The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Pierre L Siklos - One of the best experts on this subject based on the ideXlab platform.
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Cointegration and threshold adjustment
Journal of Business & Economic Statistics, 2001Co-Authors: Walter Enders, Pierre L SiklosAbstract:This article 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 departures from equilibrium. We consider an application—namely, whether there exists Cointegration among interest rates for instruments with different maturities. This issue has been widely tested with mixed results. We argue that either cautious policy, or possibly opportunistic behavior on the part of the Federal Reserve implies that an equilibrium relationship between short- and long-term interest rates exists but that adjustments from disequilibrium are asymmetric in nature. Empirical tests using U.S. yields confirm the asymmetric nature of error correction among interest rates of different maturities.
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Cointegration and threshold adjustment
Research Papers in Economics, 1998Co-Authors: Walter Enders, Pierre L SiklosAbstract:One important development in the recent time-series literature is the examination of non linear adjustment mechanisms. Much of the impetus for this interest stems from a large number of studies showing that key macroeconomic variables such as real GDP, unemployment, and industrial production display asymmetric adjustment over the course of the business cycle. For example, Neftci (1984), Falk (1986), DeLong and Summers (1988), Terasvirta and Anderson (1992), Sichel (1993), Beaudry and Koop (1993), Potter (1995), Ramsey and Rothman (1996) and Bradley and Jensen (1997) all support various forms of asymmetric adjustment in one or more of these variables.
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Cointegration and threshold adjustment
Social Science Research Network, 1998Co-Authors: Walter Enders, Pierre L SiklosAbstract:Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper provides 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 departures from equilibrium. Empirical tests using US yields confirm the asymmetric nature of error correction among interest rates of different maturities.
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regime sensitive Cointegration with an application to interest rate parity
Macroeconomic Dynamics, 1997Co-Authors: Pierre L Siklos, Clive W J GrangerAbstract:There exist a variety of reasons for the failure to find a unique cointegrating relationship between economic time series where one would normally be expected on the basis of economic theory. Among these are the testing procedure, the span of the data set, the choice of lag length in generating the test statistic, the presence of structural breaks, and the presence of Cointegration only beyond some threshold. We propose the concept of regime-sensitive Cointegration whereby the underlying series need not be cointegrated at all times. We show that Cointegration can be switched off when a common stochastic trend is added. Alternatively, Cointegration can be switched on or off because series normally believed to contain a unit actually do not. This implies that a linear combination of such variables need not be cointegrated. To illustrate the concept empirically, we test the hypothesis of interest-rate parity, and related hypotheses, using daily Eurorates for the United States and Canada.
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regime sensitive Cointegration with an application to interest rate parity
Research Papers in Economics, 1997Co-Authors: Pierre L Siklos, Clive W J GrangerAbstract:There exist a variety of reasons for the failure to find a unique cointegrating relationship between economic time series where one would normally be expected on economic theory grounds. Among these are the testing procedure (e.g., Engle and Granger (1987) or Johansen (1991), the span of the data set (Hendry (1995), Perron (1989)), the choice of the lag length in generating the test statistic (Banerjee et al. (1993)), the presence of structural breaks (Gregory and Hansen (1996)), and the presence of Cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the concept of regime sensitive Cointegration whereby the underlying series need not be cointegrated at all times. We show that Cointegration can be switched off when a common stochastic trend is added. Alternatively, Cointegration can be switched on or off because series normally believed to contain a unit actually do not. This implies that a linear combination of such variables need not be cointegrated. To illustrate the concept empirically, we test the hypothesis of interest rate parity, and related hypotheses, using daily eurorates for the US and Canada.
James E Payne - One of the best experts on this subject based on the ideXlab platform.
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a time varying coefficient approach to the renewable and non renewable electricity consumption growth nexus evidence from a panel of emerging market economies
Energy Sources Part B-economics Planning and Policy, 2014Co-Authors: Nicholas Apergis, James E PayneAbstract:This study extends the investigation of the relationship between renewable and non-renewable electricity consumption and economic growth for 16 emerging market economies within a time-varying coefficient Cointegration model spanning the period 1990–2011. The standard panel Cointegration tests with fixed coefficients indicate that there is a stable long-run equilibrium relationship between real gross domestic product, renewable electricity consumption, non-renewable electricity consumption, real gross fixed capital formation, and the labor force. However, the time-varying coefficient Cointegration tests show that the stability of the long-run relationship is rejected with the coefficient for non-renewable electricity consumption declining over time while the coefficient for renewable electricity consumption rising.
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energy consumption and economic growth in central america evidence from a panel Cointegration and error correction model
Energy Economics, 2009Co-Authors: Nicholas Apergis, James E PayneAbstract:Abstract This study examines the relationship between energy consumption and economic growth for six Central American countries over the period 1980–2004 within a multivariate framework. Given the relatively short span of the time series data, a panel Cointegration and error correction model is employed to infer the causal relationship. Based on the heterogeneous panel Cointegration test by Pedroni (Pedroni, P., 1999. Critical values for Cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics 61, 653–670; Pedroni, P., 2004. Panel Cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis: new results. Econometric Theory 20, 597–627), Cointegration is present between real GDP, energy consumption, the labor force, and real gross fixed capital formation with the respective coefficients positive and statistically significant. The Granger-causality results indicate the presence of both short-run and long-run causality from energy consumption to economic growth which supports the growth hypothesis.
Alfred A Haug - One of the best experts on this subject based on the ideXlab platform.
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structural breaks and the fisher effect
B E Journal of Macroeconomics, 2011Co-Authors: Alfred A Haug, Andreas Beyer, William G DewaldAbstract:There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of Cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post World War II data for 15 countries. Our empirical results support Cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear Cointegration.
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linear or nonlinear Cointegration in the purchasing power parity relationship
Applied Economics, 2011Co-Authors: Alfred A Haug, Syed Abul BasherAbstract:We test long-run Purchasing Power Parity (PPP) within a general model of Cointegration of linear and nonlinear form. Nonlinear Cointegration is tested with rank tests of Breitung (2001). We determine first the order of integration of each variable, using monthly data from the post-Bretton Woods era for G-10 countries. In many cases prices are I(2), whereas all exchange rates are I(1). However, there are several countries that have a price level that linearly cointegrates with the US price level so that this combination is I(1). Overall, we find some, though limited, evidence for nonlinear and also linear Cointegration for the weak version of PPP.
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structural breaks Cointegration and the fisher effect
Social Science Research Network, 2009Co-Authors: Andreas Beyer, Alfred A Haug, William G DewaldAbstract:There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of Cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support Cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear Cointegration.
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Cointegration and government borrowing constraints evidence for the united states
Journal of Business & Economic Statistics, 1991Co-Authors: Alfred A HaugAbstract:Testable implications are derived in a present-value borrowing-constraint model for the U.S. federal government. Critical values for unit-root and Cointegration tests are calculated with Monte Carlo studies. Cointegration techniques are employed to determine whether the government has been involved in perpetual debt financing in recent years. The data reject this assertion.
Nicholas Apergis - One of the best experts on this subject based on the ideXlab platform.
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a time varying coefficient approach to the renewable and non renewable electricity consumption growth nexus evidence from a panel of emerging market economies
Energy Sources Part B-economics Planning and Policy, 2014Co-Authors: Nicholas Apergis, James E PayneAbstract:This study extends the investigation of the relationship between renewable and non-renewable electricity consumption and economic growth for 16 emerging market economies within a time-varying coefficient Cointegration model spanning the period 1990–2011. The standard panel Cointegration tests with fixed coefficients indicate that there is a stable long-run equilibrium relationship between real gross domestic product, renewable electricity consumption, non-renewable electricity consumption, real gross fixed capital formation, and the labor force. However, the time-varying coefficient Cointegration tests show that the stability of the long-run relationship is rejected with the coefficient for non-renewable electricity consumption declining over time while the coefficient for renewable electricity consumption rising.
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energy consumption and economic growth in central america evidence from a panel Cointegration and error correction model
Energy Economics, 2009Co-Authors: Nicholas Apergis, James E PayneAbstract:Abstract This study examines the relationship between energy consumption and economic growth for six Central American countries over the period 1980–2004 within a multivariate framework. Given the relatively short span of the time series data, a panel Cointegration and error correction model is employed to infer the causal relationship. Based on the heterogeneous panel Cointegration test by Pedroni (Pedroni, P., 1999. Critical values for Cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics 61, 653–670; Pedroni, P., 2004. Panel Cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis: new results. Econometric Theory 20, 597–627), Cointegration is present between real GDP, energy consumption, the labor force, and real gross fixed capital formation with the respective coefficients positive and statistically significant. The Granger-causality results indicate the presence of both short-run and long-run causality from energy consumption to economic growth which supports the growth hypothesis.
Valérie Mignon - One of the best experts on this subject based on the ideXlab platform.
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oil prices and economic activity an asymmetric Cointegration approach
Energy Economics, 2008Co-Authors: Sandrine Lardic, Valérie MignonAbstract:The aim of this paper is to study the long-term relationship between oil prices and economic activity, proxied by GDP. To account for asymmetries existing in the links between the two variables, we propose an approach based on asymmetric Cointegration. Our empirical analysis concerns the U.S. economy, but also the G7, Europe and Euro area economies. Results indicate that, while standard Cointegration is rejected, there is evidence for asymmetric Cointegration between oil prices and GDP.
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Fractional Cointegration between nominal interest rates and inflation: A re-examination of the Fisher relationship in the G7 countries
Economics Bulletin, 2003Co-Authors: Valérie Mignon, Sandrine LardicAbstract:According to the Fisher hypothesis, the nominal interest rate is equal to the real interest rate, plus expected inflation. Results concerning the empirical validity of this hypothesis are not unanimous. These contradictions may be due to the fact that the usual concept of Cointegration is too restrictive. We thus propose here to refer to the concept of fractional Cointegration introduced by Granger (1986). We study the Fisher hypothesis by testing for the existence of a fractional Cointegration relationship between nominal interest rates and inflation. Our results suggest that, for a large majority of G7 countries, such a relationship exists.
