Results 91 to 100 of about 15,639,744 (351)
International Journal of Finance &Economics, EarlyView.ABSTRACT We use foreign trade data on both imports and exports of goods and services among a group of 15 advanced economies to determine the incomes and price elasticities of demand for exports and imports of goods, services and goods and services combined in the long run.
Tjeerd M. Boonman +2 more
wiley +1 more source
Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems [PDF]
This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do
Peter Pedroni, Tim Vogelsang
core
Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms [PDF]
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006).
Carsten Trenkler
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison. [PDF]
PLoS One, 2022 Aysan AF, Guney I, Isac N, Khan AUI.
europepmc +1 more source
Numerical Distribution Functions for Unit Root and Cointegration Tests [PDF]
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics.
James G. MacKinnon
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of trade liberalisation on income inequality across 24 Sub‐Saharan African (SSA) countries from 2000 to 2020. Using IV‐Tobit and 2SLS models, we consistently find that greater trade openness significantly exacerbates inequality in the region. Critically, we document an inverted U‐shaped relationship between trade
Guivis Zeufack Nkemgha +2 more
wiley +1 more source
Tests for Cointegration with Structural Breaks Based on Subsamples [PDF]
This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data.
James Davidson, Andrea Monticini
core
Impact of Sovereign Debt Maturity on Fiscal Sustainability
International Journal of Finance &Economics, EarlyView.ABSTRACT This study is the first to investigate the impact of the term structure of public debt on fiscal sustainability. We adopt the widely used backward‐looking measure of fiscal sustainability—fiscal responsiveness as proposed by Bohn. Using data from De Graeve and Mazzolini and focusing on a sample of 19 most developed countries, we demonstrate ...
António Afonso +3 more
wiley +1 more source