Essays about: "cointegration"

Showing result 11 - 15 of 192 essays containing the word cointegration.

  1. 11. The Effect of Monetary Policy and other Macroeconomic Factors on Wealth Inequality in the United States

    University essay from Göteborgs universitet/Graduate School

    Author : Jacob Stridsberg; Alexander Myrberg; [2022-10-24]
    Keywords : ;

    Abstract : Wealth inequality is a crescent phenomenon and topic that has been gaining attention of late, not least in the United States, but in many other countries as well. This Master’s thesis seeks to discern what factors have been conducive to this increase, chiefly focusing on the role played by the central bank via setting the federal funds rate and its effect on the top 1 percentile’s wealth share. READ MORE

  3. 12. 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

  4. 13. 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

  5. 14. 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

  6. 15. 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