Essays about: "fisher cointegration"

Found 4 essays containing the words fisher cointegration.

  1. 1. An empirical examination of the Fisher hypothesis in Sweden

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Mattias Arvidsson; [2012]
    Keywords : Fisher hypothesis cointegration interest rate inflation unit root test;

    Abstract : .... READ MORE

  3. 2. An Empirical Study on Market Segmentation and Information Diffusion in Chinese Stock Markets

    University essay from Statistiska institutionen

    Author : Chen Cao; [2010]
    Keywords : Information diffusion; Premium; A and B shares; Panel data;

    Abstract : The efficacy and accuracy of information is very important for making decision in stock markets. In this paper, we study on the effect of information diffusion in Chinese stock market before and after the owership release in February 19, 2001, by testing the stationary of A share premium and cointegration between A and B share prices. READ MORE

  4. 3. The Fisher Equation, Belgium before and after Euro currency

    University essay from Lunds universitet/Statistiska institutionen

    Author : Ismail Shah; Muhammad Waleed; [2010]
    Keywords : Unit root; Fisher equation; cointegration; Mathematics and Statistics;

    Abstract : This thesis focuses on the econometric evaluation of Fisher hypothesis. According to Fisher hypothesis there exist a long run equilibrium relationship between nominal interest rate and inflation rate. We analyze the data for Belgium at the different time periods of 1992 to 2000, 2001 to 2009 and 1992 to 2009. READ MORE

  5. 4. Testing the Balassa-Samuelson Hypothesis: Evidence from 10 OECD Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Cem Tintin; [2009]
    Keywords : Balassa-Samuelson Hypothesis ; Real Effective Exchange Rate ; Johansen Cointegration ; Panel Cointegration ; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This study tests the Balassa-Samuelson (BS) hypothesis for 10 OECD countries between 1975 and 2007 using the recent data sets and econometric methods. The study employs the Johansen cointegration approach in country-specific analysis. READ MORE