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Additional Evidenceon Ems Interest Rate Linkages

Additional Evidenceon Ems Interest Rate Linkages »

Source: Additional Evidenceon Ems Interest Rate Linkages

Volume/Issue: 1996/115

Series: IMF Working Papers

Author(s): John Thornton , and Alicia García-Herrero

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451942941

Keywords: interest rates, cointegration, statistics, granger causality, equation

This note examines interest rate linkages within the EMS. Cointegration tests suggest the existence of a long-run equilibrium relationship between German and other EMS interest rates. Bivariate VAR analysis finds t...

Forecasting Inflation in Sudan

Forecasting Inflation in Sudan »

Source: Forecasting Inflation in Sudan

Volume/Issue: 2009/132

Series: IMF Working Papers

Author(s): Kenji Moriyama , and Abdul Naseer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2009

ISBN: 9781451872798

Keywords: ARMA model, Granger causality, average inflation, actual inflation, And Granger Causality,

This paper forecasts inflation in Sudan following two methodologies: the Autoregressive Moving Average (ARMA) model and by looking at the leading indicators of inflation. The estimated ARMA model remarkably tracks...

Financial Market Spillovers in Transition Economies

Financial Market Spillovers in Transition Economies »

Source: Financial Market Spillovers in Transition Economies

Volume/Issue: 2000/71

Series: IMF Working Papers

Author(s): Ratna Sahay , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451849233

Keywords: contagion, speculative attacks, correlations, stock market, correlation, granger causality

This paper examines financial market comovements across European transition economies and compares their experience to that of their regions. Correlations in monthly indices of exchange market pressures can partly...

Public Capital and Output Growth in Portugal

Public Capital and Output Growth in Portugal »

Source: Public Capital and Output Growth in Portugal : An Empirical Analysis

Volume/Issue: 2000/11

Series: IMF Working Papers

Author(s): Jenny Ligthart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2000

ISBN: 9781451842777

Keywords: cointegration, granger causality, infrastructure, capital stock, private capital, equation, statistics

The paper investigates the growth effects of public capital in Portugal using annual data for the period 1965-95. Both a production function and a vector autoregressive model are estimated. Public capital is shown...

Nonlinearity and Endogeneity in Macro-Asset Pricing

Nonlinearity and Endogeneity in Macro-Asset Pricing »

Source: Nonlinearity and Endogeneity in Macro-Asset Pricing

Volume/Issue: 1995/32

Series: IMF Working Papers

Author(s): Charles Kramer , and Craig Hiemstra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1995

ISBN: 9781451845082

Keywords: granger causality, stock returns, time series, statistics, bonds

We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model. It also means that the i...

Business Cycle in Czechoslovakia Under Central Planning

Business Cycle in Czechoslovakia Under Central Planning »

Source: Business Cycle in Czechoslovakia Under Central Planning : Were Credit Shocks Causing it?

Volume/Issue: 1996/129

Series: IMF Working Papers

Author(s): Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1996

ISBN: 9781451934755

Keywords: industrial production, granger causality, cointegration, statistics, time series

This paper examines credit origins of the business cycle in the former Czechoslovakia. Industrial production is found to be cointegrated with various measures of bank credit during 1976-90 and it is shown that noni...

Energy Subsidies and Public Social Spending

Energy Subsidies and Public Social Spending »

Source: Energy Subsidies and Public Social Spending : Theory and Evidence

Volume/Issue: 2015/101

Series: IMF Working Papers

Author(s): Christian Ebeke , and Constant Lonkeng Ngouana

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 May 2015

ISBN: 9781475580747

Keywords: Energy subsidies, Public social spending, Causality, subsidy, tax, energy subsidy, Cross-Sectional Models, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Causality.,

This paper shows that high energy subsidies and low public social spending can emerge as an equilibrium outcome of a political game between the elite and the middle-class when the provision of public goods is subje...

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States »

Source: Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework

Volume/Issue: 1999/158

Series: IMF Working Papers

Author(s): Parha Deb , and Salim Darbar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857566

Keywords: Logistic Exponential GARCH, conditional correlation, Granger causality, correlation, correlations, statistic, statistics, covariance

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket...

Budgetary Convergence in the WEAMU

Budgetary Convergence in the WEAMU »

Source: Budgetary Convergence in the WEAMU : Adjustment Through Revenue or Expenditure?

Volume/Issue: 2000/109

Series: IMF Working Papers

Author(s): Jean-Claude Nachega , and Ousmane Dore

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2000

ISBN: 9781451853209

Keywords: Convergence, Granger causality, Co-integration, Error-correction, expenditure, expenditures, public debt, budget deficit

A regional convergence pact adopted recently by the Conference of Heads of States of WAEMU provides a framework for fiscal convergence similar to the European Union’s Maastricht Treaty. Using bivariate co-in...

The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey

The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey »

Source: The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey

Volume/Issue: 2011/156

Series: IMF Working Papers

Author(s): Joshua Charap , and Serhan Cevik

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781455293704

Keywords: Interest rates, Islamic banks, causality, time-varying volatility correlation, bank deposit, interest, balance sheet, debt

This paper examines the empirical behavior of conventional bank deposit rates and the rate of return on retail Islamic profit-and-loss sharing (PLS) investment accounts in Malaysia and Turkey, using monthly data fr...