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A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring Engle-Granger pairwise …
Persistent link: https://www.econbiz.de/10011526115
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Volatility-price relationships in power exchanges: A demand-supply analysis
Sapio, Sandro - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...
Persistent link: https://www.econbiz.de/10010328635
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010264545
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Consumption and population age structure
Erlandsen, Solveig; Nymoen, Ragnar - 2004
In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. Despite this, age structure effects are rarely controlled for in...
Persistent link: https://www.econbiz.de/10010284297
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10010264085
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Exchange rate volatility and export in Turkey: Does the nexus vary across the type of commodity?
Tarakçı, Doğukan; Ölmez, Fevzi; Durusu-Çiftçi, Dilek - In: Central Bank Review (CBR) 22 (2022) 2, pp. 77-89
Turkey has experienced a rapid increase in exports during the last two decades. In addition, there has been a significant increase in the exchange rate and its volatility in recent years. Hence, the empirical examination of the volatility-export nexus in a comprehensive framework seems to be...
Persistent link: https://www.econbiz.de/10014547752
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Buffering volatility: Storage investments and technology-specific renewable energy support
Abrell, Jan; Rausch, Sebastian; Streitberger, Clemens - 2019
in future electricity markets. Considerable uncertainties exist about the cost and availability of future large … model of a future wholesale electricity market. We find that the optimal RE subsidies are technology-specific reflecting the … level. This suggests that storage is not likely to be the limiting factor for decarbonizing the electricity sector. …
Persistent link: https://www.econbiz.de/10011985392
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Learning Causal Relations in Multivariate Time Series Data
Chen, Pu; Chihying, Hsiao - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-11, pp. 1-43
also discuss the relation between the probabilistic causal concept presented in TSCMs and the concept of Granger causality …
Persistent link: https://www.econbiz.de/10010295294