Essays about: "dynamic cointegration"

Showing result 6 - 10 of 16 essays containing the words dynamic cointegration.

1. 6. Spatial Channels and Regional Mechanisms of Dutch Disease in Canadian Economy

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Oleksandr Shapovalov; [2017]
   Keywords : Dutch disease; economic growth; productivity gap; regional divergence; Business and Economics;

   Abstract : Dutch disease is one of the mechanisms through which the boom in one of the sectors induced by an exogenous shock may have profound adversary implications over the economic growth in the long term. The windfall gains generated from the commodity price increase leads to real exchange rate appreciation boosting wages and prices across all economic sector. READ MORE

3. 7. Housing prices, stock prices and interest rates: a cointegration analyses of the Stockholm region

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Johanna Melinder; Katja Melnikova; [2016]
   Keywords : Cointegration; Housing prices; Stock prices; Interest rates; Stockholm region; Johansen’s test; Unit root;

   Abstract : This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. READ MORE

4. 8. Current Account Imbalances: Signs of Adjustment?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Philipp Fuchs; [2015]
   Keywords : dynamic ordinary least squares; panel cointegration; Current account imbalances; asymmetric panel VECM; threshold effects; Business and Economics;

   Abstract : Global external imbalances are commonly labelled as one of the main reasons for the Global Financial Crisis. This paper investigates these imbalances and determines current account equilibria for 21 OECD countries. Subsequently, we measure the speed of adjustment to the calculated equilibrium values and test for asymmetric adjustment effects. READ MORE

5. 9. Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU

   University essay from KTH/Matematik (Inst.)

   Author : Richard Ruthberg; Steven Zhao; [2014]
   Keywords : Interest Rate Parity IRP ; Covered Interest Parity CIP ; Uncovered Interest Parity UIP ; Forward Rate Unbiasedness Hypothesis FRUH ; Monetary Integration; Sweden; EMU; STIBOR; EURIBOR; Cointegration; Johansen Test; Dynamic OLS; ränteparitet; ränteparitetsvillkoret; kurssäkrad ränteparitet; icke-kurssäkrad ränteparitet; effektiva marknadshypotesen; valutaterminer; monetär integration; Sverige; EMU; STIBOR; EURIBOR; kointegration; Johansen test; dynamisk OLS;

   Abstract : This thesis provides a thorough analysis of the covered- and uncovered interest parity conditions (CIP, UIP) as well as the forward rate unbiasedness hypothesis (FRUH) for Sweden and the European Economic and Monetary Union (EMU). By studying data on interbank rates in Sweden (STIBOR) and the EMU (EURIBOR) as well as the corresponding spot- and forward exchange rates, monetary integration and country-specific risks are determined and analyzed with direct applications to the potential entry of Sweden into the EMU. READ MORE

6. 10. Exchange rates and stock markets

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Adam Fathi; Christian Staf; [2013-07-04]
   Keywords : ;

   Abstract : The study employs a vector error correction model, cointegration analysis and Granger causality test to examine the short- and long-run dynamic relationship between the USD/SEK exchange rate and the OMXS30. In the short-run we found statistical evidence of OMXS30 granger causing the USD/SEK currency exchange rate positively but no statistical evidence that the USD/SEK exchange rate granger cause OMXS30. READ MORE