TESTING IMPORT-LED GROWTH HYPOTHESIS IN NORTH CYPRUS: AN EMPIRICAL INVESTIGATION FROM COINTEGRATION AND CAUSALITY TESTS
|
|
- Amos Adams
- 8 years ago
- Views:
Transcription
1 Ι 27 TESTING IMPORT-LED GROWTH HYPOTHESIS IN NORTH CYPRUS: AN EMPIRICAL INVESTIGATION FROM COINTEGRATION AND CAUSALITY TESTS Assoc. Prof. Salih KATIRCIOGLU Easern Medierranean Universiy Deparmen of Banking and Finance Lec. Elif KATIRCIOĞLU Easern Medierranean Universiy Deparmen of Business Adminisraion Absrac: The presen paper empirically ess he Impor-led Growh Hypohesis (ILGH) in Norh Cyprus, which is sae is no recognized by counries oher han is mainland, Turkey and suffers from he Cyprus problem for more han 0 years. Coinegraion es resuls reveal ha long-run equilibrium relaionship exiss beween impors of goods and services and real income growh in his small island sae; real income converge o is long erm equilibrium level by as high as 99%. However, causaliy ess in he presen sudy do no validae he exisence of he ILGH in Norhern Cyprus. Keywords: Impor-led Growh, Economic Growh, Coinegraion, Causaliy, Norh Cyprus Öze: Mevcu çalışma, Türkiye Cumhuriyei nden başka bir ülke arafından anınmayan ve 0 yıldan fazla bir süredir, Kıbrıs sorunun çözümsüzlüğünden dolayı ekonomik sancıları yaşayan, Kuzey Kıbrıs Türk Cumhuriyei nde, İhala a Dayalı Büyüme Hipoezi ni es emeyi hedeflemekedir. Mevcu çalışmada uygulanan eşbüünleme esleri, ihala ile reel gelir arasında uzun dönemli bir denge ilişkisinin olduğunu oraya koymakadır; ihala'ın kakısı ile reel gelir uzun dönem dengesine 99% luk hızla yaklaşmakadır. Faka, Granger nedensellik esleri, Kuzey Kıbrıs için ihalaa dayalı büyüme hipoezinin varlığını onaylamamakadır. Anahar Kelimeler: İhalaa Dayalı Büyüme, Ekonomik Büyüme, Eşbüünleme, Nedensellik, Kuzey Kıbrıs
2 28 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus 1. INTRODUCTION Inernaional rade is a major source of foreign exchange for all he counries in he earh bu i is more imporan for smaller counries. Especially, small islands have more dependency on inernaional rade since heir economies are based on only a few secors (Kaircioglu, 2010a). For example, according o Kuznes (1966), as he counry ges smaller, is dependency on inernaional rade would increase. On he oher hand, alhough many economiss agree ha small counries have similar advanages and disadvanages when compared o he larger ones, here are differences in he origin of hese disadvanages (Kaircioglu, 2010a). Among common disadvanages are foreign rade dependency, vulnerabiliy, high populaion growh, limied labor, low labor efficiency, diseconomies of scale, low GDP (Gross Domesic Produc), high dependency on impors of inermediae and consumpion goods, and producion of only a few basic goods/services (Kaircioglu, 2010a). Since he economy of small islands based on a few secors, heir expor capaciy is quie limied; herefore, he island economies heavily depend on impors of goods and services from abroad. There have been many sudies ha invesigae he ILGH in he lieraure (see Deme, 2002 among he ohers). In addiion o cross-counry applicaions, ime series and causaliy analyses examining he concep of he ILGH were also pracically considered in addiion o he Expor-led growh hypohesis. This is mainly due o he fac ha impors are vial for raw maerials, as well as inermediae goods and capial goods which are used in he producion process of expored goods and services. This mechanism simulaes economic growh for many counries. The presen sudy empirically ess he ILGH in a small island, Turkish Republic of Norhern Cyprus (TRNC), which is no a recognized sae (only recognized by is mainland, Turkey). This sudy is imporan in he sense ha i, as a firs ime, considers he relaionship beween impors and real income growh in his small island sae which suffers from foreign rade relaionships wih he oher counries due o he poliical reasons. This realiy made he Turkish Cyprio economy heavily depending on impors from abroad. The presen sudy also employs he laes economeric echniques of he Johansen coinegraion es and Causaliy es under block exogeneiy wald ype es o forecas his relaionship. The TRNC was esablished in 1983 in Cyprus and is no recognized by counries oher han he mainland Turkey. Norh Cyprus has a populaion over 265,000 and 10,537 US$ per capia income (SPO, 2011). Inernaional ourism and he emergence of higher educaion secor are wo major sources of foreign exchange o his small island since TRNC does no have considerable foreign rade relaionship wih counries oher han Turkey due o he poliical non-recogniion (Kaircioglu, 2010a). Therefore, resuls of his sudy will be imporan for policy makers in such a impordepended island economy. The paper proceeds as follows. Secion 2 defines he heoreical seing of he presen sudy. Secion 3 defines daa and mehodology. Secion provides resuls and discussions and he paper concludes wih Secion 5.
3 Salih & Elif Kaırcıoğlu Ι THEORETICAL SETTING There are huge amoun of sudies sudying he deerminans of economics growh especially wihin he growh accouning framework (see Kaircioglu, 2010a). There are sudies ha modeled impor-led growh equaions where impors were assumed o be imporan deerminan of real income. On he oher hand, exchange raes are considered as a very imporan variable affecing inernaional rade (boh expors and impors) and is relaionship wih real income (See Kaircioglu, 2009; 2010a; 2010b). Thus, he following relaionship can be esablished in his sudy: y = f (M, RER ) (1) where real income (y) is a funcion of impors (M) and real exchange raes (RER). This relaionship in equaion (1) can hen be expressed in logarihmic form o capure he growh impac of independen variables (Kaircioglu, 2010a; 2010b): ln y 0 1 ln M 2 ln RER (2) where a period, lny is he naural log of real income; lnm is he naural log of impors variable; lnrer is he naural log of real exchange raes; and is he error disurbance. The expeced sign of coefficen for M is posiive in equaion (2) implying ha growh in impors and real exchange raes are likely o exer posiive impac on real income growh; herefore, equaion (2) can be expressed as imporgrowh model. As also Kaircioglu (2010a and 2010b) sugges real income in equaion (2) may no immediaely adjus o is long erm equilibrium level following a change in any of heir deerminans; herefore, he speed of adjusmen beween he shor erm and he long erm levels of real income as dependen variable can be capured by esimaing he following error correcion model: ln y (3) n n n 1 ln y j 2 ln M j 3 RER j 1 i 1 i 0 i 0 0 ln u
4 30 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus where represens change in y, M, and RER variables and -1 is he one period lagged error correcion erm (ECT), which is esimaed from equaion (2). The ECT in equaion (3) shows how fas he disequilibrium beween he shor-run and he long-run values of dependen variable is eliminaed each period (Kaircioglu, 2010a; 2010b). The expeced sign of ECT is negaive (See Gujarai, 2003). 3. DATA AND METHODOLOGY Daa used in he presen paper are annual figures ha cover he period and variables are real gross domesic produc (GDP), real impors of goods and services, and real exchange raes in he TRNC. Daa are aken from Sae Planning Organizaion of he TRNC (SPO, 2011) and variables are all a 2005 consan USD prices. Prior o esimaing he models as defined in he previous secion, he Phillips- Perron (PP) 9 Uni Roo Tes was employed o es he inegraion level and he possible co-inegraion among he variables (Dickey and Fuller 1981; Phillips and Perron 1988). The PP procedures, which compue a residual variance ha is robus o auo-correlaion, are applied o es for uni roos as an alernaive o ADF uni roo es (Kaircioglu, 2009). To invesigae long-run relaionship in equaion (2), he Johansen coinegraion es has been employed in his sudy. Cheung and Lai (1993) menion ha he race es is more robus han he maximum eigen value es for coinegraion. The Johansen race es aemps o deermine he number of coinegraing vecors among variables. There should be a leas one co-inegraing vecor for a possible coinegraion. The Johansen (1988) and Johansen and Juselius (1990) approach allows he esimaing of all possible co inegraing vecors beween he se of variables and i is he mos reliable es o avoid he problems which sems from Engel and Granger (1987) procedure 10. This procedure can be expressed in he following VAR model: X 1 X 1... K X K e (for =1, T) () Where X, X -1,, X -K are vecors of curren and lagged values of P variables which are I(1) in he model; 1,., K are marices of coefficiens wih (PXP) dimensions; is an inercep vecor 11 ; and e is a vecor of random errors. The number of lagged values, in pracice, is deermined in such a way ha error erms are 9 PP approach allows for he presence of unknown forms of auocorrelaion wih a srucural break in he ime series and condiional heeroscedasiciy in he error erm. 10 See Kremers e al. (1992) and Gonzalo (199) for he commens abou disadvanages of Engel and Granger (1987) procedure compared wih Johansen and Juselius (1990) coinegraion echnique. 11 μ is a vecor of I(0) variables which represen dummy variables as well. This ensures ha errors e are whie noise.
5 no significanly auo-correlaed. Adding X -1,, X -K and 1 X -2,, K-1 X -K o boh sides and rearrange erm he VAR model will be in he following form 12 : X Salih & Elif Kaırcıoğlu Ι 31 1 X 1... K 1 X K 1 X K e (5) where i =-(I- i -.- i ); (i=1, 2,, K-1); =-(I ) and I is he ideniy marix. The rank of he marix of coefficien, gives he number of long-run relaionships beween he variables of he sysem. Three possible cases are saed by Johansen and Juselius (1990): i) If he ranks equal P[r( ) = P] meaning ha has full rank, hen any linear combinaion of I(1) series is saionary. ii) If he rank equals zero (r( ) = 0, i.e. is a null marix), hen here is no co inegraion relaionship. Alhough a long-run relaionship seems o be unlikely, a shor-run relaionship may be idenified by he firs differences. iii) If he rank is beween zero and P (0 < r( ) < P), hen here are marices α and β wih (pxr) dimension, so ha i is possible o represen = α β. Marix β is called he co inegraing marix whereas marix α is referred o as he adjusmen marix or he feedback marix. Marix β has he propery o ransform β X ino a saionary process even ough X is no in he equilibrium relaionship. The rank of is he number of co inegraing relaionship(s) (i.e. r) which is deermined by esing wheher is Eigen values (λ i ) are saisically differen from zero. Johansen (1988) and Johansen and Juselius (1990) propose ha using he Eigen values of ordered from he larges o he smalles is for compuaion of race saisics 13.. The race saisic (λ race ) is compued by Asseery he following formula 1 : race i T Ln(1 ), i = r+1,, n-1 (6) and he hypoheses are : H 0 : r = 0 H 1 : r 1 H 0 : r 1 H 1 : r 2 H 0 : r 2 H 1 : r 3 In he case of coinegraion in equaion (2), Granger causaliy ess should be carried ou using block exogeneiy Wald ess (ha use Chi-square ess, χ 2 ) under vecor error correcion mechanism o also es for he ILGH in he presen sudy. 12 This form of he equaion is also called vecor error correcion. 13 Asympoic criical values are obained from Oserwald-Lenum (1992). 1 A he beginning of he procedure, we es he null hypohesis ha here are no co inegraing vecors. If i can be rejeced, he alernaive hypohesis (i.e. r 1,, r n) are o be esed sequenially. If r=0 canno be rejeced in he firs place, hen here is no co inegraing relaionship beween he variables, and he procedure sops
6 32 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus Having saisically significan χ 2 raio as Wald saisic would mee condiions o have long-run causaion from independen variable o dependen variable. Causaliy ess using block exogeneiy approach are carried ou under he vecor error correcion model (VECM) in he case of co-inegraion By VECM, he shorrun deviaions of series from heir long-run equilibrium pah are capured by including an error correcion erm (Jenkins and Kaircioglu, 2010). Therefore, he VECM can be specified in equaion (6): q L ln Y 22 L X ECT 1 ln Y (6) p 1 21 ln Where P ij p 1 q ij L ijn L ij L n 1 Q ij n 1 ijn L 1 In equaions (6), denoes he difference operaor and L denoes he lag operaor where (L) lny = lny -1. ECT -1 in equaion (6) is he lagged error correcion erm derived from he long-run co-inegraion model. Finally, μ is serially independen random errors wih mean zero and finie covariance marix.. RESULTS AND DISCUSSIONS The PP uni roo es resuls sugges ha real GDP, impors, and real exchange raes in Norh Cyprus are non-saionary a heir levels bu become saionary a heir firs differences; herefore, GDP, M, and RER in he presen sudy are said o be inegraed of order one, I (1) 15. Table 1. Johansen Coinegraion Trace Tes Hypohesi zed Trace 5 Percen 1 Percen No. of CE(s) Saisic Criical Value Criical Value None * A mos A mos Noe: Lag lengh is 1 in his esimaion. 15 Uni roo ables and resuls can be gahered from he auhors of he sudy upon he reques.
7 Salih & Elif Kaırcıoğlu Ι 33 Since he variables of he sudy are inegraed of order one, here is sill a possibiliy ha here migh be coinegraion relaionship in equaion (2). Johansen coinegraion es has been employed wih his respec. As can be seen from Table 1, he null hypohesis of no coinegraing vecor is rejeced and is alernaive of a leas one coinegraing vecor in equaion (2) is acceped according o race es. This confirms coinegraion (long erm) relaionship in equaion (2) using lag one ha sugges long erm impor growh model in he case of Norh Cyprus. Having long erm relaionship in equaion (2) he level equaion is needed o forecas long erm coefficiens in equaion (2). The esimaes of level relaionship impor-growh model can be given by: Table 2. Impor-Growh Relaionship in Equaion (2): Normalized coinegraing coefficiens (sandard error in parenheses) LGDP LIMPORT LRER ( ) ( ) Impors have inelasic bu posiive and saisically significan elasiciy coefficien ( ) for real income growh in Norhern Cyprus. RER is also posiive bu no saisically significan. Table 2 sugges ha one percen variaion in impors leads o percen variaion in real income in he long erm and in he same direcion. In he nex sage, he error correcion model associaed wih he above level relaionship should be esimaed. This given in Table 3:
8 3 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus Table 3. Error Correcion Model in Equaion (3) Error Correcion: D(LGDP) CoinEq [ ] D(LGDP(-1)) [ ] R-squared F-saisic Log likelihood Akaike AIC Schwarz SC Mean dependen S.D. dependen D(LIMPORT(-1)) [-0.710] D(LRER(-1)) [ ] C [ ] DTREND [ ] Resuls in Table 3 show ha error correcion erm is very high (0.99), saisically significan and has expeced sign (-). This shows ha real income in equaion (3) converge a a very high level (99.0%) o is long-erm equilibrium level; lag lengh in Table 3 is one. On he oher hand, he lagged coefficiens in he shor erm are no saisically significan where inercep and rend dummy are saisically significan. Finally, F raio of he model in Table 3 is no again saisically significan. Bu, since raio of error correcion erm is saisically significan, we conclude ha real income converge o is long erm equilibrium level very high in impor growh model. Table. Granger Causaliy Tess under Block Exogeneiy Approach Dependen variable: D(LGDP) Excluded Chi-sq df Prob. D(LIMPOR T) D(LRER) All Dependen variable: D(LIMPORT)
9 Salih & Elif Kaırcıoğlu Ι 35 Excluded Chi-sq df Prob. D(LGDP) D(LRER) All Dependen variable: D(LRER) Excluded Chi-sq df Prob. D(LGDP) D(LIMPOR T) All Finally, he direcion of causaliy can be now searched wihin he Block Exogeneiy Wald ess under vecor error correcion framework. Granger causaliy es resuls are given in Table wih his respec. Granger causaliy ess have been run under pairwise basis. Table shows ha none of he χ 2 saisics are saisically significan. This siuaion does no idenify any long erm causaliy beween real income, impors, and real exchange raes in he case of Norh Cyprus; herefore, his is o conclude ha he ILGH hypohesis canno be inferred in he Turkish Cyprio economy using Johansen mehodology. This finding is similiar o he finding of Kaircioglu (2010a) where he same conclusion was reached for Norh Cyprus by employing bounds ess and condiional error correcion models.. CONCLUSION This paper empirically esed he impor-led growh hypohesis in he case of Norh Cyprus by esimaing long erm equilibrium relaionship and causaliy beween impors and real income growh. Resuls of he presen sudy reveal ha alhough long erm equilibrium relaionship exiss beween impors and economic growh in his small island, impors have posiive long erm coefficien for real income, Granger causaliy ess did no confirm he ILGH in Norh Cyprus. The sudy couldn idenify any causaliy beween impors and real income in he long erm period of he Turkish Cyprio economy. These resuls are similiar o he findings of Kaircioglu (2010a). Bu, i is imporan o noe ha impor growh model is valid in he long erm for Norh Cyprus and real income converge o is long erm equilibrium level very high (99%) by he conribuion of impors. Furhermore, impors have posiive and saisically significan long erm elasiciy coefficien for
10 36 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus real income, which is Alhough he ILGH couldn be confirmed for Norh Cyprus, resuls of he error correcion model shows ha impors are sill vial for he Turkish Cyprio economy. REFERENCES Cheung, Y. and Lai, K. (1993), Finie-sample sizes of Johansen s likelihood raio ess for co-inegraion, Oxford Bullein of Economics and Saisics, Augus, Deme, M. (2002), An examinaion of he rade-led growh hypohesis in Nigeria: A co-inegraion, causaliy, and impulse response analysis, The Journal of Developing Areas, 36/1, Dickey, D. and Fuller, W. A. (1981), Likelihood raio saisics for auoregressive ime series wih a uni roo, Economerica, 9, Engle, R. F. and Granger, C. W. J. (1987), Co-inegraion and error correcion: Represenaion, esimaion and esing, Economerica, 55, Gonzalo, J. (199), Five alernaive mehods of esimaing long-run equilibrium relaionships, Journal of Economerics, 60, Gujarai, D. N. (2003), Basic Economerics, h Ediion, Mc Graw-Hill Inernaional. Jenkins, H. P. and Kaircioglu, S. (2010), The Bounds Tes Approach for Coinegraion and Causaliy beween Financial Developmen, Inernaional Trade and Economic Growh: The Case of Cyprus, Applied Economics, 2 (13): Johansen, S. (1988), Saisical analysis of co-inegraing vecors, Journal of Economic Dynamics and Conrol, 12, Johansen, S. and Juselius, K. (1990), Maximum likelihood esimaion and inference on co-inegraion wih applicaion o he demand for money, Oxford Bullein of Economics and Saisics, 52, Kaircioglu, S. (2009), Revisiing he Tourism-led-growh Hypohesis for Turkey Using he Bounds Tes and Johansen Approach for Coinegraion, Tourism Managemen, 30/1, Kaircioglu, S. (2010a), Trade and Growh in a Non-Recognized Small Island Sae: Evidence from he Turkish Republic of Norhern Cyprus, Journal of Business Economics and Managemen, 11/1, Kaircioglu, S. (2010b), Inernaional Tourism, Higher Educaion, and Economic Growh: he Case of Norh Cyprus, The World Economy, 33/12,
11 Salih & Elif Kaırcıoğlu Ι 37 Kremers, J. M., Erisccos, N. R. and Dolado, J. J. (1992), The power of coinegraion ess, Oxford Bullein of Economics and Saisics, 5, Kuznes, S. (1966), Economic Growh of Small Naions, he Modern Economic Growh, Yale Universiy Press: London. Oserwald-Lenum, M. (1992), A noe wih quaniles of he asympoic disribuion of he ML co-inegraion rank ess saisics, Oxford Bullein of Economic and Saisics, 5, Phillips, P. C. B. and Perron, P. (1988), Tesing for a uni roo in ime series regression, Biomerica, 75, Sae Planning Organizaion (SPO) (2011), Economic And Social Indicaors, Norh Cyprus: Follow Up And Coordinaion Deparmen, Prime Minisry, Nicosia. Doç. Dr. Salih KATIRCIOĞLU, Doğu Akdeniz Üniversiesi nden İşleme Lisans ve İkisa yüksek lisans derecelerini aldıkan sonra, 2000 yılında, İkisa anabilim dalında Uludağ Üniversiesi nden dokora derecesini almışır. Ekim 2010 arihinden iibaren Doğu Akdeniz Üniversiesi, Bankacılık ve Finans Bölümü başkanlık görevini yürümekedir. Dr. KATIRCIOĞLU nun, bugüne kadar uluslararası dergilerde yayınlanmaya devam emeke olan 60 an fazla eseri mevcuur. Bu eserlerin, yaklaşık 30 anesi Social Sciences Ciaion Index arafından aranan dergilerde yayınlanmış ve yayınlanmak üzere kabul edilmişir. Dr. KATIRCIOĞLU, ayrıca 10 ayrı indeks arafından aranmaka olan Inernaional Journal of Economic Perspecives dergisinin de ediörlüğünü yürümekedir. Salih Turan KATIRCIOGLU (Ph.D) is Associae Professor of Economics in he Deparmen of Banking and Finance of Faculy of Business and Economics, Easern Medierranean Universiy, Famagusa, Norh Cyprus, Via Mersin 10, Turkey. He graduaed from he same insiuion and earned his PhD from Uludag Universiy, Turkey. His research ineress include applied ime series economerics, inernaional rade, inernaional finance, ourism economics, and economic growh issues. He serves as edior in Inernaional Journal of Economic Perspecives. He has previously published in considerable number of inernaional peer review journals such as The World Economy, Applied Economics, Tourism Managemen, Applied Economics Leers, Inernaional Journal of Manpower, Tourism Economics, Singapore, Economic Review, Journal of Business Economics and Managemen, Inernaional Journal of Bank Markeing, and Inernaional Journal of Social Economics.
12 38 Ι Tesing Impor Led- Growh Hypohesis in Norh Cyprus Elif KATIRCIOĞLU, Dokuz Eylül Üniversiesi nden İkisa dalında lisans ve Doğu Akdeniz Üniversiesi nden Bankacılık ve Finans dalında yüksek lisans derecelerini aldıkan sonra, Ingilere de Greenwich Üniversiesi nde dokora eğiimine halen devam emekedir. Sn. KATIRCIOĞLU, Doğu Akdeniz Üniversiesi, İşleme Bölümü nde Girişimcilik, e-ticare, ve İsaisik konularında ders vermeye devam emekedir. Sn. KATIRCIOĞLU aynı zamanda, Inernaional Journal of Economic Perspecives dergisinin yöneici ediörlük görevini de sürdürmekedir. Elif KATIRCIOGLU (MSc) is lecurer in he Deparmen of Business Adminisraion of Faculy of Business and Economics, Easern Medierranean Universiy, Famagusa, Norh Cyprus. She go her maser degree from he Deparmen of Banking and Finance of Faculy of Business and Economics, Easern Medierranean Universiy, Famagusa, Norh Cyprus and her bachelor degree from he Deparmen of Economics in Dokuz Eylul Universiy, Izmir, Turkey. Her research ineress include enrepreneurship and elecronic commerce. She has several chapers in books and aricles published in inernaional peer reviewed journals. She serves as Managing Edior in Inernaional Journal of Economic Perspecives.
Cointegration: The Engle and Granger approach
Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require
More informationHow To Calculate Price Elasiciy Per Capia Per Capi
Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh
More informationMALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1
Journal of Economic Cooperaion, 8, (007), 83-98 MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jaria Duasa 1 The objecive of he paper is wofold. Firs, is o examine causal relaionship
More informationTitle: Who Influences Latin American Stock Market Returns? China versus USA
Cenre for Global Finance Working Paper Series (ISSN 2041-1596) Paper Number: 05/10 Tile: Who Influences Lain American Sock Marke Reurns? China versus USA Auhor(s): J.G. Garza-García; M.E. Vera-Juárez Cenre
More informationTime Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test
ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed
More informationLead Lag Relationships between Futures and Spot Prices
Working Paper No. 2/02 Lead Lag Relaionships beween Fuures and Spo Prices by Frank Asche Ale G. Guormsen SNF-projec No. 7220: Gassmarkeder, menneskelig kapial og selskapssraegier The projec is financed
More informationDOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR
Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios
More informationPurchasing Power Parity (PPP), Sweden before and after EURO times
School of Economics and Managemen Purchasing Power Pariy (PPP), Sweden before and afer EURO imes - Uni Roo Tes - Coinegraion Tes Masers hesis in Saisics - Spring 2008 Auhors: Mansoor, Rashid Smora, Ami
More informationJournal Of Business & Economics Research September 2005 Volume 3, Number 9
Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo
More informationElectricityConsumptionandEconomicGrowthinBangladeshCo-IntegrationandCausalityAnalysis
Global Journal of Managemen and Business Research Volume 12 Issue 11 Version 1.0 July 2012 Type: Double Blind Peer Reviewed Inernaional Research Journal Publisher: Global Journals Inc. (US) Online ISSN:
More informationCAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA
CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,
More informationTHE RELATIONSHIPS AMONG PETROLEUM PRICES. Abstract
Inernaional Conference On Applied Economics ICOAE 2010 459 THE RELATIONSHIPS AMONG PETROLEUM PRICES RAYMOND LI 1 Absrac This paper evaluaes in a mulivariae framework he relaionship among he spo prices
More informationUsefulness of the Forward Curve in Forecasting Oil Prices
Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,
More informationDeterminants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators
Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and
More informationReal Exchange Rate and Trade Balance Relationship: An Empirical Study on Malaysia
Vol. 3, No. 8 Inernaional Journal of Business and Managemen Real Exchange Rae and Trade Balance Relaionship: An Empirical Sudy on Malaysia Ng Yuen-Ling Faculy of Accounancy and Managemen, Universii Tunku
More informationSensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey
Received: 21 May 2011; Acceped: 05 May 2012. UDC 338.516:665,6 (560) DOI: 10.2298/PAN1204463E Original scienific paper Ibrahim Halil Eksi Faculy of Economics and Adminisraive Sciences, Kilis 7 Aralik Universiy,
More informationA DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand s Stock Markets
Journal of Convergence Informaion Technology Volume 4, Number 1, March 9 A DCC Analysis of Two Sock Marke Reurns Volailiy wih an Oil Price Facor: An Evidence Sudy of Singapore and Thailand s Sock Markes
More informationThe Impact of Flood Damages on Production of Iran s Agricultural Sector
Middle-Eas Journal of Scienific Research 12 (7): 921-926, 2012 ISSN 1990-9233 IDOSI Publicaions, 2012 DOI: 10.5829/idosi.mejsr.2012.12.7.1783 The Impac of Flood Damages on Producion of Iran s Agriculural
More informationThe Relationship Between Commercial Energy Consumption and Gross Domestic Income in Kenya
The Relaionship Beween Commercial Energy Consumpion and Gross Domesic Income in Kenya Susan M. Onuonga The Journal of Developing Areas, Volume 46, Number 1, Spring 2012, pp. 305-314 (Aricle) Published
More informationVector Autoregressions (VARs): Operational Perspectives
Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians
More informationInvestigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy)
saqartvelos mecnierebata erovnuli akademiis moambe,. 9, #2, 2015 BULLETIN OF THE GEORGIAN NATIONAL ACADEMY OF SCIENCES, vols. 9, no. 2, 2015 Economy Invesigaion of he effec of he degree of openness of
More informationFORECASTING WATER DEMAND FOR AGRICULTURAL, INDUSTRIAL AND DOMESTIC USE IN LIBYA
Inernaional Review of Business Research Papers Vol.4 No. 5 Ocober-November 8 Pp. 31-48 FORECASTING WATER DEMAND FOR AGRICULTURAL, INDUSTRIAL AND DOMESTIC USE IN LIBYA Fahis F. Lawgali* This paper examines
More informationUni Rodeo and Economic Loss Analysis
Do Propery-Casualy Insurance Underwriing Margins Have Uni Roos? Sco E. Harringon* Moore School of Business Universiy of Souh Carolina Columbia, SC 98 harringon@moore.sc.edu (83) 777-495 Tong Yu College
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationBid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation
Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask
More informationInstitut für Halle Institute for Economic Research Wirtschaftsforschung Halle
Insiu für Halle Insiue for Economic Research Wirschafsforschung Halle On he Twin Deficis Hypohesis and he Impor Propensiy in Transiion Counries Huber Gabrisch December 2011 No. 20 IWH-Diskussionspapiere
More informationMeasuring macroeconomic volatility Applications to export revenue data, 1970-2005
FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a
More informationCausal Relationship between Macro-Economic Indicators and Stock Market in India
Asian Journal of Finance & Accouning Causal Relaionship beween Macro-Economic Indicaors and Sock Marke in India Dr. Naliniprava ripahy Associae Professor (Finance), Indian Insiue of Managemen Shillong
More informationApplied Econometrics and International Development Vol.7-1 (2007)
Applied Economerics and Inernaional Developmen Vol.7- (7) THE INFLUENCE OF INTERNATIONAL STOCK MARKETS AND MACROECONOMIC VARIABLES ON THE THAI STOCK MARKET CHANCHARAT, Surachai *, VALADKHANI, Abbas HAVIE,
More informationJEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction.
Applied Economerics and Inernaional Developmen. AEID.Vol. 5-3 (5) EFFECT OF OIL PRICE SHOCKS IN THE U.S. FOR 1985-4 USING VAR, MIXED DYNAMIC AND GRANGER CAUSALITY APPROACHES AL-RJOUB, Samer AM * Absrac
More informationThe Aggregate Demand for Private Health Insurance Coverage in the U.S.
Universiy of Connecicu DigialCommons@UConn Economics Working Papers Deparmen of Economics 10-1-2005 The Aggregae Demand for Privae Healh Insurance Coverage in he U.S. Carmelo Giaccoo Universiy of Connecicu
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationApplied Econometrics and International Development Vol. 10-2 (2010) mail: idiluz@yeditepe.edu.tr
Applied Economerics and Inernaional Developmen Vol. 10-2 (2010) DETERMINANTS OF CURRENT ACCOUNT: THE RELATION BETWEEN INTERNAL AND EXTERNAL BALANCES IN TURKEY UZ, Idil 1 Absrac This paper considers he
More informationDynamic linkages between Thai and international stock markets
Universiy of Wollongong Research Online Faculy of Commerce - Papers (Archive) Faculy of Business 2007 Dynamic linkages beween Thai and inernaional sock markes Abbas Valadkhani Universiy of Wollongong,
More informationOnline Publication Date: 10 January, 2012 Publisher: Asian Economic and Social Society
Online Publicaion Dae: 10 January, 2012 Publisher: Asian Economic and Social Sociey Tax Srucure and Economic Growh in Côe d Ivoire: Are Some Taxes Beer Than Ohers? Yaya KEHO (Ecole Naionale Supérieure
More informationSustainability of current account deficit with high oil prices: Evidence from Turkey 1
Inernaional Journal of Economic Sciences Vol. III / No. 2 / 2014 Susainabiliy of curren accoun defici wih high oil prices: Evidence from Turkey 1 Erkan Özaa ABSTRACT Curren accoun defici as a raio of GDP
More informationMACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR
MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry
More informationThe Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*
The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May
More informationPrice and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL) Approach
Ausralasian Accouning Business and Finance Journal Volume 8 Issue 1 Aricle 7 Price and Income Elasiciy of Ausralian Reail Finance: An Auoregressive Disribued Lag (ARDL) Approach Helen Higgs Griffih Universiy,
More informationThe Relation between Price Changes and Trading Volume: A Study in Indian Stock Market
Inerdisciplinary Journal of esearch in Business ol. 1, Issue. 7, July 011(pp.81-95) The elaion beween Price Changes and Trading olume: A Sudy in Indian Sock Marke Dr. Naliniprava Tripahy Associae Professor
More informationThe Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas
The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he
More informationSCHUMPETER DISCUSSION PAPERS Interdependence between Foreign Exchange Markets and Stock Markets in Selected European Countries
SCHUMPETER DISCUSSION PAPERS Inerdependence beween Foreign Exchange Markes and Sock Markes in Seleced European Counries Mevlud Islami SDP 2008-007 ISSN 1867-5352 by he auor Inerdependence Beween Foreign
More informationStock Market and Real Interest Rate of ASEAN Countries: Are they Cointegrated?
American Inernaional Journal of Conemporary Research Vol. 2 No. 11; November 2012 Sock Marke and Real Ineres Rae of ASEAN Counries: Are hey Coinegraed? Suhal Kusairi; Nur Azura Sanusi Faculy of Managemen
More informationMarket Overreaction and Under reaction for Currency Futures Prices. Stephen J. Larson *, Associate Professor of Finance Ramapo College of New Jersey
Marke Overreacion and Under reacion for Currency Fuures Prices Sephen J. Larson *, Associae Professor of Finance Ramapo College of New Jersey Sephen E. Wilcox, Professor of Finance Minnesoa Sae Universiy,
More informationA study of dynamics in market volatility indices between
Invesmen Managemen and Financial Innovaions Volume 9 Issue 4 01 Yen-Hsien Lee (Taiwan) Jui-Cheng Hung (Taiwan) Yi-Hsien Wang (Taiwan) Chin-Yen Huang (Taiwan) A sudy of dynamics in marke volailiy indices
More informationHow does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability
How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable
More informationStability. Coefficients may change over time. Evolution of the economy Policy changes
Sabiliy Coefficiens may change over ime Evoluion of he economy Policy changes Time Varying Parameers y = α + x β + Coefficiens depend on he ime period If he coefficiens vary randomly and are unpredicable,
More informationExplaining the NZ-Australian exchange rate occasional paper
Wespac $ Insiuional Bank April 2002 Explaining he NZ-Ausralian exchange rae occasional paper Paul Conway and Richard Franulovich Wespac Insiuional Bank PO Box 691 Wellingon New Zealand Phone (644) 381-1414
More informationThe impact of foreign direct investment and trade on economic. growth Taking China, Korea, Malaysia, Philippines & Thailand for.
Dec. 2009, Volume 8, No.12 (Serial No.78) China-USA Business Review, ISSN 1537-1514, USA The impac of foreign direc invesmen and rade on economic growh Taking China, Korea, Malaysia, Philippines & Thailand
More informationINTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans
Banking Sysem, Real Esae Markes, and Nonperforming Loans 43 INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62 Banking Sysem, Real Esae Markes, and Nonperforming Loans Wen-Chieh Wu Deparmen
More informationA PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES *
CUADERNOS DE ECONOMÍA, VOL. 43 (NOVIEMBRE), PP. 285-299, 2006 A PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES * JUAN DE DIOS TENA Universidad de Concepción y Universidad Carlos III, España MIGUEL
More informationEXCHANGE RATE POLICY AND TRADE BALANCE. A COINTEGRATION ANALYSIS OF THE ARGENTINE EXPERIENCE SINCE 1962.
EXCHANGE RATE POLICY AND TRADE BALANCE. A COINTEGRATION ANALYSIS OF THE ARGENTINE EXPERIENCE SINCE 962. David Maesanz Gómez Deparameno de Economía Aplicada, Universidad de Oviedo maesanzdavid@uniovi.es
More informationA Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More informationOil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect
Journal of Economics, Business and Managemen, Vol., No. 4, November 203 Oil Price Flucuaions and Firm Performance in an Emerging Marke: Assessing Volailiy and Asymmeric Effec Hawai Janor, Aisyah Abdul-Rahman,
More informationCEEP-BIT WORKING PAPER SERIES. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery
CEEP-BIT WORKING PAPER SERIES The crude oil marke and he gold marke: Evidence for coinegraion, causaliy and price discovery Yue-Jun Zhang Yi-Ming Wei Working Paper 5 hp://www.ceep.ne.cn/english/publicaions/wp/
More informationThe Kinetics of the Stock Markets
Asia Pacific Managemen Review (00) 7(1), 1-4 The Kineics of he Sock Markes Hsinan Hsu * and Bin-Juin Lin ** (received July 001; revision received Ocober 001;acceped November 001) This paper applies he
More informationMarket Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand
36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,
More informationTrend and Cycle in the Euro-Area: A Permanent-Transitory Decomposition Using a Cointegrated VAR Model
Viereljahrshefe zur Wirschafsforschung 7. Jahrgang, Hef 3/2 S. 352 363 Trend and Cycle in he Euro-Area: A Permanen-Transiory Decomposiion Using a Coinegraed VAR Model By Chrisian Schumacher* Summary This
More informationGulf Cooperation Council (GCC) Stock Markets: The Dawn of a New Era. Jorg Bley 1 and Kim Heng Chen American University of Sharjah
Gulf Cooperaion Council (GCC) Sock Markes: The Dawn of a New Era Jorg Bley and Kim Heng Chen American Universiy of Sharjah Absrac Economic reforms and coninuing marke liberalizaion in he GCC srongly affec
More informationNon-linear adjustment to purchasing power parity: an analysis using Fourier approximations
Non-linear adjusmen o purchasing power pariy: an analysis using Fourier approximaions Juan A. Jiménez Marín M. Dolores Robles Fernández juanangel@ccee.ucm.es mdrobles@ccee.ucm.es. Corresponding auhor.
More informationRelationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets
Proceedings of he 2013 Inernaional Conference on Economics and Business Adminisraion Relaionship beween Sock Reurns and Trading olume: Domesic and Cross-Counry Evidence in Asian Sock Markes Ki-Hong Choi
More informationSURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES
Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,
More informationInflation and Economic Growth: Inflation Threshold Level Analysis for Ethiopia
Inernaional Journal of Ehics in Engineering & Managemen Educaion Websie: www.ijeee.in (ISSN: 2348-4748, Volume 2, Issue 5, May 2015) Inflaion and Economic Growh: Inflaion Threshold Level Analysis for Ehiopia
More informationDynamic co-movement and correlations in fixed income markets: Evidence from selected emerging market bond yields
P Thupayagale* and I Molalapaa Dynamic co-movemen and correlaions in fixed income markes: Evidence from seleced emerging marke bond yield Dynamic co-movemen and correlaions in fixed income markes: Evidence
More informationCALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS
INTERNATIONAL ECONOMICS & FINANCE JOURNAL Vol. 6, No. 1, January-June (2011) : 67-82 CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS Andreas G. Georganopoulos *, Dimiris F. Kenourgios ** and Anasasios
More informationPrincipal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.
Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one
More informationStock Prices, Exchange Rates, and Oil: Evidence from Middle East Oil-Exporting Countries.
Sock Prices, Exchange Raes, and Oil: Evidence from Middle Eas Oil-Exporing Counries. by Mohamed Abdelaziz* Universiy of Essex Georgios Chorareas** Universiy of Ahens and Andrea Cipollini*** Universiy of
More information11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements
Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge
More informationARCH 2013.1 Proceedings
Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference
More informationTHE IMPACT OF UNEMPLOYMENT RATE ON THE ROMANIAN SHADOW ECONOMY: AN EMPIRICAL INVESTIGATION USING GRANGER CAUSALITY ANALYSIS
Adriana AnaMaria ALEXANDRU, PhD Deparmen of Saisics and Economerics E-mail: adrianaalexandru@yahoo.com Professor Ion DOBRE, PhD Deparmen of Economic Cyberneics E-mail: dobrerio@ase.ro The Buchares Academy
More informationMathematics in Pharmacokinetics What and Why (A second attempt to make it clearer)
Mahemaics in Pharmacokineics Wha and Why (A second aemp o make i clearer) We have used equaions for concenraion () as a funcion of ime (). We will coninue o use hese equaions since he plasma concenraions
More informationTesting the Marshall-Lerner Condition in Kenya
1247 Discussion Papers Deusches Insiu für Wirschafsforschung 212 Tesing he Marshall-Lerner Condiion in Kenya Guglielmo Maria Caporale, Luis A. Gil-Alana and Rober Mudida Opinions expressed in his paper
More informationContrarian insider trading and earnings management around seasoned equity offerings; SEOs
Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in
More informationREVISITED EXPORT-LED GROWTH HYPOTHESIS FOR SELECTED EUROPEAN COUNTRIES: A PANEL HIDDEN COINTEGRATION APPROACH
Ekonomeri ve İsaisik Sayı:8 203 34-5 İSTANBUL ÜNİVERSİTESİ İKTİSAT FAKÜLTESİ EKONOMETRİ VE İSTATİSTİK DERGİSİ REVISITED EXPORT-LED GROWTH HYPOTHESIS FOR SELECTED EUROPEAN COUNTRIES: A PANEL HIDDEN COINTEGRATION
More informationFaculdade de Economia da Universidade de Coimbra
Faculdade de Economia da Universidade de Coimbra Grupo de Esudos Moneários e Financeiros (GEMF) Av. Dias da Silva, 165 3004-512 COIMBRA, PORTUGAL gemf@fe.uc.p hp://gemf.fe.uc.p MICAELA ANTUNES & ELIAS
More information4. International Parity Conditions
4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency
More informationREAL (EFFECTIVE) EXCHANGE RATE IN URUGUAY: A PERIODIC COINTEGRATION APPROACH
REAL (EFFECTIVE) EXCHANGE RATE IN URUGUAY: A PERIODIC COINTEGRATION APPROACH Elizabeh Bucacos 002-2007 1688-7565 REAL (EFFECTIVE) EXCHANGE RATE IN URUGUAY: A PERIODIC COINTEGRATION APPROACH Elizabeh Bucacos
More informationChapter 8 Student Lecture Notes 8-1
Chaper Suden Lecure Noes - Chaper Goals QM: Business Saisics Chaper Analyzing and Forecasing -Series Daa Afer compleing his chaper, you should be able o: Idenify he componens presen in a ime series Develop
More informationDYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS
DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper
More informationDeterminants of Bank Long-term Lending Behavior in the Central African Economic and Monetary Community (CEMAC)
Review of Economics & Finance Submied on 05/Jan./2012 Aricle ID: 1923-7529-2012-02-107-08 Consan, Fouopi Djiogap and Augusin Ngomsi Deerminans of Bank Long-erm Lending Behavior in he Cenral African Economic
More informationThe Determinants of Trade Credit: Vietnam Experience
Proceedings of he Second Asia-Pacific Conference on Global Business, Economics, Finance and Social Sciences (AP15Vienam Conference) ISBN: 978-1-63415-833-6 Danang, Vienam, 10-12 July 2015 Paper ID: V536
More informationINTRODUCTION TO FORECASTING
INTRODUCTION TO FORECASTING INTRODUCTION: Wha is a forecas? Why do managers need o forecas? A forecas is an esimae of uncerain fuure evens (lierally, o "cas forward" by exrapolaing from pas and curren
More informationONE SECURITY, FOUR MARKETS: CANADA-US CROSS-LISTED OPTIONS AND UNDERLYING EQUITIES
ONE SECURITY, FOUR MARKETS: CANADA-US CROSS-LISTED OPTIONS AND UNDERLYING EQUITIES Michal Czerwonko **** Nabil Khoury* Sylianos Perrakis** Marko Savor*** This version May 2010 JEL CODE: G14, G15 KEYWORDS:
More informationThe Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of
Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world
More informationEfficiency in Emerging Markets - Evidence from the Emirates Securities Market
European Journal of Economics, Finance and Adminisraive Sciences ISSN 450-2275 Issue 2 (2008) EuroJournals, Inc. 2008 hp://www.eurojournalsn.com Efficiency in Emerging Mares - Evidence from he Emiraes
More informationThe Impact of International Oil Price Fluctuation on China s Economy
Available online a www.sciencedirec.com Energ Procedia 5 (2011) 1360 1364 IACEED2010 The Impac of Inernaional Oil Price Flucuaion on China s Econom Zhang Qianqian School of Economics and Managemen, Wuhan
More informationMeasuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry
Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan
More informationLIFE INSURANCE WITH STOCHASTIC INTEREST RATE. L. Noviyanti a, M. Syamsuddin b
LIFE ISURACE WITH STOCHASTIC ITEREST RATE L. oviyani a, M. Syamsuddin b a Deparmen of Saisics, Universias Padjadjaran, Bandung, Indonesia b Deparmen of Mahemaics, Insiu Teknologi Bandung, Indonesia Absrac.
More informationInternal and External Factors for Credit Growth in Macao
Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They
More informationThe US Tech Pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries
The US Tech Pulse, sock prices, and exchange rae dynamics: Evidence from Asian developing counries Akihiro Kubo Graduae School of Economics, Osaka Ciy Universiy, 3-3-138 Sugimoo, Sumiyoshi-ku, Osaka 558-8585,
More informationThe Relationship between Real Interest Rates and Inflation
The Relaionship beween Real Ineres Raes and Inflaion Michał Brzoza-Brzezina * Absrac In he recen decade, a huge amoun of papers, describing moneary policy rules based on nominal ineres raes, has been wrien.
More informationContribution of Agricultural Exports to Economic Growth in Pakistan
Pak. J. Commer. Soc. Sci. 2012 Vol. 6 (1), 133-146 Conribuion of Agriculural Expors o Economic Growh in Pakisan Muhammad Zahir Faridi Assisan Professor of Economics, Bahauddin Zakariya Universiy, Mulan,
More informationTEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS
TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS RICHARD J. POVINELLI AND XIN FENG Deparmen of Elecrical and Compuer Engineering Marquee Universiy, P.O.
More informationReview of Middle East Economics and Finance
Review of Middle Eas Economics and Finance Volume 4, Number 008 Aricle 3 Transiory and Permanen Volailiy s: The Case of he Middle Eas Sock Markes Bashar Abu Zarour, Universiy of Paras Cosas P. Siriopoulos,
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures
More informationThe stock index futures hedge ratio with structural changes
Invesmen Managemen and Financial Innovaions Volume 11 Issue 1 2014 Po-Kai Huang (Taiwan) The sock index fuures hedge raio wih srucural changes Absrac This paper esimaes he opimal sock index fuures hedge
More informationImports of services and economic growth: A dynamic panel approach
- Susainable growh, Employmen creaion and Technological Inegraion in he european knowledge-based economy Impors of services and economic growh: A dynamic panel approach Xiaoying L David Greenaway, Rober
More informationThe Maturity Structure of Volatility and Trading Activity in the KOSPI200 Futures Market
The Mauriy Srucure of Volailiy and Trading Aciviy in he KOSPI200 Fuures Marke Jong In Yoon Division of Business and Commerce Baekseok Univerisy Republic of Korea Email: jiyoon@bu.ac.kr Received Sepember
More informationANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS
ANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS R. Caballero, E. Cerdá, M. M. Muñoz and L. Rey () Deparmen of Applied Economics (Mahemaics), Universiy of Málaga,
More informationDoes International Trade Stabilize Exchange Rate Volatility?
Does Inernaional Trade Sabilize Exchange Rae Volailiy? Hui-Kuan Tseng, Kun-Ming Chen, and Chia-Ching Lin * Absrac Since he early 980s, major indusrial counries have been suffering severe muli-laeral rade
More information