Sökning: "Pedroni Panel Cointegration"

Hittade 2 uppsatser innehållade orden Pedroni Panel Cointegration.

1. 1. On the Heterogeneous and Time-Varying Relationship Between Stock Returns and Exchange Rates: Using a Panel Smooth Transition Regression Model

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Basak Edizgil; [2022]
   Nyckelord :Stock Returns; Exchange Rates; Panel Smooth Transition Regression Model; Non-linear; Pedroni Panel Cointegration;

   Sammanfattning : This paper investigates the heterogeneous and time-varying relationship between stock returns and exchange rates for a panel of 19 countries using a panel smooth transition regression model and evaluates the role of the current account balance. Panel unit root tests indicate that stock market price indices and real effective exchange rates are non-stationary. LÄS MER

3. 2. Testing the Balassa-Samuelson Hypothesis: Evidence from 10 OECD Countries

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Cem Tintin; [2009]
   Nyckelord : Balassa-Samuelson Hypothesis ; Real Effective Exchange Rate ; Johansen Cointegration ; Panel Cointegration ; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : This study tests the Balassa-Samuelson (BS) hypothesis for 10 OECD countries between 1975 and 2007 using the recent data sets and econometric methods. The study employs the Johansen cointegration approach in country-specific analysis. LÄS MER