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21.
The present study tests for the J-curve for five North European countries—Belgium, Denmark, The Netherlands, Norway, and Sweden—using generalized impulse response functions. The results provide empirical support for the J-curve. Each country has an impulse response function generated from a vector error-correction model that suggests that after a depreciation, there will be a dip in the export-import ratio within the first half-year after the depreciation. The long-run export-import ratio appears to be higher than the low point of this early dip in almost all cases. Also, in most cases, the export-import ratio appears in many periods after the depreciation to be converging from below to a higher long-run equilibrium. 相似文献
22.
Abdulnasser Hatemi-J 《Research in International Business and Finance》2012,26(2):273-280
The integration and development of financial markets is an important issue because it can result in economic growth via increasing exchange and more efficient allocation of scarce resources. It is also important for defining and conducting appropriate policies to counteract adverse spill-over effects across markets. The main goal of this paper is to assess the degree of integration or segmentation of the UAE stock market with the USA market by conducting new causality tests developed by Hatemi-J (forthcoming) that separate the effect of positive shocks from the negative ones. The empirical results based on standard symmetric causality tests indicate that the UAE market is segmented from the USA market. However, when the asymmetric causality tests are implemented the results reveal clearly that the UAE market is indeed integrated with the USA market. These results show, in addition, that the degree of integration is stronger when the markets are falling than rising. 相似文献
23.
Previous studies of the causal relationship between money supply and real output are based on asymptotic distributions. If
the assumption of normality is not fulfilled and if ARCH effects are present, asymptotic distributions perform inaccurately.
In this paper, we reinvestigate the potential causal relationship between money and output by applying an alternative methodology
based on the leveraged bootstrapped simulation techniques using data from Denmark, Japan, Sweden, and the US. We find unidirectional
causality from money to output for the sample countries except for Sweden for which causality is bi-directional. This finding
of unidirectional causality between money and output supports monetary business-cycle models and reveals one important policy
implication—that is, in looking for the sources of output fluctuations, money might be a major factor.
相似文献
Manuchehr IrandoustEmail: |
24.
How productivity and domestic output are related to exports and foreign output in the case of Sweden
In this paper we examine the relationships between two sets of three variables: Swedish real exports, Swedish real GDP, and foreign real GDP in one set; and Swedish real exports, Swedish total factor productivity, and foreign real GDP in the other set. The foreign real GDP facing Sweden is proxied by total OECD real GDP minus Sweden's real GDP. Multivariate tests for integration and cointegration show that the variables in each model are cointegrated. We also perform Granger causality tests on these variables in our examination using the Toda-Yamamoto procedure. We discover bi-directional causality between Swedish real exports and Swedish real GDP (or Swedish total factor productivity). Foreign real GDP is shown to Granger cause Swedish real exports, but no significant causation of foreign real GDP on either domestic GDP or total factor productivity was found. A change in foreign real GDP thus appears to affect Swedish output and productivity only indirectly, through changes in Swedish exports.
JEL classification:F41, F43, C30, C32 相似文献
25.
Tests for cointegration with two unknown regime shifts with an application to financial market integration 总被引:1,自引:0,他引:1
Abdulnasser Hatemi-J 《Empirical Economics》2008,35(3):497-505
It is widely agreed in empirical studies that allowing for potential structural change in economic processes is an important
issue. In existing literature, tests for cointegration between time series data allow for one regime shift. This paper extends
three residual-based test statistics for cointegration to the cases that take into account two possible regime shifts. The
timing of each shift is unknown a priori and it is determined endogenously. The distributions of the tests are non-standard.
We generate new critical values via simulation methods. The size and power properties of these test statistics are evaluated
through Monte Carlo simulations, which show the tests have small size distortions and very good power properties. The test
methods introduced in this paper are applied to determine whether the financial markets in the US and the UK are integrated.
相似文献
26.
On the Causality Between Exchange Rates and Stock Prices: A Note 总被引:1,自引:0,他引:1
This study uses a new Granger non–causality testing procedure developed by Toda and Yamamoto (1995) to contribute to the debate on exchange rates and stock prices in Sweden. It examines a possible causal relation between these variables in a vector autoregression (VAR) model. The results show that Granger causality is unidirectional running from stock prices to effective exchange rates. The results also reveal that an increase in Swedish stock prices is associated with an appreciation of the Swedish krona. Special attention is given to the estimation methodology and the lag choosing process. 相似文献
27.
The cointegration and causal relationship between export growth and economic growth is investigated for the Nordic economies. On the basis of Johansen's technique and the augmented Granger causality tests, the evidence shows that these macroeconomic aggregates are causally related in the long run for each economy. Granger causality is unidirectional, running from economic growth to export growth in Denmark, and bidirectional in Finland, Norway, and Sweden. The established bidirectional causality suggests that the expansion of exports is an integral part of the economic growth process. 相似文献