Similar Search Results

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2010

The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10011374381

World-wide purchasing power parity

Jacobson, Tor; Nessén, Marianne - 1998

Persistent link: https://www.econbiz.de/10011583890

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2010 - Postprint

Persistent link: https://www.econbiz.de/10011518866

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Persistent link: https://www.econbiz.de/10010484411

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Persistent link: https://www.econbiz.de/10003919736

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...

Persistent link: https://www.econbiz.de/10003952817

International evidence on stochastic and deterministic monetary neutrality

Noriega-Muro, Antonio E. (contributor); … - 2008

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for...

Persistent link: https://www.econbiz.de/10003748703

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian (contributor) - 2008

The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10003779164

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2008

Persistent link: https://www.econbiz.de/10011342531

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. The bootstrap methods considered are a wild bootstrap, a moving blocks bootstrap and a GARCH residual based bootstrap …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …

Persistent link: https://www.econbiz.de/10012041300

1
2
3
4
5
6
7
8
9
10
Next
Last