Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors [PDF]
In this paper we describe a method for testing the null of no cointegration in dynamic panels with multiple regressors and compute approximate critical values for these tests.
Peter Pedroni
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Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source
SMUGGLING AS ANOTHER CAUSE OF FAILURE OF THE PPP [PDF]
In theoretical literature, smuggling is considered as a factor contributing to the deviation of the PPP-based exchange rates from the equilibrium exchange rates with little empirical support.
Gour G. Goswami, Mohsen Bahmani-Oskooee
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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
Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan [PDF]
This paper analyzes the Fisher effect using a panel of monthly data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and Japan.
Shigeyuki Hamori, Yuki Toyoshima
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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 +2 more
wiley +1 more source
COINTEGRATION VECTOR ESTIMATION BY DOLS FOR A THREE-DIMENSIONAL PANEL [PDF]
This paper extends the asymptotic results of the dynamic ordinary least squares (DOLS) cointegration vector estimator of Mark and Sul (2003) to a three-dimensional panel. We use a balanced panel of N and M lengths observed over T time periods.
Dagoberto Saboyá +2 more
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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 +1 more
wiley +1 more source
Retraction: Intersecting paths: Corporate and green innovation in Chinese firms-A panel cointegration analysis. [PDF]
PLoS OnePLOS One Editors.
europepmc +1 more source
THE RELATIONSHIP BETWEEN FEMALE LABOUR FORCE PARTICIPATION AND FERTILITY IN G7 COUNTRIES: EVIDENCE FROM PANEL COINTEGRATION AND GRANGER CAUSALITY [PDF]
This paper examines the relationship between the female labour force participation rate and total fertility rate for the G7 countries over the period 1960 to 2004 using panel unit root, panel cointegration, Granger causality and long-run structural ...
Ingrid Nielsen +2 more
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