Cointegration and conditional correlations among German and Eastern Europe equity markets [PDF]
This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these ...
Guidi, Francesco, Gupta, Rakesh
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MULTIVARIATE AUTOREGRESSIVE MODEL FOR FORECASTING THE DEMAND OF CONTAINER THROUGHPUT IN INDONESIA [PDF]
, 2006 This research was proposed to forecast the demand of container throughput in Indonesia. The analysis was carried out in multivariate autoregressive model.
Syafi’i,
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Linkage among the U.S. Energy Futures Markets [PDF]
This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil ...
Aruga, Kentaka, Managi, Shunsuke
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ANALYZING THE SUSTAINABILITY OF SWEDISH FISCAL POLICY : Johansen cointegration approach
, 2021 Fiscal policy in Sweden has varied heavily over the last 50 years, from being a distributive tool during most of the 20th century to strongly focusing on stabilization policies in the 1980s and 90s. This study examines the sustainability of Swedish fiscal policy in terms of public debt between 1800 and 2019 using data from Mauro et al. (2013).
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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? [PDF]
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process.
Lence, Sergio H., Mallory, Mindy L.
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A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth : a time series analysis,1970-2006 [PDF]
, 2008 The main objective of this study was to re-examine the role of foreign direct investment(FDI)and port Malaysia's economic growth over the period of 1970 to 2006.The Johansen and Juselius(1990) cointegration test was used to investigate the presence of a ...
Tang, Chor Foon
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Tourism's Impact on Long-Run Mexican Economic Growth [PDF]
Tourism is one of the most important factors in the productivity of Mexican economy with significant multiplier effects on economic activity. This paper investigates possible causal relationships among tourism expenditure, real exchange rate and economic
Edgar J Sanchez Carrera +2 more
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Politická ekonomieThis study examines the long-run relationship between the unemployment rate and labour force participation rate in South Korea from June 1999 to January 2023. The study utilizes the traditional Johansen cointegration test and augments it with Fourier terms to control for an unknown number of breaks in the cointegration system.
Veli Yilanci, Onder Ozgur
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The Integration Order of Vector Autoregressive Processes [PDF]
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial.
Massimo Franchi
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An Analysis of Exports and Growth in India: Some Empirical Evidence (1971-2001) [PDF]
, 2003 The relationship between exports and economic growth has been analysed by a number of recent empirical studies. This paper re-examines the sources of growth for the period 1971-2001 for India.
Sharma, A., Panagiotidis, T.
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