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Srovnání otevřenosti trhů Brazílie, Ruska, Indie a Číny a zemí střední a východní Evropy

Bolotov, Ilya; Gajdušková, Kateřina - In: Současná Evropa 2013 (2013) 3, pp. 9-34

cointegration regression model. The article shows that Brazil, Russia, India and China are less open economies with different …

Persistent link: https://www.econbiz.de/10011195458

Testing for the Fisher hypothesis under regime shifts: an application to Asian countries

Nusair, Salah - In: International Economic Journal 22 (2008) 2, pp. 273-284

1978-2005 using a cointegration procedure developed by Gregory and Hansen (1996) that allows for the presence of a one …

Persistent link: https://www.econbiz.de/10005511687

A re-evaluation of empirical tests of the Fisher hypothesis

Bekdache, Basma; Baum, Christopher F. - Society for Computational Economics - SCE - 1999

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …

Persistent link: https://www.econbiz.de/10005132854

A re-evaluation of empirical tests of the Fisher hypothesis

Baum, Christopher; Bekdache, Basma - Department of Economics, Boston College - 2000

Persistent link: https://www.econbiz.de/10004968859

A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey

Kiran, Burcu - In: Quality & Quantity: International Journal of Methodology 47 (2013) 2, pp. 1077-1084

cointegration and fractional cointegration approaches. The findings from Engle and Granger cointegration test indicate that … inflation and nominal interest rate series are cointegrated. Since the conventional cointegration tests do not provide strong … evidence on the long run relationship, we also use fractional cointegration definition suggested by Cheung and Lai (J Bus Econ …

Persistent link: https://www.econbiz.de/10010993128

“Causality and Contagion in EMU Sovereign Debt Markets”

Gómez-Puig, Marta; Sosvilla-Rivero, Simón - Facultat d'Economia i Empresa, Universitat de Barcelona - 2014

This paper contributes to the literature by applying the Grangercausality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government...

Persistent link: https://www.econbiz.de/10010738435

Hypnosis Before Wake-up Call?! The Revival of Sovereign Credit Risk Perception in the EMU-Crisis

Bordon, Ingo G.; Schmid, Kai D.; Schmidt, Michael - CESifo - 2014

This paper qualifies the view of pronounced overpricing of sovereign bonds for the so-called GIIPS countries during the financial crisis. We use annual data for 21 OECD countries from 1980 to 2012. As opposed to related studies, our data set allows us to contrast the pricing of macroeconomic...

Persistent link: https://www.econbiz.de/10010888450

EMU, the changing role of public debt and the revival of sovereign credit risk perception

Schmid, Kai Daniel; Schmidt, Michael - Wirtschaftswissenschaftlichen Fakultät, … - 2012

Using annual data for 21 OECD countries we provide evidence of remarkable mispricing of sovereign bonds for the so-called GIIPS countries before the start of the financial crisis. Our results also qualify the view of pronounced overpricing in the crisis. In detail, we find: (i) Since the 1980s...

Persistent link: https://www.econbiz.de/10010955006

Causality and contagion in EMU sovereign debt markets

Gómez-Puig, Marta; Sosvilla-Rivero, Simón - Institut de Recerca en Economia Aplicada (IREA), … - 2014

This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government...

Persistent link: https://www.econbiz.de/10010758575

Sovereign bond yields in emerging Asia: New evidence

Pham, Thi-Hong-Hanh - HAL - 2014

This paper studies the determinants of sovereign bond yields in nine emerging Asian countries over the period 1994-2012. In the long-run, we first reveal that sovereign bond yields weakly and negatively depends on the changes in public debt. This result is not consistent with the theoretical...

Persistent link: https://www.econbiz.de/10010787046