Results 171 to 180 of about 107,851 (292)

A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006) [PDF]

This paper considers a test of the rank of cointegration. The test is based on the fact that in an m-variate system the m-r th principal component is I (1) under the null of r cointegration rank but I (0) under the alternative of r+1 cointegration rank ...
Hiroaki Chigira
core  

Speed Bump and Stock Market Quality: Evidence From NYSE American

Financial Management, EarlyView.
ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley   +1 more source

Vaccine spending and economic recovery: OECD panel data analysis. [PDF]

North Clin Istanb
Aydın E, Ozyesil M, Tembelo H.
europepmc   +1 more source

Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship [PDF]

We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-off deterministic breaks, our approach has
Luis Martins, Vasco Gabriel
core  

On Measuring the Welfare Cost of Inflation

Journal of Money, Credit and Banking, EarlyView.
Abstract This paper uses neoclassical monetary demand theory to measure the welfare cost of inflation. It uses the microeconomic‐ and aggregation‐theoretic approach to the demand for money, that integrates the demand for money with the demands for consumption and leisure, and provides a comparison between the consumer surplus approach based on ...
APOSTOLOS SERLETIS, LIBO XU
wiley   +1 more source

Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests. [PDF]

In this article we propose a record counting cointegration (RCC) test that is robust to nonlinearities and certain types of structural breaks. The RCC test is based on the synchronicity property of the jumps (new records) of cointegrated series, counting
Aparicio, Felipe M., Escribano, Álvaro, Sipols, Ana E.   +2 more
core  

Taylor Rule Deviations Across Horizons: A Practical Tool for Monetary Policy

Journal of Money, Credit and Banking, EarlyView.
Abstract We propose “Taylor rule yields” across horizons for the United States. Applying the standard Taylor rule to expected paths of inflation and the output gap, we construct a sequence of short‐term rates under neutral monetary policy stances, whose average defines the Taylor rule yield at each horizon.
MASAZUMI HATTORI, TOMOHIDE MINEYAMA, JOUCHI NAKAJIMA   +2 more
wiley   +1 more source

Climate resilience of public health preventive and adaptive measures against diarrhea in Northern Ghana; a case study of the Tamale Metropolitan Area. [PDF]

BMC Public Health
Abdul-Ganiu Z, Shamsu-Deen Z, Yakubu A.
europepmc   +1 more source

The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration [PDF]

This note uses insights from cointegration analysis to reexamine two separate but related issues concerning the estimation of production function parameters.
Debdulal Mallick, Robert S. Chirinko
core  

Macroprudential Policy in the Euro Area

Journal of Money, Credit and Banking, EarlyView.
Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO, IVÁN PAYÁ   +1 more
wiley   +1 more source