Essays about: "Pedroni Panel Cointegration"

Found 2 essays containing the words Pedroni Panel Cointegration.

1. 1. On the Heterogeneous and Time-Varying Relationship Between Stock Returns and Exchange Rates: Using a Panel Smooth Transition Regression Model

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Basak Edizgil; [2022]
   Keywords : Stock Returns; Exchange Rates; Panel Smooth Transition Regression Model; Non-linear; Pedroni Panel Cointegration;

   Abstract : This paper investigates the heterogeneous and time-varying relationship between stock returns and exchange rates for a panel of 19 countries using a panel smooth transition regression model and evaluates the role of the current account balance. Panel unit root tests indicate that stock market price indices and real effective exchange rates are non-stationary. READ MORE

3. 2. Testing the Balassa-Samuelson Hypothesis: Evidence from 10 OECD Countries

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Cem Tintin; [2009]
   Keywords : Balassa-Samuelson Hypothesis ; Real Effective Exchange Rate ; Johansen Cointegration ; Panel Cointegration ; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This study tests the Balassa-Samuelson (BS) hypothesis for 10 OECD countries between 1975 and 2007 using the recent data sets and econometric methods. The study employs the Johansen cointegration approach in country-specific analysis. READ MORE