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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
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
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/10005688254
employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
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
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
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
. 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
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
Persistent link: https://www.econbiz.de/10015110450