Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric depa...

The present study aims to examine the short-run and long-run impact of China’s trade liberalization policies on its energy demand over period from 1980 2018. results Autoregressive Distributed Lag approach co-integration show that consumption significantly increases as a result openness increase in real Gross Domestic Product (GDP). granger causality test also confirm unidirectional running GDP...

Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current oat? Christopher F. Baum Boston College Chestnut Hill, MA 02467 USA John T. Barkoulas Louisiana Tech University Ruston, LA 71272 USA Mustafa Caglayan Koç University Istanbul, Turkey This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rate...

Financial statements of nineteen mature banks have been patronized to examine the impact of macroeconomic indicators and bank-specific determinants on the NPLs ratio through Quantile and Panel Data regression approaches. The impact of macroeconomic indicators on credit risk is statistically estimated for banking network via two directions. First, different quantiles are econometrically calculat...

Some empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell-Tobin hypothesis. In this article we reinvestigate this negative relation from a long-term point of view using cointegration analysis. The data on the historical interest rate on T-bills and the inflati...

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation...

We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in the special case that the variables are impulse dummies (indicators) for every observation. We show that the setting is unproblematic if tackled appropriately, and obtain the finite-sample distribution of estimators of the mean and variance in a simple location-scale model unde...

The intention of this paper is to examine the impact of the inflation rate on the performance of the Egyptian stock market. Particular attention is paid to the effects of the rate of inflation on various stock market performance variables, in terms of market activity and market liquidity. From the co-integration analysis through error correction mechanisms Ž . ECM , significant long-run and sho...

â â â  â â â â â  abstract: â  up to now, the impact of real exchange rate on the non-oil exports of iran has been mainly on focus. however, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exc...

 Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran...