Results 91 to 100 of about 58,428 (305)
Comparison of Panel Cointegration Tests [PDF]
The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations.
Deniz Dilan Karaman Örsal
core
Asymmetric Long‐Run Effects of Monetary Policy on Generational Inequality
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the asymmetric long‐run effects of reversing contractionary monetary policy to expansionary policy on generational inequality in the UK using non‐linear autoregressive distributed lag (NARDL). The results show that there exists a long‐term relationship between monetary policy and income, consumption, and wealth ...
Aminat A. Raheem
wiley +1 more source
Unbalanced Cointegration [PDF]
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposite to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders ...
Javier Hualde
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the evolving integration of 10 major Asian stock markets with key global and regional financial centres, namely, the U.S., China, the E.U., and a constructed Asia centroid. Incorporating all four statistical moments (mean, variance, skewness, and kurtosis), we compute pairwise Euclidean distances to evaluate the degree ...
Burak Korkusuz +3 more
wiley +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 The aim of the paper is to empirically examine if the causal relationship between economic activity and stock market development exists in the selected 11 EA countries.
Veronika Kajurová
doaj +1 more source
A model of fractional cointegration, and tests for cointegration using the bootstrap [PDF]
Journal of Econometrics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Testing for cointegration using induced-order statistics [PDF]
, 2007 Unit root tests, Cointegration tests, Nonlinearity, Robustness, Induced order statistics, Engle and Granger test,
Alvaro Escribano +7 more
core +2 more sources
Industry Signals and the Dynamics of Stock Market Predictability
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate whether industry portfolios contain information that forecasts aggregate stock market returns. Earlier research reports evidence of their usefulness as predictors, yet later studies find weaker and unstable effects. Using updated U.S.
Michael Ellington +2 more
wiley +1 more source
Structural breaks, cointegration and the Fisher effect [PDF]
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of ...
Haug, Alfred A. +2 more
core
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source