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Are saving and investment cointegrated? The case of Malaysia (1965-2003)

Ang, James
Fonte: Routledge, Taylor & Francis Group Publicador: Routledge, Taylor & Francis Group
Tipo: Artigo de Revista Científica
Português
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26.06%
This article examines whether domestic saving rate leads to higher domestic investment rate in the case of Malaysia. We argue that the results obtained from cross-sectional studies are not able to address this issue satisfactorily and highlight the import

Financial liberalization, financial sector development and growth: Evidence from Malaysia

Ang, Beng Jiunn; McKibbin, Warwick
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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36.31%
The objective of this paper is to examine whether financial development leads to economic growth or vice versa in the small open economy of Malaysia. Using time series data from 1960 to 2001, we conduct cointegration and causality tests to assess the fina

Evidence from panel unit root and cointegration tests that the Environmental Kuznets Curve does not exist

Perman, Roger; Stern, David
Fonte: Blackwell Publishing Ltd Publicador: Blackwell Publishing Ltd
Tipo: Artigo de Revista Científica
Português
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The Environmental Kuznets Curve (EKC) hypothesis - an inverted U-shape relation between various indicators of environmental degradation and income per capita - has become one of the 'stylised facts' of environmental and resource economics. This is despite

An Analysis of Asian Market Integration Pre- and Post-Crisis

Brailsford, Timothy John; Penm, Jack HW; Terrell, Richard
Fonte: World Scientific Publishing Company Publicador: World Scientific Publishing Company
Tipo: Artigo de Revista Científica
Português
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16.06%
In this paper cointegrating relations between six East and Southeast Asian markets relative to a base cluster of three global markets are investigated in the framework of zero-non-zero (ZNZ) patterned vector error-correction modelling (VECM). The analysis

Monetary transmission in post-reform India: An evaluation

Singh, Kanhaiya; Kalirajan, K P
Fonte: Routledge, Taylor & Francis Group Publicador: Routledge, Taylor & Francis Group
Tipo: Artigo de Revista Científica
Português
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26.31%
In the post-reform period, the monetary policy of India has been undergoing various transformations. The emphasis is shifting from conventional instruments of price and quantity control to a more sophisticated route of monetary transmission. Using the rec

Are mortgage and capital markets integrated in the USA? A study of time-varying cointegration

Wong, Wing-Keung; Penm, Jack HW; Service, David
Fonte: Inderscience Publishers Publicador: Inderscience Publishers
Tipo: Artigo de Revista Científica
Português
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26.44%
Recent research has asserted that before 1980, mortgage and capital markets in the USA were not cointegrated as a result of credit rationing, but deregulation of financial institutions led to cointegrated mortgage and capital markets during the 1980s. In

Strongly consistent determination of cointegrating rank via canonical correlations

Poskitt, Donald S
Fonte: American Statistical Association Publicador: American Statistical Association
Tipo: Artigo de Revista Científica
Português
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16.06%
This article is concerned with the statistical analysis of nonstationary, cointegrated time series. The estimation of the cointegrating structure of such time series is considered, and the problem of identifying the cointegrating rank is addressed. A methodology is presented that leads to strongly consistent estimates of this quantity. The identification is based on a canonical correlation analysis of the original variables and presents an alternative approach to those currently in vogue. The procedures are easily implemented and the practical relevance of the results obtained, which are founded on asymptotic theory, is demonstrated by means of a small simulation study.

I(0) in, integration and cointegration out: Time series properties of endogenous growth models

Lau, Sau-him (Paul)
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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46.57%
To complement empirical growth studies applying unit root and cointegration methods, this paper shows that integration and cointegration properties arise intrinsically in stochastic endogenous growth models under fairly general conditions. It shows that a unit root has to be present in the autoregressive polynomial of the variables generated by an endogenous growth model, so as to produce steady-state growth in the absence of exogenous growth-generating element. This endogenous-growth-generating mechanism induces difference stationarity of the variables even though the external impulses are stationary, and it leads to the phenomenon of cointegration if the variables satisfy a state space representation. The 'unit root propagation mechanism' is the time series analogue of the 'constant returns' (to reproducible inputs) condition in the theoretical endogenous growth literature. The time series properties of endogenous growth models, when combined with their counterparts for exogenous growth models, lead to testable implications for distinguishing between these two classes of models.

Structural breaks, unit roots, and cointegration: A further test of the sustainibility of the Indian fiscal Deficit

Jha, Raghbendra; Sharma, Anurag
Fonte: Sage Publications Inc Publicador: Sage Publications Inc
Tipo: Artigo de Revista Científica
Português
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26.06%
If public expenditure and public revenue are I (0), public debt is sustainable, but if these are I(1) and not cointegrated or have a cointegrating vector different from [1, -1], the public debt is said to be unsustainable. Extant work indicates that India's public debt is unsustainable. The authors reinvestigate this issue by allowing for endogenous structural breaks for two data sets-the British period from 1871-1921 and the postindependence period from 1950-1997. Revenue and expenditure series are I(1) and cointegrated with regime shifts. Hence, Indian public debt may not be unsustainable.

Yen bloc or koala bloc? Currency relationships after the East Asian crisis

Bowman, Chakriya
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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26.06%
During the 1990s, several studies found evidence for a "yen bloc", a significant and strengthening relationship between the Japanese yen and East Asian currencies possibly due to regional trade and investment by Japan. It appears that the Australian dollar now plays a similar role in the East Asian region, and the linkages between the Australian dollar and the Asian currencies show as much support for a "koala bloc" as a "yen bloc". This study concludes that the US dollar appears to have declined in importance in post-1997 crisis East Asia, while Australia and Japan are becoming increasingly important regional influences.

On the specification of cointegrated autoregressive moving-average forecasting systems

Poskitt, Donald S
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
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26.31%
This paper discusses equilibrium correction, echelon canonical form vector autoregressive moving-average, EC-ARMAE, forecasting systems. The echelon canonical form of a vector ARMA model is expanded by the inclusion of an equilibrium correction term to accommodate the possibility of cointegrated variables. A coherent procedure is presented for consistently estimating the Kronecker indices, which characterize the echelon form, and the cointegration rank, which is essential in the specification of the equilibrium correction term. A method of estimation that is fully efficient under Gaussian assumptions is also discussed. The computational burden of these techniques is very moderate because they are based on least squares calculations. The methodology is illustrated by examining a six-equation model of the US economy. An improvement in forecasting performance of the selected EC-ARMAE model over non-equilibrium correction and previously preferred vector AR equilibrium correction models is observed.

Applying recent developments in time series econometrics to the spatial domain

Stern, David
Fonte: Blackwell Publishing Ltd Publicador: Blackwell Publishing Ltd
Tipo: Artigo de Revista Científica
Português
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26.52%
This paper surveys some recent developments in time series econometrics and examines to what degree they might have useful analogs in spatial econometrics. Spatial analogs of stationary vector autoregression models might be useful in modeling groups of spatial series, but the literature on non-stationarity and cointegration does not have a useful purely spatial analog. With the exception of some special cases, pure spatial series cannot be integrated processes. However, cointegration might apply to space-time processes. Space-time cointegration and Granger causality methods are developed and applied to explaining reductions in sulfur emissions in Europe.

Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

Au Yong, HH; Gan, C; Treepongkaruna, Sirimon
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.44%
This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the causality pattern in all the FX rates. The analysis shows most of the pre-Mexican causality disappears and significant numbers of new causality emerge in the 1994 Mexican crisis while the 1997 Asian crisis generates significant spillover effects into the later part of the 1998 Russian and 1999 Brazilian crises.

The Relationship Between Stock Markets of Major Developed Countries and Asian Emerging Markets

Wong, Wing-Keung; Penm, Jammie H C; Terrell, Richard; Ching, Karen Yann
Fonte: Hindawi Publishing Corporation Publicador: Hindawi Publishing Corporation
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.06%
With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors' interest in international diversification. This is so because international diversification allows investors to have a

Novas evidências empíricas sobre a dinâmica trimestral do consumo agregado das famílias brasileiras no período 1995-2009

Schettini, Bernardo Patta; Santos, Cláudio Hamilton Matos; Amitrano, Cláudio Roberto; Squef, Gabriel Coelho; Ribeiro, Márcio Bruno; Gouvêa, Raphael Rocha; Orair, Rodrigo Octávio; Martinez, Thiago Sevilhano
Fonte: Universidade Estadual de Campinas - Instituto de Economia - Setor de Publicações Publicador: Universidade Estadual de Campinas - Instituto de Economia - Setor de Publicações
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares;
Publicado em 14/12/2015 Português
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Este trabalho apresenta especificações econométricas inéditas para o consumo agregado das famílias brasileiras em níveis trimestrais, no período 1995-2009. Argumenta-se, em particular, que a utilização de aproximações trimestrais da renda disponível do setor privado (a preços de 1995 encadeados), do crédito disponibilizado às famílias brasileiras (em % do PIB) e (de uma proxy) da taxa de juros real da economia como variáveis explicativas da dinâmica trimestral do consumo agregado dessas famílias gera modelos com elevado grau de ajuste “dentro da amostra” e “fora da amostra”. Tais modelos sugerem, ainda, uma elasticidade-renda (privada, excluindo rendas líquidas de propriedade) próxima de 0,4 e semielasticidades-crédito e taxa de juros da ordem de 2% e -2% para o consumo agregado das famílias brasileiras.Abstract This paper presents new econometric specifications for the quarterly behavior of aggregate consumption of Brazilian households from 1995 to 2009. It is argued, in particular, that the use of quarterly measures of both private disposable income (in chained 1995 prices), the credit granted to households (as a % of GDP) and a proxy for real interest rates as explanatory variables for the level of quarterly household consumption lead to well adjusted models “within the sample” with good “out of sample” performance. Moreover...

Desempenho da indústria automobilística brasileira no período 2000-2012: uma análise sobre a hipótese de desindustrialização setorial

Veríssimo, Michele Polline; Araújo, Vanessa Marzano
Fonte: Universidade Estadual de Campinas - Instituto de Economia - Setor de Publicações Publicador: Universidade Estadual de Campinas - Instituto de Economia - Setor de Publicações
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares; Formato: application/pdf
Publicado em 03/12/2015 Português
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16.31%
Este artigo investiga a possibilidade de desindustrialização na indústria automobilística brasileira. Parte-se da hipótese de que o contexto de taxa de câmbio apreciada e de altos preços das commodities pode inibir o desempenho da indústria automobilística no longo prazo. Ademais, busca-se captar os efeitos de taxa de investimento, juros, produtividade, impostos e abertura comercial sobre a produção de automóveis. Para isso, foram utilizadas a análise de Cointegração (Johansen Teste) e a estimação de Modelos de Vetores de Correção de Erros (VEC), com base no período 2000-2012. Os resultados sugerem efeitos positivos da apreciação cambial e dos preços das commodities sobre a produção de automóveis no longo prazo, o que não permite afirmar a ocorrência de desindustrialização no setor pela Doença Holandesa. Todavia, verifica-se a relevância de alta taxa de investimento, taxa de juros baixa, maior grau de abertura comercial, maior produtividade do trabalho e impostos menores para estimular a produção de automóveis no Brasil. Abstract This paper investigates the possibility of deindustrialization in the Brazilian automotive industry. It supposes that exchange rate appreciation and high commodity prices may inhibit the long run automotive industry performance. It also seeks to capture the effects of investment rate...