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| Choudhry, Taufiq. |
| This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also between these countries and the United States. The ERM countries have a pegged exchange rate between themselves, and the rate between these countries and the United States is freely floating. The empirical tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM countries, international transmission of monetary policy is found in almost all directions. This may provide evidence against the theory of... |
| Tipo: Journal Article |
Palavras-chave: Monetary policy; Cointegration; Error correction; Speed of adjustment; Exchange rate; Public Economics; E50; E52. |
| Ano: 2002 |
URL: http://purl.umn.edu/44428 |
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| Liu, Xing. |
| Market integration of Finland toward EU has important implication to domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork markets in relation to Germany. Our analysis use symmetric and asymmetric threshold error correction models. Pork prices are found cointegrated, and cointegration relationship of two counties is found asymmetric. A large positive shock in Germany is transmitted faster to Finland than a large negative one. It implies that a combination of cooperative processors and public quoted companies as in Finland, can smooth out some of the short term price fluctuations observed abroad. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cointegration; Asymmetric; Error correction; Agricultural and Food Policy; Marketing. |
| Ano: 2008 |
URL: http://purl.umn.edu/44248 |
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| Liu, Xing. |
| The integration of the Finnish meat market in the EU has important implications for domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork and beef markets in relation to those of Germany and Denmark. Our analysis uses symmetric and asymmetric threshold error correction models. Both pork and beef prices in Finland are found to have slowly cointegrated with German prices, but the cointegration relationship of the two counties is only found to be symmetric for pork prices, while it is asymmetric for beef prices. The producer price for pork in Finland is symmetrically cointegrated with the Danish price, but the Finnish and Danish beef prices show a random walk. This implies that the price transmission to the Finnish pork... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cointegration; Asymmetric; Error correction; Thresholds; Pork and beef prices; Demand and Price Analysis; Livestock Production/Industries. |
| Ano: 2011 |
URL: http://purl.umn.edu/114380 |
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| Ahmedov, Zafarbek; Bessler, David A.. |
| In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The results provide positive empirical evidence that there exist long-run equilibrium and contemporaneous causal structure among these stock markets. DAG analysis results show that Hong Kong is influenced by all other open markets in contemporaneous time, whereas Shanghai is not influenced by any of the other markets in contemporaneous time. Historical decompositions indicate that New York and Shanghai stock markets are highly exogenous and Germany and Hong Kong are the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: VAR; Cointegration; Error correction; DAG; Causality; Financial contagion; Agricultural Finance; Financial Economics. |
| Ano: 2011 |
URL: http://purl.umn.edu/98858 |
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