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The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - In: American journal of agricultural economics 95 (2013) 4, pp. 900-916

Persistent link: https://www.econbiz.de/10010203445

The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - 2012 - November 2011, updated October 2012

The threshold vector error correction model is a popular tool for the analysis of spatial price transmission and market integration. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in certain settings this estimator performs poorly. In...

Persistent link: https://www.econbiz.de/10010357151

Multiple inference and market integration : an application to Swedish fish markets

Blomquist, Johan - In: Journal of agricultural economics 66 (2015) 1, pp. 221-235

Persistent link: https://www.econbiz.de/10011299583

Imported goods prices, domestic prices, and the money supply: are they cointegrated?

Schnitzel, Paul - In: The southern business & economic journal 15 (1992) 3, pp. 186-197

Persistent link: https://www.econbiz.de/10001126527

Price Convergence and Cointegration

García-Hiernaux, Alfredo - 2017

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process. Specifically, we formally define the notion of price convergence and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework...

Persistent link: https://www.econbiz.de/10012975957

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

Persistent link: https://www.econbiz.de/10012171036

The impact of exchange rate volatility on trade : evidence for the Czech Republic

Babeckaja-Kucharcǔk, Oksana A. - 2014

This paper aims to quantify the impact of nominal exchange rate volatility on nominal trade flows with a particular focus on the Czech Republic. The paper shows that the magnitude of the impact differs when a dynamic model is used instead of static model.

Persistent link: https://www.econbiz.de/10010235255

Medium term treatment and side effects of quantitative easing : international evidence

Beck, Roland; Duca, Ioana A.; Stracca, Livio - 2019

We use a cross-country sample of monthly observations for quantitative easing (QE) treatments in order to study the causal effect of such policies on a large set of economic and financial outcome variables. We address potential endogeneity by re-randomising the sample and applying the augmented...

Persistent link: https://www.econbiz.de/10011975395

Median-Unbiased Estimation in Df-Gls Regressions and the Ppp Puzzle

Lopez, Claude; Murray, Christian J.; Papell, David H. - 2008

Using median-unbiased estimation, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3 … the resulting unit root test has low power. We extend median-unbiased estimation to the DF-GLS regression of Elliott …, Rothenberg, and Stock (1996). We find that median-unbiased estimation based on this regression has the potential to tighten …

Persistent link: https://www.econbiz.de/10014074116

Market integration, systemic risk and diagnostic tests in large mixed panels

Wang, Cindy S. H.; Hsiao, Cheng; Yang, Hao-Hsiang - In: Econometric reviews 40 (2021) 8, pp. 750-795

Persistent link: https://www.econbiz.de/10012624538