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Common Stochastic Trend (common + stochastic_trend)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Integration Among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts

PACIFIC ECONOMIC REVIEW, Issue 1 2001
Pierre L. Siklos
Are stock markets in the Asia-Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied. [source]

Vertical price leadership: A cointegration analysis

AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 3 2002
W. Erno Kuiper
Here we detail a method to test whether or not retailers allow suppliers to set the wholesale price not only on the basis of the costs faced by the suppliers but also on the basis of consumer demand. Using standard theory, long-run price relationships between the stages in the channel are derived. Next, these static price relationships are imposed on a dynamic model to be tested for cointegration and long-run noncausality, embedding the hypotheses on vertical price leadership. To derive the testable implications of these hypotheses, we show that the common stochastic trend and long-run equilibrium error must explicitly be assigned to variables in the channel model. The model is particularly relevant for industries characterized by a low degree of product differentiation. An empirical application to two Dutch marketing channels for food products gives comprehensible results. [EconLit citations: C32, L12, Q11] © 2002 Wiley Periodicals, Inc. [source]

Integration Among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts

PACIFIC ECONOMIC REVIEW, Issue 1 2001
Pierre L. Siklos
Are stock markets in the Asia-Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied. [source]

Cointegration Testing in Panels with Common Factors,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 2006
Christian Gengenbach
Abstract Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat [Econometrics Journal (2004), Vol. 7, pp. 322,340; Empirical Economics (2005), Vol. 30, pp. 77,91] via Monte Carlo simulations. Several studies have recently addressed this issue for panel unit-root tests using a common factor structure to model the cross-sectional dependence, but not much work has been done yet for panel no-cointegration tests. This paper proposes a model for panel no-cointegration using an unobserved common factor structure, following the study by Bai and Ng [Econometrica (2004), Vol. 72, pp. 1127,1177] for panel unit roots. We distinguish two important cases: (i) the case when the non-stationarity in the data is driven by a reduced number of common stochastic trends, and (ii) the case where we have common and idiosyncratic stochastic trends present in the data. We discuss the homogeneity restrictions on the cointegrating vectors resulting from the presence of common factor cointegration. Furthermore, we study the asymptotic behaviour of some existing residual-based panel no-cointegration tests, as suggested by Kao [Journal of Econometrics (1999), Vol. 90, pp. 1,44] and Pedroni [Econometric Theory (2004a), Vol. 20, pp. 597,625]. Under the data-generating processes (DGP) used, the test statistics are no longer asymptotically normal, and convergence occurs at rate T rather than as for independent panels. We then examine the possibilities of testing for various forms of no-cointegration by extracting the common factors and individual components from the observed data directly and then testing for no-cointegration using residual-based panel tests applied to the defactored data. [source]

Integration Among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts

PACIFIC ECONOMIC REVIEW, Issue 1 2001
Pierre L. Siklos
Are stock markets in the Asia-Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied. [source]