Essays about: "panel cointegration error correction model"
Showing result 1 - 5 of 7 essays containing the words panel cointegration error correction model.
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1. Do global oil prices drive domestic food prices? : evidence from the Middle East countries
University essay from SLU/Dept. of EconomicsAbstract : 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
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2. Explaining the NAV Discount in REIT pricing - Evidence from the U.S.
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper investigates the relationship between stock price and net asset value (NAV) for 71 real estate investment trusts (REITs) in the U.S. between Q1/1998 and Q4/2018. More specifically, by testing for cointegration, we look for evidence of a long-term equilibrium between stock price and NAV. READ MORE
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3. The short and long-term interdependencies between stock prices and dividends: A panel vector error correction approach
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. READ MORE
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4. The relationship between stock price, book value and residual income: A panel error correction approach
University essay from Uppsala universitet/Statistiska institutionenAbstract : In this paper we examine the short and long-term relations between stock price, book value and residual income. We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. READ MORE
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5. The Relationship between Insurance Market Activity and Economic Growth
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This research examines the short- and the long-run relationship between insurance market activity and economic growth for a panel data set of 80 countries for the period 2001-2012. Insurance market is investigated as a whole and separately as life and non-life insurance sectors. READ MORE