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Challenging the Empirical Evidence from Present Value Models of the Current Account

Mercereau, Benoît - 2006

Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...

Persistent link: https://www.econbiz.de/10012783079

The European Business Cycle

Artis, Mike; Krolzig, Hans-Martin; Toro, Juan - Centro de Estudios Andaluces, Government of Andalusia - 2002

This paper deals with the existence and identification of a common European growth cycle. Univariate Markov switching autoregressions (MS-AR) are used for individual countries in order to detect changes in the mean growth rate of industrial production. A Markov switching vector autoregression...

Persistent link: https://www.econbiz.de/10005063214

Classical and Modern Business Cycle Measurement: The European Case

Krolzig, Hans-Martin; Toro, Juan - Centro de Estudios Andaluces, Government of Andalusia - 2002

This paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the “classical” approach proposed in Burns and Mitchell (1946) of dating and analyzing the business...

Persistent link: https://www.econbiz.de/10005121331

Financial development and dollarization in Ghana : an empirical investigation

Tweneboah, George; Gatsi, John Garchie; Asamoah, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-21

This study strengthens the frontiers of research on the drivers of dollarization in emerging economies by exploring the case of Ghana using the autoregressive distributed lag modelling framework. The data for the study spanned from January 2002 to March 2016. The evidence suggests that...

Persistent link: https://www.econbiz.de/10014232353

Empirical testing of purchasing power parity validity in selected European Union countries

Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32

exchange rate in a logarithm, while in the second phase, the cointegration of nominal exchange rate, domestic and foreign price … authors' knowledge, and taking into account Liu (1992), who states that it is more important to check the presence of co-integration … results suggest that all the real exchange rate time series are stationary, additionally, cointegration exists among all the …

Persistent link: https://www.econbiz.de/10012887177

Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective

Boschi, Melisso - 2007

I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...

Persistent link: https://www.econbiz.de/10012728441

Sustainability of current account deficit in Turkey

Karahan, Özcan - In: International journal of business and economic sciences … 13 (2020) 2, pp. 62-69

long-term dynamics are empirically investigated using the Johansen cointegration test. Econometric analysis is also … cointegration analysis suggest that current account income and expenses are integrated with the cointegrating coefficient less than …

Persistent link: https://www.econbiz.de/10012293106

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …

Persistent link: https://www.econbiz.de/10014071881

Prospects for a monetary union in the East Africa community : some empirical evidence

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2018

roots and are highly persistent. The fractional bivariate cointegration tests (see Marinucci and Robinson, 2001) suggest …

Persistent link: https://www.econbiz.de/10011859481

Analysis of the Stationarity of East Asian Currencies Using Unit Root Test and Cointegration Test

Wang, Zhiqian - 2013

This paper investigates the stationarity of East Asian currencies by using a unit root test and cointegration test. We … over the short term by carrying out a unit root test and assess whether cointegration relationships exist over the long … term by carrying out a cointegration test. Based on an empirical analysis of 502 combinations, we find that only one …

Persistent link: https://www.econbiz.de/10013077639