Quantifying the fiscal effects of trade reform [PDF]
Using a tax model of an open economy, the authors provide a simple but rigorous method for estimating the fiscal impact of trade reform. Both the direction and the magnitude of the fiscal consequences of trade reform depend on the elasticities of ...
Devarajan, Shantayanan +2 more
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Non-linear multivariate adjustment of the UK real exchange rate [PDF]
, 2003 Based on a multivariate non-linear model, this paper recognises an important role for the real exchange rate in affecting UK labour market conditions. The short-run real exchange rate adjusts quickly to disequilibrium deviations of the real exchange rate
Milas, C.
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ENERGY CONSUMPTION, TRADE OPENNESS AND GROWTH NEXUS IN TURKEY: EVIDENCE FROM VECM
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2019 Thisresearch investigates the relationship between energy consumption (ENE), tradeopenness (TI) and economic growth (GDP) in the case of Turkey in the period1970-2015. VECM is employed.
Elma Satrovic
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The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach [PDF]
This paper investigates the effects of shocks to Japanese monetary policy on exchange rates and other macroeconomic variables, using structural vector error correction model methods with long-run restrictions. Long-run restrictions are attractive because
Jang, Kyungho, Ogaki, Masao
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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
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Hedge Ratio and Hedging Effectiveness in Indian Currency Futures Markets
Финансы: теория и практикаThe purpose of the study is to assess the efficacy of diverse hedge ratios computed using three econometric models: OLS, VECM, and BEKK-GARCH model.
N. Agrawal, P. Srinivasan
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Testing for cointegration using the Johansen approach: Are we using the correct critical values? [PDF]
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate.
Paul Turner
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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions [PDF]
We study the joint determination of the lag length, the dimension of the cointegrating spaceand the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model usingmodel selection criteria.
Athanasopoulos, George +3 more
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Horizontal Price Transmission of the Finnish Meat Sector with Major EU Players [PDF]
The integration of the Finnish meat market in the EU has important implications for domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork and beef markets in relation to those of Germany and Denmark.
Liu, Xing
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