Narrow search
Showing 1 - 10 of 74
Cover Image
Real Exchange Rate Misalignment: Prelude to Crisis?
Kemme, David M.; Roy, Saktinil - 2005
real exchange rate misalignments for Poland and Russia during the 1990s using the Beveridge and Nelson (1981) decomposition … generate different levels of misalignment and different responses to exogenous shocks. The average misalignment in Russia is … crisis. The half life of an exogenous shock is found to be much shorter for Poland than for Russia in the pre-crisis period …
Persistent link: https://www.econbiz.de/10009476782
Cover Image
The linkage between energy consumption and income in six emerging economies of Asia
School of Economics and Finance
economies of Asia. Based on cointegration and vector error correction modeling the empirical results show that there exists …
Persistent link: https://www.econbiz.de/10009434881
Cover Image
An econometric approach to measuring productivity: Australia as a case study
Agbenyegah, Benjamin K. - 2007
capital, foreign direct investment (FDI) and information and communication technology (ICT). The Johansen (1988) cointegration …
Persistent link: https://www.econbiz.de/10009434905
Cover Image
Growth and productivity in Australia
Agbenyegah, Benjamin K.; Bloch, Harry - 2008
Australia for the period 1950-2005. Cointegration and a vector error-correction model are used along with Granger causality … the cointegration analysis of production in Australia and should be included in the long-run production relationship along …
Persistent link: https://www.econbiz.de/10009434976
Cover Image
Exploring the relationship between market values and accounting numbers of firms listed in an emerging market.
Suwardi, Eko - 2004
that cointegration and the accompanying equilibriumcorrection relationship between market and book values for firms listed …
Persistent link: https://www.econbiz.de/10009438234
Cover Image
Multivariate GARCH hedge ratios and hedging effectiveness in Australian Futures Markets
Yang, Wenling; Allen, David E - 2005
We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares-based model, a vector autoregression, a vector error-correction model...
Persistent link: https://www.econbiz.de/10009440863
Cover Image
Robustifying forecasts from equilibrium-correction models
Hendry, David F. - 2006
Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non …
Persistent link: https://www.econbiz.de/10009441388
Cover Image
Forecasting with breaks
Clements, Michael P.; Hendry, David F.; Elliot, G.; … - 2006
A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the...
Persistent link: https://www.econbiz.de/10009441390
Cover Image
Testing twin deficits hypothesis using VARs and variance decomposition
Baharumshah, Ahmad Zubaidi; Lau, Evan; Khalid, Ahmed M. - 2006
This paper examines the twin deficits hypothesis in the ASEAN countries. The major findings of this paper are the following. (1) Long run relationships are detected between budget and current account deficits. (2) The Keynesian view fits well for Thailand since the causality runs from budget...
Persistent link: https://www.econbiz.de/10009441797
Cover Image
Cointegration and Market Integration: An Application to the Potato Markets in Rural West Bengal, India
Basu, Jyotish Prakash - 2006
The paper attempts to examine the market integration with the help of cointegration test on the prices of potato of … retail markets. The cointegration test by Johansen and Jeselius (1990) applied to weekly prices of three important potato …
Persistent link: https://www.econbiz.de/10009442462