Essays about: "cointegration"

Showing result 1 - 5 of 143 essays containing the word cointegration.

  1. 1. Do global oil prices drive domestic food prices? : evidence from the Middle East countries

    University essay from SLU/Dept. of Economics

    Author : Madina Alieva; [2019]
    Keywords : food price; crude oil price; cointegration; VECM; Middle East;

    Abstract : This study investigates the dynamic relationship between global oil prices and domestic food prices across 11 countries of the Middle East. Using monthly data covering the period from January 2010 to October 2018, the study employs long-run cointegration tests, vector error correction model (VECM) and vector autoregression (VAR) model to examine the effect of global oil prices on domestic food prices in a sample of Middle East countries. READ MORE

  2. 2. Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple

    University essay from Umeå universitet/Nationalekonomi

    Author : Joline Göttfert; [2019]
    Keywords : ;

    Abstract : The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). READ MORE

  3. 3. The Effects of Economic Growth, Energy Consumption, Trade, Urbanization, and Financial development on CO2 Emissions in Canada

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Fia Andersson; [2019]
    Keywords : Canada; Environmental Kuznets Curve; CO2 Emissions; Autoregressive Distributed Lag Method; Vector Error Correction Model; Business and Economics;

    Abstract : A noteworthy cause of climate change is the amount of CO2 emissions released into the atmosphere. This study´s objective, therefore, is to examine the relationship between CO2 emissions, economic growth, energy consumption, urbanization, trade and financial development in the case of Canada, one of the largest CO2 emitters both in per capita and in absolute terms, over the period 1960-2014. READ MORE

  4. 4. Investigating the Long- and the Short-Run Diversification Potential of REITs for Private Investors

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Klara Granath; Charlotta Carlsson; [2019]
    Keywords : REIT; Portfolio Diversification; DCC-GARCH; Johansen’s Cointegration; Granger Causality;

    Abstract : Real estate is commonly viewed as a good diversification tool since the real estate market cycle exhibit low correlations to other asset classes. Moreover, Real Estate Investment Trusts (REITs) have become increasingly popular in the past decades since this investment form offers private investors a convenient way of diversifying stock portfolios with real estate. READ MORE

  5. 5. Stock Markets and Real Economic Activity : Zooming out to show a broader picture using 12 EU Membership Countries

    University essay from Högskolan i Jönköping/IHH, Nationalekonomi

    Author : Christian Truedsson; [2019]
    Keywords : Stock Market; Real Economic Activity; Present Value Model; Cointegration;

    Abstract : This thesis analyzes the long run relationship between stock markets and macroeconomic variables, such as the real industrial production index, consumer price index, money supply, and long-term government bonds. By the use of recent developments in cointegration methodologies a larger set of countries is analyzed due to mitigation of the issue where variables are integrated of different orders. READ MORE