Global ETD Search
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Showing 1 to 20 of 243 for “"cointegration"”.
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Threshold cointegration test of the Fisher effect
… under our study. Second, a two-stage threshold cointegration analysis has been applied to test for the presence of nonlinearity in the long-term equilibrium between the nominal interest rate and the inflation rate. We find some evidences nonlinearity in the Fisher relationship. Third, a …
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Cointegration tests with smooth breaks and co-movements of international reserves
… a new Autoregressive Distributive Lag (ADL) cointegration test in the presence of structural breaks approximated by a Fourier function. The test offers a simple way to capture a smooth structural change in time series data. Exact break dates are not required, and the suggested methodology can …
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STUDIES ON HOUSING MARKET DYNAMICS AND COINTEGRATION ANALYSIS WITH LATENT FACTORS
… of two essays on housing market dynamics and cointegration analysis with latent factors. The theme of this dissertation is housing market dynamics, with the first essay an application of advanced panel time series models to the studies of housing market dynamics, and the second essay a …
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New panel unit root and cointegration tests of purchasing power parity
… as Dickey Fuller and Augmented Dickey Fuller and cointegration tests. The empirical evidence from these methodologies seemed to produce very little empirical evidence favouring PPP. However, these methodologies have been shown to have low power and be inadequate when used with highly persistent …
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Cross -Commodity Price Linkages: A Cointegration Analysis of Food Markets in Java
… In conclusion, the results from this cointegration analysis implies that government can provide a more favorable food price stabilization policy environment that promotes economic efficiency. Meanwhile, the government should also create conducive market structure for private sector …
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The nexus between social spending and economic growth in South Africa: a cointegration approach
South African government has been utilizing expansionary expenditure for the past two decades to tackle the declining growth and the prevailing socioeconomic challenges. This policy stance is heavily grounded in the Keynesian theory which proposes that government spending stimulates economic …
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Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
… element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater …
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Cointegration relations between spot and futures prices for selected commodities: Implications for hedging and forecasting
Cointegration analysis is used to study the spot and futures price relationships for two storable commodities, corn and soybeans, and a nonstorable commodity, live hogs, over a 13-year period, 1980 to 1992. For corn and soybeans, cointegration is found in most pre-harvest contracts (July), and …
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An econometric analysis of international tourism demand in Hong Kong : a cointegration and error correction approach
… tourism demand. To this end, we test alternative cointegration and error correction approaches to examine the economic determinants of tourist flows to Hong Kong, and to produce accurate econometric forecasts of inbound tourism demand. Our empirical findings show that permanent income is the most …
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AN EMPIRICAL ANALYSIS OF THE DETERMINANTS OF NIGERIA’S INWARD FOREIGN DIRECT INVESTMENT (FDI) FLOWS: A COINTEGRATION ANALYSIS
… the empirical analysis using a state-of-the-art cointegration technique (the ARLD bounds testing approach to cointegration); (iii)To interpret and discuss the results, identifying the main findings, and draw out key policy implications. The study uses annual data from 1970 to 2014 and employs the …
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Multivariate cointegration analysis of the PPP and UIP relations between South Africa and the United States : empirical evidence
Includes bibliographical references (leaves 42-47).
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Dynamic econometric modeling of the U.S. wheat grain market
… contributes by applying developments in seasonal cointegration and structural-time series analysis (e.g., Zellner and Palm (1974); Hsiao (1997); Lee (1992); Franses and Kunst (1999); Ghysels and Osborn, 2001) to the study of agricultural commodity markets. The focus is on three research themes. …
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Current account deficits and sustainability: evidence from South Africa
… Second, the study utilises both stationarity and cointegration approaches for a consensus in results, where existing literature uses one or the other. Third, this study considers nonlinear methods in its evaluation, and to our knowledge, all studies evaluating South Africa, and most global …
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The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers
… three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results …
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Demand for money in China
… demand functions, the Engle-Granger two-stage cointegration method (EGTS), Phillips-Hansen cointegration approach, Pesaran et al. (2001) ARDL cointegration procedure along with CUSUM and CUSUMSQ stability tests and Johansen Multivariate Cointegration procedures are employed. Granger Causality …
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Financial Sector Development and Poverty Reduction in Namibia
… in the country. The study employed the Johansen Cointegration Procedure and Vector Error Correction Model to test the data. The data was obtained from the World Development Indicators and the Namibia Central Bank. The main findings suggest that financial development is important for poverty …
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Pairs trading: a copula approach
… the prices have returned to fair values. The cointegration method and the distance method are the most common techniques used in pairs trading strategy. However under these methods, the measure of divergence between the stocks or the spread is assumed to be symmetrically distributed about the …
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Are there benefits to diversification across the largest African stock markets?
… 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to …
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The impact of macroeconomic variables on the Johannesburg Stock Exchange (JSE) indices
… Discount Model(DDM) and an Engle and Granger cointegration model. The macroeconomic variables examined include inflation, money supply, exchange rates, index earnings, and interest rates. The data was gathered from various sources such as Bloomberg, and I-Net and was analysed over a period of …
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Terms of trade effects on PPP and incomes of primary-commodity exporting countries
… income, respectively. The Johansen procedure of cointegration testing is applied to dynamic models for a set of four developed countries (New Zealand, Australia, Norway and Iceland) and five less developed countries (Colombia, India, Malaysia, Thailand and Venezuela) each against it's major …
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