012) 5, pp. 1837-1849

This article examines the existence and stability of the consumption function in the United States of America (US) beginning in the 1950s. In order to obtain a stable long run relationship, we have introduced two innovative elements into the analysis of the life-cycle of the consumption function...

Persistent link: https://www.econbiz.de/10010597501

Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques

Belke, Ansgar; Czudaj, Robert - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 56 (2010) 4, pp. 285-315

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

Persistent link: https://www.econbiz.de/10010567107

POVERTY, GOVERNMENT TRANSFERS, AND THE BUSINESS CYCLE: EVIDENCE FOR THE UNITED STATES

HERZER, Dierk; KLUMP, Rainer - In: Applied Econometrics and International Development 9 (2009) 2

of female-headed families, and a business cycle variable. Using cointegration techniques, we find ? contrary to most …

Persistent link: https://www.econbiz.de/10008566171