Threshold cointegration
Threshold Cointegration in BRENT crude futures market
... The purpose of this article is to augment Cunado and Perez de Gracia (2003) and examine for the first time in the literature whether BRENT crude oil spot and futures prices are cointegrated employing the novel approach ...
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Non Linear Adjustment in the MLR Condition: Evidence from Threshold Cointegration
... threshold cointegration test provides the existence of the long run ...Using cointegration approaches particularly Engle & Granger test (1987) and Johansen (1988), many studies have investigated ...
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The impact of biomass, geothermal and hydroelectric energy consumption on industrial production: A threshold cointegration model with regime shifts
... of cointegration and error correction models, reveals that in all 10 developing countries, except Paraguay, there is cointegration relation between biomass consumption and economic ...employs ...
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Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach
... This paper examines the long- and short-run dynamics of asymmetric adjustment between the nominal exchange rate and commodity prices, namely oil, palm oil, rubber, and natural gas prices, in Malaysia using monthly data ...
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Threshold Cointegration and Asymmetric Adjustment between Government Spending and Revenue in Cote D?ivoire
... The present study uses annual data covering the period 1960 to 2007. The main variables are total government expenditures and government revenues expressed as GDP ratios. This transformation alleviates the question of ...
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Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets
... Internationally, the empirical literature on market integration analysis is widely developed, following the huge political interest of the subject as well as the development of econometric procedures. Within this ...
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Note on Fully Modified Estimation for Three Regime Threshold Cointegration Model
... In this paper, we have established the asymptotics of fully modified ordinary least squares cointegrating estima- tors for three-regime threshold cointegration regression. Our results may be used under the ...
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Gold - Silver Nexus: A Threshold Cointegration Approach
... major cointegration methods are Johansen and Engle-Granger two-step ...years, threshold cointegration has been increasingly used in price transmission ...examining threshold ...
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Threshold cointegration and spatial price transmission when expectations matter
... The purpose of the proposed economic model is to provide a transparent framework to to assess the inferences based on threshold cointegration about the true economic structure. structure. To this end, we ...
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Rising household diesel consumption in the United States : a cause for concern? : evidence on asymmetric pricing
... multivariate threshold cointegration method estimated by maximum likelihood, unlike the less efficient two-step methods such as that of Enders and Siklos (2001) mentioned ...
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Disentangling non linearities in the long and short run price relationships: An application to the U S hog/Pork supply chain
... There exists a growing literature on the issue of price transmission in agri-food supply chains. The common feature in most of the empirical studies is that asymmetry is related to the speed of transmission. Price shocks ...
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Is Gold Investment a Safe Haven or a Hedge for the Malaysian Inflation?
... fit threshold model can be constructed after the optimal threshold value (𝜃) and the delay parameter ( 𝑑 ) has been ...the cointegration test, if the gold price in Malaysia is characterized by linear ...
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Assessing the Current Account Sustainability in ECCAS economies: A Dual Cointegration Analysis
... individual cointegration tests to examine time series properties and long run relationship between ...linear cointegration tests: the panel cointegration test devel- oped by Westerlund (2007) for the ...
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... the threshold cointegration and nonlinear Granger causal relationships between inflation rate and repo rate of South ...Africa. Threshold cointegration was estimated through the ...Johansen ...
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货币供给数量、结构与经济增长—来自ADL门限协整检验与时变格兰杰因果关系检验的证据
... for threshold cointegration and time-varying Granger causality relation test, we analyze the effects of quantity and structure of money supply on economic growth and reexamine the theory of ―Money ...
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The Feldstein Horioka puzzle and the global recession period: Evidence from South Africa using asymmetric cointegration analysis
... momentum threshold cointegration and error correction techniques applied to quarterly national savings-investment time series collected between 2000:Q1 and ...asymmetric cointegration effects for ...
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Asymmetries in Yield Curves: Some Empirical Evidence from Ghana
... We analyze the co-movements of the monetary policy rates (MPR) and the treasury bill rates (TBR) in Ghana over the period January 2007 to July 2016, using three nonlinear econometric techniques. We find the MPR and the ...
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经济增长与政府债务的非线性研究及其政策治理
... employing threshold cointegration method based on ARDL ...a threshold cointegration relationship between government debt and real output per ...
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Are Crude Oil, Gas And Coal Prices Co integrated?
... his study examines the existence of long run relation between crude oil, natural gas and coal prices. Energy data for US is used and Based on the result of The Augmented Dickey-Fuller (ADF) tests, autoregressive ...
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Linkages among the non genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange
... Besides the price linkage between the two soybean futures markets, this paper will also test for the linkage between the two soybean and corn futures prices traded at the TGE. Testing these market linkages is meaningful ...
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