Essays about: "Cointegration markets}"

Showing result 1 - 5 of 45 essays containing the words Cointegration markets}.

  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. 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

  4. 3. Understanding the Norwegian Petroleum Industry: How does Oil explain Norwegian Public Expenditure and Social Spending? How vulnerable is it to shocks?

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Ignacio Ruesta Boceta; [2023]
    Keywords : Norway; Social Public Spending; Oil Exports; VEC; Impulse Response; External vulnerabilities; Business and Economics;

    Abstract : There are few people who deny that Norway's social welfare was achieved after Oil Discoveries. But there is concern about the sustainability of the Norwegian economy regarding the volatility of the Oil market. READ MORE

  5. 4. Macroeconomic Determinants of Sovereign Credit Risk

    University essay from

    Author : Adam Aleb; Rashid Hassan; [2022-07-04]
    Keywords : Macroeconomic Determinants; Credit Risk; Government Bond Yields; Cointegration; Long-run and Short-run Determinants; VECM; ARDL; FEVD;

    Abstract : This report analyzes the macroeconomic determinants of sovereign bond yields in three different economies: the US, a large open economy and a benchmark in the financial markets, Sweden, a small open economy that has successfully dealt with financial crisis, and Italy, a large open economy with a history of financial distress. Cointegration techniques of the VECM and the ARDL model were used to derive the short-run and the long-run determinants of sovereign bond yields. READ MORE

  6. 5. THE G-7 GOVERNMENT BOND MARKETS: A COINTEGRATION STUDY

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : William Fridström; [2022]
    Keywords : Cointegration; VECM; Goverment bond market; G-7; Market Integration; Business and Economics;

    Abstract : This thesis examines the long-run relationship among government bond total return indexes for the G-7 nations using weekly observations from 1993 to 2022. Using cointegration and error correction models, this study finds long-run relationships for the G-7 government bond markets as a group and evidence for pairwise cointegration between the US government bond market and many of the other G-7 government bond markets. READ MORE