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Displaying results 1 to 8 of 8.

  1. Semi-strong informational efficiency in the Polish foreign exchange market
    Author: Goczek, Łukasz
    Published: 2015
    Publisher:  IER, Institute of Economic Research, Toruń, Poland

    During the financial crisis a notion that the Polish exchange rate is not determined effectively was very dominant, because of a contagion effect of the global financial crisis on the Polish economy. In addition, many foreign exchange market analysts... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 613
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    During the financial crisis a notion that the Polish exchange rate is not determined effectively was very dominant, because of a contagion effect of the global financial crisis on the Polish economy. In addition, many foreign exchange market analysts explained developments in the Polish exchange market trough a hypothesis that the Polish zloty exchange rate follows other exchange rates. This contradicts market efficiency as this would lead to profitable arbitrage possibility based on past information on other currency prices and possibly gives a rationale for government intervention. In contrast, a foreign exchange market that is efficient needs no government involvement and its participants cannot earn abnormal gains from foreign exchange transactions. Therefore, the aim of the article is to examine the efficiency of the Poland's foreign exchange market. In order to test for market efficiency a cointegration analysis is used. The main argument builds on the semistrong form of the market efficiency hypothesis. On an informational effective market a pair of prices cannot be cointegrated, because this would imply predictability of one asset price based on the past prices of the other asset. The main hypothesis of the article is verified using Unit Root tests and Johansen Cointegration Test on the pair of EURPLN and USDPLN exchange rates. It is shown that the null hypothesis cannot be rejected; therefore, the Polish foreign exchange market is efficient in the semi-strong sense.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/219620
    Series: Institute of Economic Research working papers ; no. 2015, 4
    Subjects: foreign exchange market efficiency; cointegration analysis
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  2. News and narratives
    a cointegration analysis of Russian economic policy uncertainty
    Author: Boitani, Andrea; Dragomirescu-Gaina, Catalin
    Published: [2022]
    Publisher:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    Russia has become more integrated and therefore significantly dependent on global developments over the last decades, despite being ruled by an increasingly autocratic regime. How does Russian media cover the associated economic and policy... more

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    DS 587
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    Russia has become more integrated and therefore significantly dependent on global developments over the last decades, despite being ruled by an increasingly autocratic regime. How does Russian media cover the associated economic and policy challenges? To answer, we use the economic policy uncertainty indexes as proxies for media coverage, together with a limited set of variables reflecting both domestic and international developments. Our main findings come from a VEC model estimated with two cointegrating vectors, encompassing two long-term equilibria. A first cointegrating vector describes the domestic political context, highlighting the key role that media coverage can play in supporting autocratic regimes. While the second cointegrating vector is associated with international developments, portraying swings in global risk appetite, we find that deviations from it can, too, drive popular support for the incumbent president. To see more precisely how Russian media coverage can be used as a policy instrument, we employ several narrative proxies and find that (only in the short run) some of these might be used to exert control and influence, while others to justify policy errors or successes.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264303
    Edition: This version April 2022
    Series: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 115 (April 2022)
    Subjects: Economic policy uncertainty; media coverage; cointegration analysis
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  3. The effectiveness of poverty alleviation policy
    why is the quality of institutions the bane in Nigeria?
    Author: Fagbemi, Fisayo; Oladejo, Babafemi; Adeosun, Opeoluwa Adeniyi
    Published: [2020]
    Publisher:  African Governance and Development Institute, [Yaoundé]

    The article examines the nexus between the quality of institutions and the poverty in Nigeria over the period 1984-2017, using Dynamic Ordinary Least Squares, Canonical Cointegrating Regression and Vector Error Correction Mechanism. The analysis... more

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    The article examines the nexus between the quality of institutions and the poverty in Nigeria over the period 1984-2017, using Dynamic Ordinary Least Squares, Canonical Cointegrating Regression and Vector Error Correction Mechanism. The analysis based on three institutional measures (bureaucratic quality, democratic accountability and rule of law) reveals how poverty rate could be escalated by entrenched poor governance. The evidence shows that democratic accountability and rule of law are significant for poverty reduction. This reinforces the assertion that accountability and transparency coupled with strict adherence to rule of law in the public sector are the principal components of poverty alleviation. Also, findings reveal that poverty and weak institutions are interconnected and mutually reinforcing in the country. Overall, the findings posit that poverty is widespread in Nigeria due to capacity constraints of public institutions or underlying governance practices. By implication, the article suggests that policymakers should focus on measures that have the greatest leverage for enhancing effective governance oriented towards poverty reduction and development. In addition, tackling socioeconomic inequalities, curbing political unrest and building strong institutions are central to ensuring a socially sustainable basis for holistic welfare improvements.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/244171
    Series: AGDI working paper ; WP/20, 099
    Subjects: Governance; public institutions; poverty alleviation; cointegration analysis; Nigeria
    Scope: 1 Online-Ressource (circa 23 Seiten)
  4. Public debt-investment nexus
    the significance of investment-generation policy in West Africa
    Author: Fagbemi, Fisayo; Adeosun, Opeoluwa Adeniyi
    Published: [2020]
    Publisher:  African Governance and Development Institute, [Yaoundé]

    The study examines the long run relationship and interconnections between public debt and domestic investment in 13 West African countries from 1986-2018. Using panel Panel Dynamic Least Squares (DOLS) and Panel Fully Modified Least Squares (FMOLS),... more

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    The study examines the long run relationship and interconnections between public debt and domestic investment in 13 West African countries from 1986-2018. Using panel Panel Dynamic Least Squares (DOLS) and Panel Fully Modified Least Squares (FMOLS), debt (% of GDP) and external debt have an insignificant effect on investment in the long run, suggesting the negligible effect of public debt on the level of investments. But domestic investment Granger causes public debt indicators, implying that there is unidirectional causality. This suggests that any investmentgeneration policy could engender a rise in public borrowing, although such public loans might not be effective when there is pervasive mismanagement of public funds, as public debts need to be well managed for ensuring improved investment. Thus, the study suggests that maintaining a strong and effective debt-investment nexus requires fiscal consolidation efforts across countries, as such could lead to enhanced institutional capacity and sustainable investment-generation policy.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/228060
    Series: AGDI working paper ; WP/20, 083
    Subjects: Public debt; investment; fiscal policy; cointegration analysis; West Africa
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  5. New evidence of heterogeneous bank interest rate pass-through in the euro area
    Author: Bernhofer, Dominik; Treeck, Till van
    Published: 2011
    Publisher:  Hans-Böckler-Stiftung, Düsseldorf

    We analyse the bank interest rate pass-through in the euro area for the period 1999:1 - 2009:11, relating market interest rates to bank retail rates of comparable maturities. We first estimate single equation error correction models for seven... more

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    Staats- und Universitätsbibliothek Bremen
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    DS 488 (2011,12)
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    We analyse the bank interest rate pass-through in the euro area for the period 1999:1 - 2009:11, relating market interest rates to bank retail rates of comparable maturities. We first estimate single equation error correction models for seven interest rate categories and ten euro area countries and find that the interest rate pass-through displays substantial heterogeneity especially in the short run, but also in the long run. We then apply the pooled mean group estimator (PMGE) advanced by Pesaran et al. (1999), allowing for country-specific interest rate pass-through in the short run, while constraining the long-run pass-through to be homogeneous across countries. We find significant evidence of substantial heterogeneity in the short-run passthrough. Finally, we conduct sub-sample analysis and conclude that the degree of heterogeneity and the overall efficiency of the interest rate pass-through have not improved in the second half of the existence of the European Monetary Union. Wir untersuchen den Zusammenhang von Marktzinsen und Bankenzinsen im Euroraum für den Zeitraum 1999:1 - 2009:11. Wir schätzen zunächst Fehlerkorrekturmodelle für sieben verschiedene Haben- und Sollzinsen in zehn Euroraumländern. Hierbei zeigt sich eine nennenswerte Heterogenität bei der Weitergabe von Marktzinsänderungen, und zwar vor allem in der kurzen Frist, aber auch in der langen Frist. Dann wenden wir den "pooled mean group estimator" (PMGE) nach Pesaran et al. (1999) an, der eine länderspezifische Anpassung an ein langfristiges, für alle Länder homogenes Gleichgewicht zulässt. Hierbei ergibt sich erneut signifikante Evidenz für einen heterogenen Zinszusammenhang zwischen den Ländern in der kurzen Frist. Schließlich schätzen wir das Modell für zwei separate Zeiträume und schlussfolgern, dass das Ausmaß an Heterogenität und insgesamt die Effizienz der Zinsweitergabe sich in der zweiten Hälfte der Existenz der Europäischen Währungsunion nicht verbessert haben.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105952
    Series: Working paper / IMK, Institut für Makroökonomie ; 2011,12
    Subjects: Geldpolitische Transmission; Schätzung; Eurozone; Interest rate pass-through; European Monetary Union; European financial integration; cointegration analysis; panel data analysis
    Scope: Online-Ressource (15 S.)
    Notes:

    Zsfassung in dt. Sprache
  6. Money demand in Europe : Evidence from the past
    Author: Hahn, Elke; Müller-Kademann, Christian
    Published: 2000
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  7. Cinema demand in Germany
    Author: Dewenter, Ralf; Westermann, Michael
    Published: 2003
    Publisher:  Fachbereich Wirtschaftswiss., Univ. Duisburg-Essen, Standort Essen, Essen

    In the present paper we examine the German cinema market using time series data of 49 years. Applying estimation techniques such as OLS, 2SLS and SUR, we identify interrelations between the number of screens, the average real prices and the demand... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    In the present paper we examine the German cinema market using time series data of 49 years. Applying estimation techniques such as OLS, 2SLS and SUR, we identify interrelations between the number of screens, the average real prices and the demand for movies per inhabitant. Furthermore, we test for the long run relationship and evaluate the elasticities of demand with respect to real price and income. Moreover, we analyse if cinema can be defined as an addictive good which can be explained with a myopic habit or rational addiction approach.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/40935
    Series: Diskussionsbeiträge aus dem Fachbereich Wirtschaftswissenschaften der Universität Duisburg-Essen, Standort Essen ; 125
    Subjects: Kino; Nachfrage; Freizeitverhalten; Konsumentenverhalten; Schätzung; Deutschland; cinema; demand; supply; habit formation; cointegration analysis; Seemingly Unrelated Regression
    Scope: Online-Ressource ([2], 35 S.), graph. Darst.
    Notes:

    Zsfassung in dt. Sprache
  8. Political institutions and trade-evidence for the long-run relationship and causality
    Author: Krenz, Astrid
    Published: 2013
    Publisher:  CeGE, Göttingen

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    DS 42 (182)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/88599
    Series: Discussion papers / Center for European Governance and Economic Development Research ; 182
    Subjects: political institutions; trade; cointegration analysis
    Scope: Online-Ressource (13 S., 446 KB), graph. Darst.