Search Results - subject_exact:"Cointegration"

Narrow search

The impact of population aging on the household saving rate : the case of Japan

Horioka, Charles - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592970

Show 2 more versions 2

The impact of population aging on the household saving rate : the case of Japan

Horioka, Charles - 2026

Book / Working Paper

The impact of population aging on the household saving rate : the case of Japan

Horioka, Charles - 2026

Book / Working Paper

Dynamic price transmission from SHFE to Thai rubber markets : a cointegration-ECM and machine-learning analysis

Pinitjitsamut, Montchai - 2026

This study examines the dynamic transmission of international rubber prices along the SHFE-FOB Bangkok-local farm-gate chain in Thailand using weekly data and an integrated econometric-machine-learning framework. Engle-Granger cointegration tests reveal a stable long-run equilibrium in which...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625826

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626655

Short-run and long-run determinants of bilateral trade between Saudi Arabia and Jordan : an ARDL approach

Alkofahi, Kolthoom - 2026

This study examines the short-run dynamics and long-run determinants of bilateral trade between Saudi Arabia (KSA) and Jordan during the period of 1995-2024 using the autoregressive distributed lag (ARDL) bounds testing approach. Employing a country-pair time series framework, the analysis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628703

Persistence and long-run linkages between US stock market prices and bond yields

Salazar, Juan Diego Cafferata; Caporale, Guglielmo Maria; … - 2026

This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639090

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643302

Show one more version 1

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Book / Working Paper

The missing link between inflation and macroeconomic fundamentals : evidence from Türkiye

Buyun, Burak; Fidan, İlayda İsabetli - 2026

This study investigates the structural relationship between inflation and key macroeconomic fundamentals in Türkiye, an emerging economy characterized by persistently high and divergent inflation dynamics. Using monthly data for the 2011-2024 period, we apply the Kapetanios, Shin, and Snell...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633819

Compliance with the euro area financial criteria and economic convergence in the European Union over the period 2000-2023

Duguleana, Constantin; Duguleana, Liliana; Deszke, … - 2025

The two groups of EU economies, the euro area and the non-euro area, are statistically analyzed taking into account the fulfillment of the euro area financial criteria and economic performance over the period 2000-2023. Compliance with financial criteria, economic performance, and their...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015584366

Interrelationships among government participation, population and growth of per capita income : inquiry on top twenty income-holding countries in the world

Das, Ramesh Chandra - 2025

The literature on growth in economics encompasses two main facets of thinking: the applicability of diminishing productivity of capital, as has been in the neoclassical growth model with exogenous technological progress, and the applicability of non-diminishing productivity of capital, as has...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210217

Show one more version 1

Interrelationships among government participation, population and growth of per capita income: Inquiry on top twenty income-holding countries in the world

Das, Ramesh Chandra - 2025

Article

Exploring the tourism and economic growth relationship in Vietnam : a cointegration analysis with model-specific structural breaks

Kumar, Ronald Ravinesh; Stauvermann, Peter; Lien Thi Mai Dau - 2025

In this study, we present a comprehensive analysis to examine the resilience of tourism in Vietnam since the Doi Moi period. Using an augmented Solow framework, data from 1986 to 2020, and the ARDL approach, we estimate the long-run and short-run effects, whilst accounting for model-specific...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210381

World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover

Benati, Luca - 2025

I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329682

Show one more version 1

World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover

Benati, Luca - 2025

Book / Working Paper

Examining cointegration between corporate governance and financial performance in selected listed South African financial institutions

Khoza, Floyd; Makoni, Patricia Lindelwa - 2025

Since the 2007 global financial crisis, scholars have attempted to explain market failures using aspects other than corporate governance. Previous studies focused on the function of corporate governance in financial performance, with a dearth of literature on other financial dimensions like risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467903

Detecting multiple structural breaks in systems of linear regression equations with integrated and stationary regressors

Schweikert, Karsten - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470450

Show one more version 1

Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors

Schweikert, Karsten - 2025

Article

Optimal retirement with long-run income risk

Huang, Shan; Park, Seyoung; Yoo, Jane - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472116

A data set for domestic and foreign private and public R&D stocks and labour-augmenting technical change for 44 rich or emerging economies with explorations on panel unit roots, cointegration, growth rate slowdown, and con- or divergence

Ziesemer, Thomas - 2025

We extend existing data sets for domestic and foreign private and public R&D stocks as well as labour-augmenting technical change data based on CES production functions. We cover slightly more periods and many more countries, now 44 up from 17. We consider panel unit root issues for a large...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434603

Show one more version 1

Ziesemer, Thomas - 2025

Book / Working Paper

Uncertainty, FDI inflows, and financial market development : empirical evidence

Marozva, Godfrey; Magwedere, Margaret Rutendo - 2025

This study offers insight into the multifaceted relationship between economic policy uncertainty, foreign direct investment, and financial development. It analyzes the effects of economic policy uncertainty and financial development on foreign direct investment (FDI) inflows, using a sample of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015439436

Geopolitical risk and military spending in Poland

Waszkiewicz, Grzegorz - 2025

Objective: To examine the impact of geopolitical risk on military spending in Poland in the years 1993-2022. Research Design & Methods: Autoregressive distributed lags, error correction, and Granger causality test were used. Findings: Polish budgetary spending on defence is influenced by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015446273

The demand for money : the evidence from the different types of money

Chowdhury, M. M. Islam; Serletis, Apostolos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626958

Causal threads : SMEs and macroeconomic indicators in Indonesia

Henryanto, Aria Ganna; Haniruzila Hanifah; Cahyadin, Malik - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399146

Technology adoption of small and medium-sized enterprises and performance in European countries : a cross-country panel cointegration analysis

Endrődi-Kovács, Viktória; Pérez Garrido, Betsabé; … - 2024

Objective: The objective of the article is to explore the impact of the new technology adoption on the performance of small and medium-sized enterprises (SMEs) at the country level. Research Design & Methods: The authors modelled the effect of technology adoption (TA) on SMEs' market and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015057056

The unemployment invariance hypothesis and the implications of added and discouraged worker effects in Latin America

Maridueña-Larrea, Ángel; Martín-Román, Ángel - 2024

This research explores the long-term equilibrium relationship between unemployment and labour force participation rates for six selected countries in Latin America at both aggregate and gender-disaggregated levels. Cointegration analysis focused on the study of time series is used to validate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636663

Show one more version 1

The unemployment invariance hypothesis and the implications of added and discouraged worker effects in Latin America

Maridueña-Larrea, Ángel; Martín-Román, Ángel - 2023

Book / Working Paper

Are term premiums predictable in Central European countries? : the forward rates agreements (FRA) application

Makovský, Petr - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551375

Unraveling the nexus between road transport infrastructures and economic growth : empirical insights from Nepal's case

Sharma, Keshab Kumar; Bhandary, Netra Prakash; Subedi, … - 2024

Sustained efforts and investments in different sectors are essential for the overall development of a region. Various studies around the globe underscore the importance of investment in road transport infrastructure in many developing countries to achieve their development targets. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015071132

Real competition and profit rate equalisation : theory and evidence from the Norwegian economy

Lafalla, Victor Magariño - 2024

The existence of long-run profitability differentials in market economies is a fundamental question that all traditions of economic thought since the times of the classical economists have dealt with in some form or another. In consideration of the modern synthesis of the classical views on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077663

Do financial markets allow the independence of central banks?

Miró, Damià Rey; Piffaut, Pedro; Zurdo, Ricardo Palomo - 2024

The research work presented below addresses the possible concern of central bank independence through the development and application of econometric models. The complexity of the modelling has allowed a step further in corroborating that financial independence is not only linked to the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014496228

Mission-oriented R&D and growth of Japan 1988-2016 : a comparison with private and public R&D

Ziesemer, Thomas - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014514848

Show 2 more versions 2

Mission-oriented R&D and growth of Japan 1988-2016: A comparison with private and public R&D

Ziesemer, Thomas - 2022

Book / Working Paper

Mission-oriented R&D and growth of Japan 1988-2016 : a comparison with private and public R&D

Ziesemer, Thomas - 2022

Book / Working Paper

Bayesian Markov switching model for BRICS currencies' exchange rates

Kumar, Utkarsh; Ahmad, Wasim; Uddin, Mohammed Gazi Salah - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110450

Portfolio diversification possibilities of cryptocurrency : global evidence

Jayawardhana, Asanga; Colombage, Sisira R. N. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051125

Heteroskedastic structural vector autoregressions identified via long-run restrictions

Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015207512

Dynamic nexus between Sharia and ESG indices and ETFs in India

Saha, Kunal; Shaik, Muneer - 2024

This study aims to uncover interdependencies between two distinctive but increasingly influential dimensions in contemporary finance, namely, Environmental, Social, and Governance (ESG) and Sharia guidelines. We examine the long-term association between ESG and Sharia indices, along with ESG and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015211224

Using interest rates to predict economic growth : are corporate bonds better?

McMillan, David G. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337691

Macroeconomic factors and venture capital market liquidity : evidence from Europe*

Frimpong, Fauna Atta; Akwaa-Sekyi, Ellis Kofi; Anyars, … - 2024

The relationship between macroeconomic factors and stock market liquidity is known but not the same can be said of macroeconomic factors and VC market liquidity. This study investigates whether there is a cointegration between macroeconomic factors and VC market liquidity and examines how...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326071

A nonlinear autoregressive distributed lag approach to remittances and access to financial inclusion in Jordan

Alabdulrazag, Bashier A.; Alshogeathri, Mofleh A. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046024

The resilience of Tunisian industrial exports during the COVID-19 pandemic : evidence from an ARDL approach

Gani, Walid - 2024

This paper attempts to study to what extent Tunisian industrial exports have been resilient during the COVID-19 pandemic. For this purpose, we tested for structural breaks using the Bai-Perron test and monthly data on industrial exports from January 2014 to December 2022. Using the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014582399

Regional spillover of housing (un)affordability : an empirical study on the residential housing markets for first-time buyers in the U.K

Lo, Daniel; McCord, Michael; Squires, Graham - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014559285

Learning by doing, productivity, and growth : new evidence on the link between micro and macro data

Humphreys, Brad R.; Schuh, Scott; Williams, Corey - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015183192

A rotated dynamic factor model for the yield curve: Squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619108

A Simple Note on Augmented Autoregressive Distributed Lag Model (A-ARDL)

Pinjaman, Saizal - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641431

Assessing the dynamic linkages between external debt, energy consumption, inflation, and oil prices in Kazakhstan : an Autoregressive Distributed Lag Analysis

Omirtay, Kamshat Altaikyzy; Agabekova, Sholpan Nurtazaevna - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616816

The relationship between financial development and renewable energy consumption in the European Union-27 countries

Saimagambetova, Gaukhar; Abubakirova, Aktolkin; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616818

The dynamics of FDI inflows, economic growth, trade openness and CO₂ emissions in India : an ARDL approach with structural breaks

Manickam, Tamilselvan; Vijayakumar, N. C.; Kumar, G. Sathis - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616869

Dynamic causality between CO₂ emissions, urbanization and economic growth in India and South Africa

Singh, Gopal Ji; Singh, Pawan Kumar; Kumar, Rakesh; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616905

What drives emissions intensity in Azerbaijan's light industry? : evidence from ARDL with structural breaks

Güläliyev, Mayis; Aliyev, Shafa; Musayeva, Jamila; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616942

Quantifying greenhouse gas emissions through financial market's development in Tunisia : empirical evidence from novel dynamic ARDL techniques

Karaca, Ali; Bin Salman, Abdulrahman Khalid; Oueslati, Tarek - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616951

Energy consumption and economic growth in Kazakhstan : a causality analysis using time series methods

Mutaliyeva, Aigul; Kazanbayeva, Zhanar; Balabekova, Dina; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617011

Studying the relationship between CO₂ emissions and renewable energy : a threshold ARDL and NARDL panel econometric analysis

Sallam, Mohamed A. M.; Sadraoui, Tarek - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617028

The impact of energy consumption and industrial value added on economic growth in Central China : dynamic panel ARDL analysis

Liu, Simiao; Lee, Chin; Bala, Umar - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617167

Indonesia's Greenhouse gas puzzle : VECM unravels impact

Primayesa, Elvina; Prajanti, Sucihatiningsih Dian Wisika; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617358

Urbanization, economic activity, and electricity consumption in Jordan : evidence from the ARDL approach

Alawneh, Ateyah - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617379

Household consumption in Colombia: a nonlinear cointegrating approach

Arango Thomas, Luis Eduardo; Flórez, Luz A.; Posada, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617560