Download or read book Fractional Cointegration Analysis of Long Term International Interest Rates written by John T. Barkoulas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: DeGennaro, Kunkel, and Lee (1994) studied the long run dynamics of a system of long term interest rates of five industrialized countries by means of sophisticated cointegration methods. They found little evidence in support of the cointegration hypothesis, thus concluding that a separate set of fundamentals drives the dynamics of each of the individual long term interest rate series. In this study, we extend their analysis by exploring the possibility of very slow mean reverting dynamics (fractional cointegration) in the system of the five long term interest rates. We use the GPH test as our testing methodology for fractional integration and cointegration. Through rigorous investigation of the full system of the five long term interest rate series and its various subsystems, we provide evidence that the error correction term follows a fractionally integrated process with long memory, that is, it is mean reverting, though not covariance stationary. Despite significant persistence in the short run, a shock to the system of long term interest rates eventually dissipates so that an equilibrium relationship prevails in the long run.
Download or read book Integration of International Long Term Interest Rates written by Ming-Shiun Pan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we re-examine the relationship among interest rates on the long-term government bonds of five industrialized countries. Using both the variance ratio test and fractional cointegration analysis, we find significant evidence that indicates the five government bond rates are fractionally cointegrated. In specific, our results show that the error correction term of the system of the five interest rates follows a mean-reverting, fractionally integrated process.
Download or read book Long term Interest Rates in Europe written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cointegration of International Interest Rates written by Máiréad Devine and published by . This book was released on 1997 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Cointegration Analysis of Long Term Interest Rates in Europe written by Niall J. Gallagher and published by . This book was released on 1999 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fractional Cointegration and the Term Structure of Interest Rates written by and published by . This book was released on 2017 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Download or read book Ibss Economics 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and published by Psychology Press. This book was released on 1996 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Download or read book International Journal of Development Banking written by and published by . This book was released on 1999 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long term International Capital Mobility written by Michael M. Hutchison and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Download or read book Estimating Equilibrium Exchange Rates written by John Williamson and published by Peterson Institute. This book was released on 1994 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problems of exchange rate misalignments and the resulting payments imbalances have plagued the world economy for decades. At the Louvre Accord of 1987, the Group of Five industrial countries adopted a system of reference ranges for exchange rate management, influenced by proposals of C. Fred Bergstan and John Williamson for a target zone system. The reference range approach has, however, been operated only intermittently and half-heartedly, and questions continue to be raised in policy and scholarly circles about the design and operation of a full-fledged target zone regime. This volume, with chapters by leading international economists, explores one crucial issue in the design of a target zone system: the problem of calculating Williamson's concept of the fundamental equilibrium exchange rate (FEER). Williamson contributes an overview of the policy and analytic issues and a second chapter on his own calculations.
Download or read book INTERNATIONAL REVIEW OF ECONOMICS AND FINANACE written by HAMID BELADI, CARL R. CHEN and published by . This book was released on 1999 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1997-10-24 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of International Economics
Download or read book New Methods in Fixed Income Modeling written by Mehdi Mili and published by Springer. This book was released on 2018-08-18 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
Download or read book Handbook of International Economics written by Ronald Winthrop Jones and published by Elsevier. This book was released on 1984 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior."--Publisher's information
