Essays about: "cointegration"

Showing result 1 - 5 of 192 essays containing the word cointegration.

1. 1. Global and Ethiopian Cereal Prices: Does the Law of One Price hold in the long run?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Heba Abbas; Borgström Annina; [2024-02-12]
   Keywords : Ethiopia; cereal; food prices LOP;

   Abstract : Like many other countries in the world, Ethiopia is currently facing significant challenges with high food prices. The high food prices affect cereals such as teff, sorghum, and maize which are staple foods in the Ethiopian diet. This study investigates the relationship between cereal prices in Ethiopia and the world market price of cereals. READ MORE

3. 2. INFLATION ANDINTEREST : What does high inflation imply?

   University essay from Umeå universitet/Nationalekonomi

   Author : Hugo Sjövall; [2024]
   Keywords : ;

   Abstract : The objective of this paper is to examine the general relationship between the year-onyear inflation-rate and nominal interest rates, contributing to a better understanding of what high inflation implies for nominal rates. Although a heavily researched topic, economists still seem far from a consensus regarding the relation between these two variables; some papers suggest a strong relationship – while others reject the idea of an empirically observable relationship altogether. READ MORE

4. 3. Is Bitcoin a Safe Haven?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : William Stockfors; [2023]
   Keywords : Cointegration Bitcoin S P 500 Safe Haven; Business and Economics;

   Abstract : The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. READ MORE

5. 4. Money supply and stock prices : Analyzing the relationship in Sweden through a cointegration approach

   University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

   Author : Linus Eriksson; Jonathan Harja; [2023]
   Keywords : ;

   Abstract : .... READ MORE

6. 5. Fractional Cointegration and Price Discovery in FX Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Johan Faxner; [2023]
   Keywords : exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

   Abstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE