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Inflation targeting and monetary analysis in Chile and Mexico

Sanchez-Fung, Jose R - Royal Economic Society - RES - 2003

This paper studies the role of monetary and open economy indicators in inflation targeting (IT) economies through the analysis of a nested Phillips curve/ P-star model for Chile and Mexico. For Chile a real money gap and a money growth indicator are found to be relevant in predicting deviations...

Persistent link: https://www.econbiz.de/10005577133

residual-Based Tests for Cointegration in Models with Regime Shifts

w. Gregory, Allan; Hansen, Bruce E. - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10011940524

residual-Based Tests for Cointegration in Models with Regime Shifts

Gregory, Allan w.; Hansen, Bruce E. - Economics Department, Queen's University - 1992

Persistent link: https://www.econbiz.de/10005688254

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

Persistent link: https://www.econbiz.de/10010356541

Testing for the Fisher hypothesis under regime shifts: an application to Asian countries

Nusair, Salah - In: International Economic Journal 22 (2008) 2, pp. 273-284

1978-2005 using a cointegration procedure developed by Gregory and Hansen (1996) that allows for the presence of a one …

Persistent link: https://www.econbiz.de/10005511687

Money demand stability: Evidence from Spain

Vega, Juan Luis - In: Empirical Economics 23 (1998) 3, pp. 387-400

Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration …

Persistent link: https://www.econbiz.de/10005382491

Impact of Mandatory Price Reporting on Hog Market Integration

Franken, Jason R.V.; Parcell, Joseph L.; Tonsor, Glynn T. - In: Journal of Agricultural and Applied Economics 43 (2011) 02

This research examines whether mandatory price reporting (MPR) impacted price relationships among U.S. hog markets. Markets are cointegrated before and after MPR enactment, but not fully integrated in either period. Terminal markets adjust to shocks in the Iowa-Southern Minnesota market more...

Persistent link: https://www.econbiz.de/10009368770

Stock and bond market interactions with two regime shifts: evidence from Turkey

Evrim-Mandaci, Pinar; Kahyaoglu, Hakan; Cagli, Efe Caglar - In: Applied Financial Economics 21 (2011) 18, pp. 1355-1368

. This article employs several cointegration techniques such as Engle and Granger (EG, 1987), Gregory and Hansen (GH, 1996 … indices. In addition, employing the stability test of Hansen (1992), we find that the results of cointegration test with …

Persistent link: https://www.econbiz.de/10009278683

Impact of Mandatory Price Reporting on Fed Cattle Market Integration

Pendell, Dustin L.; Schroeder, Ted C. - In: Journal of Agricultural and Resource Economics 31 (2006) 03

Geographic fed cattle markets are important because cattle are bulky and perishable, and production and consumption areas are separated. These characteristics make cattle transportation costly and can contribute to segmented markets. This study uses USDA-AMS reported fed cattle market price data...

Persistent link: https://www.econbiz.de/10005330379

Bayesian Markov switching model for BRICS currencies' exchange rates

Kumar, Utkarsh; Ahmad, Wasim; Uddin, Mohammed Gazi Salah - In: Journal of forecasting 43 (2024) 6, pp. 2322-2340

Persistent link: https://www.econbiz.de/10015110450