Essays about: "cointegration tests"

Showing result 1 - 5 of 46 essays containing the words cointegration tests.

  1. 1. 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

  3. 2. The Influence of Gold Market on Bitcoin Prices : Is there a correlation?

    University essay from Jönköping University/Internationella Handelshögskolan

    Author : Kasra Shariati; [2022]
    Keywords : Bitcoin; Gold; Investor Attention; Market Performance; Virtual Currency Development; Investments; Correlation;

    Abstract : Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. READ MORE

  4. 3. 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

  5. 4. The relationship between Renewable Energy, Electricity Prices and the Stock Market : A study on the relation between electricity prices and stock markets in chosen European countries with different energy sources

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Tilda Forslin; Gabriel Cedergren; [2022]
    Keywords : Renewable Energy; Electricity Prices; Stock Market; Volatility; Johansen’s Cointegration Test; GARCH; DCC-GARCH;

    Abstract : In this study we analyse the relationship between renewable energy, electricity prices, and the stock market. The impact from electricity prices on stock markets have previously been thoroughly analysed. READ MORE

  6. 5. Exchange Rates and Trade Flows : An Econometric Analysis of Structural Breaks in the Swedish Trade

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Lars Winnansson; [2022]
    Keywords : structural breaks; exchange-rates; trade-balance; imports; exports;

    Abstract : This study examines the relationship between the real exchange rate and the trade flows of Sweden in the presence of so-called structural breaks. The purpose is rooted in the hypothesis that the real exchange rate has been disconnected from global trade flows in the aftermath of the Global Financial Crisis (GFC) in 2008. READ MORE