Results 11 to 20 of about 1,248 (231)
Journal of Mathematics, 2022 Based on the fluctuation characteristics of residents’ disposable income and CPI (Consumer Price Index) in different periods, this article introduces a nonlinear threshold cointegration theory, establishes a TVECM (Threshold Vector Error Correction Model)
Jungang Du
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TVECM TO ANALYZE THE RELATIONSHIP BETWEEN NET FOREIGN ASSETS AND CURRENCY CIRCULATION
Barekeng, 2023 In the analytical balance sheet of the base money monetary authority, Bank Indonesia explained that net foreign assets (NFA) affected the circulation of base money, including currency.
Chantika Putri Ana +2 more
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Threshold Effects in Cointegrating Relationships* [PDF]
Oxford Bulletin of Economics and Statistics, 2006 AbstractIn this paper, we introduce threshold‐type nonlinearities within a single‐equation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration vs. cointegration with threshold effects. Our framework allows the modelling of long‐run equilibrium relationships that may change according to ...
Gonzalo, Jesús, Pitarakis, Jean-Yves
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Agriculture, 2021 A fast-changing global landscape highlights the importance of understanding spatial price dynamics in key international markets such as China, especially in the era of COVID-19 pandemic with international food trade and food system experiencing an ...
Huidan Xue, Chenguang Li, Liming Wang
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Journal of Applied Economics, 2021 The pricing mechanism in the gasoline market has often been the subject of public debate in Greece during the crisis years. Inefficient pricing could imply oligopolistic practices and losses to consumers’ welfare.
Z. Bragoudakis, D. Sideris
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Discrete Dynamics in Nature and Society, 2021 This paper employs the threshold cointegration methodology to assess the long- and short-run dynamics of asymmetric adjustment between economic policy uncertainty (EPU) of China-India, China-Japan, China-Korea, India-Japan, India-Korea, and Japan-Korea ...
Prince Mensah Osei +2 more
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Decoupling Economic Growth From Carbon Dioxide Emissions in the EU Countries [PDF]
Montenegrin Journal of Economics, 2018 This paper aims to look at the long-run equilibrium relationship between CO2 emissions and economic growth (the EKC hypothesis) in an asymmetric framework using the non-linear threshold cointegration. In order to avoid the problem of omitted variables
Mariola Piłatowska, Aneta Włodarczyk
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Extended Enders and Siklos test for threshold cointegration
Przegląd Statystyczny, 2022 In our previous studies, we modified the Enders and Siklos test for threshold error correction to a version allowing the individual threshold variable to be responsible for the asymmetric mechanism of the system. The idea was to learn about the threshold mechanism both in the long and short run.
Magdalena Osińska, Maciej Gałecki
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Cointegration and Threshold Adjustment
Journal of Business & Economic Statistics, 1998 Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper provides an extension to the Engle-granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways.
Enders, Walter, Siklos, Pierre
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Threshold Cointegration Relationships between Oil and Stock Markets [PDF]
2009 International Conference on Management and Service Science, 2009 This paper aims to study the oil price adjustment dynamics and to implicitly test the efficiency hypothesis for the oil market. Thus, we study the oil price evolution in a nonlinear framework and investigate the interdependence hypothesis between oil and stock markets for two countries: Mexico and the Philippines.
Jawadi, Fredj, Leoni, Patrick
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