Results 201 to 210 of about 1,248 (231)
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Threshold Cointegration Analysis of Crude Oil Benchmarks
The Energy Journal, 2008The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations.
Shawkat M. Hammoudeh +2 more
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Time-varying threshold cointegration with an application to the Fisher hypothesis
Studies in Nonlinear Dynamics & Econometrics, 2021Abstract This paper extends the threshold cointegration model developed by Gonzalo, J., and J. Y. Pitarakis. 2006. “Threshold Effects in Cointegrating Relationships.” Oxford Bulletin of Economics & Statistics 68: 813–33 and Chen, H. 2015. “Robust Estimation and Inference
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Threshold cointegration and purchasing power parity in the pacific nations
Applied Economics, 2004The paper uses a threshold cointegration methodology to explore the properties of long-run purchasing power parity (PPP) in the Pacific nations. Using Japan and the USA as base countries, it is shown that long-run PPP holds for most Asian countries but that the adjustment mechanism is asymmetric.
Walter Enders, Kamol Chumrusphonlert
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Income inequality and the business cycle: A threshold cointegration approach
Economic Systems, 2009Abstract This paper investigates the impact of various socio-economic variables on various cohorts of the income distribution. We use asymmetric cointegration tests to show that unemployment and immigration shocks have real impacts on income inequality. In addition, using threshold test results we are able to show that positive and negative shocks to
Gary A. Hoover +2 more
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Threshold Cointegration in BRENT crude futures market [PDF]
, 2010 This paper, using a threshold vector error-correction (TVECM) model, examines whether BRENT crude spot and futures oil prices are cointegrated. By employing this methodology we are able to evaluate the degree and dynamics of transaction costs resulting from various market imperfections.
Mamatzakis, E, Remoundos, P
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Threshold cointegration between inflation and US capacity utilization
Applied Economics, 2016ABSTRACTAn analogue to the Phillips curve shows a positive relationship between inflation and capacity utilization. Some recent empirical work has shown that this relationship has broken down when using data after the mid-1980s. We empirically investigate this issue using several threshold error correction models.
M. Iqbal Ahmed, Steven P. Cassou
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Time-varying threshold cointegration and the law of one price
Applied Economics, 2007A theoretical model of the law of one price which allows for seasonality in transaction costs and supply and demand conditions between markets is developed. Bivariate three-regime threshold vector error correction models are applied to natural gas markets to examine seasonality in threshold levels.
Haesun Park +2 more
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Modelling the FF/MM rate by threshold cointegration analysis
Applied Economics, 2004This paper investigates a sticky-price model of exchange rate determination: extension of Krugman's target zone model with price inertia applied to the French Franc. A novel theoretical argument is considered, Threshold Cointegration, such that the long-run relationship between the parity and its fundamentals is dormant within a certain range of ...
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Finite-sample power properties of threshold cointegration tests
Applied Economics Letters, 2007The empirical powers of recently proposed threshold cointegration tests are examined. Using an empirically realistic data generation process two crucial results are derived. First, relative to the implicitly symmetric Engle–Granger test, threshold cointegration tests lack power even in the presence of substantial asymmetry.
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Nonlinear adjustment in PPP—evidence from threshold cointegration
Empirical Economics, 2006Nonlinearity in PPP has been carefully reported in number of studies. However, asymmetry with respect to the sign of the deviation and the dependency of the asymmetry on the exchange rate regime has largely remained outside the scope of those studies. The present paper partly fills this gap.
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