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Showing 1 to 20 of 28 for “"cointegration analysis"”.
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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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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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AN EMPIRICAL ANALYSIS OF THE DETERMINANTS OF NIGERIA’S INWARD FOREIGN DIRECT INVESTMENT (FDI) FLOWS: A COINTEGRATION ANALYSIS
… econometric technique to undertake 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 …
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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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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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The Impact of Domestic Debt on Economic Growth in Malawi
… estimations techniques covering unit root and cointegration analysis based on annual data from 1984 to 2015 to examine the long-run and short-run relationship between domestic debt and economic growth in Malawi. The findings of the study show that in the long-run domestic debt has a positive …
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Monetary policy and the role of exchange rate: the case of Jordan
… Using Johansen (1991 and 1995) approach for cointegration analysis and the equilibrium-correction model (ECM), we examined the existence of stable long-run relationships for the demand for money and the demand for exports and imports. Using the VAR analysis, we analyzed the potential channels …
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The determinants of commercial banks interest rate spread in Namibia: An econometric exploration
… commercial banking industry using a panel data analysis of bank level data and time series analysis of macroeconomic data. The literature surveyed in this study suggests that the interest rate spread is influenced by several bank-specific, bank industry, and macroeconomic variables. The data for …
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Testing the risk and return trade-off in the Athens stock exchange
… the employment of (G)ARCH models, unit root and cointegration analysis. A theoretical and empirical review on the models is presented and, more specifically, there is an empirical examination of the validity of the Capital Asset Pricing Model (CAPM) and the two main forms of the Arbitrage Pricing …
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Financial integration of stock markets in the Gulf Cooperation Council countries
… a common long-run relationship. Correlation, cointegration analysis, and Granger causality tests were applied in the investigation of the stock markets' integration. The five GCC stock markets included in the analyses represent five GCC states—Bahrain, Kuwait, Oman, Qatar, and Saudi Arabia. …
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Hedging Canadian short-term interest rates : the BAX market
… market is also addressed in this chapter where cointegration analysis is used to investigate the unbiasedness hypothesis. Chapter 3 presents a univariate analysis of the BAX, and its underlying instrument the Canadian Bankers' Acceptance or BA, in a general framework that permits the statistical …
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Causal relationship between financial capital financial flows and economic growth in South Africa
… The study employed stationarity tests, cointegration analysis and the ARDL technique. The empirical results show that the relationship between Capital flows and GDP is negative. The relationship is marginal though and this suggests that capital flows, to a lesser extent, negatively …
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Labor Market Dynamics in West Virginia and the Appalachian Region
… and county factors. The third manuscript uses cointegration analysis in the presence of structural breaks to determine whether the Unemployment Invariance Hypothesis exists in West Virginia. Using monthly labor force data from 1976 - 2022, we find mixed support for the unemployment invariance, …
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Impact of Egypt's economic reform programme on the stock market performance
… to the period after 1991. The results from this analysis indicate clearly that both type of data series witnessed dramatic changes after 1991. As to the third issue, cointegration analysis is used to model the relationship between economic reform programme variables and the stock market …
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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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Foreign direct investment and economic development in China and East Asia
This thesis provides an empirical analysis on how Foreign Direct Investment could affect economic growth. The analysis focuses on China and two East Asian countries, South Korea and Taiwan, for the period from 1980 to 2006. A VAR system is applied to China and the other two countries, while …
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Integration of Liberalised European Electricity Markets
… and statistical methodology for time series analysis. Chapter two examines electricity market integration in nine European spot markets between 2000 and 2013, and four forward markets between 2007 and 2012. In contrast to most previous studies, this study proposes that electricity price …
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An Econometric Analysis of the Relationship Between the Namibian Government Debt and Economic Growth
… The autoregressive distributed lag (ARDL) cointegration framework was also employed to determine whether there is a long run and short-run relationship between the variables. Finally, the Granger Causality Test was conducted to test causation between the variables. To investigate these …
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An empirical analysis of European retail banking integration
… the 15 European Union countries. The macro-data analysis is performed on 19 sets of various monthly retail deposit and lending rates to the two components of retail banking, i.e. households and non-financial corporations. The micro-data analysis is perfonned on European retail banks' cost …
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Trade liberalization and the structure of production in Tanzania
… on land productivity. We also extend this analysis to Uganda in order to ascertain whether similar findings could be replicated in other developing countries. Thirdly, we employ the co-integration technique to evaluate the effects of openness on economic growth. The parametric and …
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