Spatial Market Arbitrage and Threshold Cointegration
In: American Journal of Agricultural Economics, Band 85, Heft 4, S. 1041-1046
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In: American Journal of Agricultural Economics, Band 85, Heft 4, S. 1041-1046
SSRN
In: International journal of forecasting, Band 35, Heft 2, S. 458-473
ISSN: 0169-2070
The ongoing Turkish-Greek antagonism has triggered the interest of defense economists to investigate the various aspects of the arms race between Turkey and Greece. However, empirical studies examining the long-run relationship between the military expenditures of the two countries offer little evidence in favor of such an interaction. This paper attributes the poor results of the previous literature to the adherence to linear cointegration techniques and argues that if the adjustment towards long-run equilibrium is asymmetric, nonlinear co-integration models should be employed. Accordingly, this paper considers threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models as alternative adjustment processes for the cointegration relationship, following Enders and Siklos (2001). The results indicate that the relationship between the variables can be characterized by a threshold cointegration specification following an M-TAR type adjustment process.
BASE
In: Reihe Ökonomie 109
In: Defence & peace economics, Band 20, Heft 2, S. 123-129
ISSN: 1476-8267
In: Defence and peace economics, Band 20, Heft 2, S. 123-130
ISSN: 1024-2694
This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.
BASE
This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.
BASE
This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.
BASE
In: Makatjane KD, Moroke ND, Xaba LD 2017. Threshold Cointegration and Nonlinear Causality test between Inflation Rate and Repo Rate. Journal of Economics and Behavioral Studies, Vol. 9, No. 3, pp. 163-170,
SSRN
In: Dynamic econometric models, Band 14, S. 51
ISSN: 2450-7067
In: Economic change & restructuring, Band 54, Heft 1, S. 241-264
ISSN: 1574-0277
In: Discussion paper
In: B 385
In: Research in economics: Ricerche economiche, Band 65, Heft 3, S. 271-277
ISSN: 1090-9451
In: Paradigms: a research journal of commerce, economics, and social sciences, Band 10, Heft 2, S. 104-119
ISSN: 2410-0854