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Author: An-Sing Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
This paper applies linear and nonlinear Granger causality tests to examine the dynamic relation between London Metal Exchange (LME) cash prices and three possible predictors. The analysis uses matched quarterly inventory, UK Treasury bill interest rates, futures prices and cash prices for the commodity lead traded on the LME. We also examine the effects of cointegration on both linear and nonlinear Granger causality tests. When cointegration is not modeled, we find evidence of both linear and nonlinear causality between cash prices and analyzed predictor variables. However, after controlling for cointegration, we no longer find evidence of significant nonlinear causality. Our results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality. We also illustrate the importance of interest rate and inventory as well as futures price in forecasting cash prices. Our failure to detect significant nonlinearity after controlling for cointegration may also go some way to explaining the reason for the disappointing forecasting performances of many nonlinear models in the general finance literature. It may be that the variables are correct, but the functional form is overly complex and a standard VAR or VECM may often apply.
Author: An-Sing Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
This paper applies linear and nonlinear Granger causality tests to examine the dynamic relation between London Metal Exchange (LME) cash prices and three possible predictors. The analysis uses matched quarterly inventory, UK Treasury bill interest rates, futures prices and cash prices for the commodity lead traded on the LME. We also examine the effects of cointegration on both linear and nonlinear Granger causality tests. When cointegration is not modeled, we find evidence of both linear and nonlinear causality between cash prices and analyzed predictor variables. However, after controlling for cointegration, we no longer find evidence of significant nonlinear causality. Our results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality. We also illustrate the importance of interest rate and inventory as well as futures price in forecasting cash prices. Our failure to detect significant nonlinearity after controlling for cointegration may also go some way to explaining the reason for the disappointing forecasting performances of many nonlinear models in the general finance literature. It may be that the variables are correct, but the functional form is overly complex and a standard VAR or VECM may often apply.
Author: Halbert White
Publisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: Amjad Almusaed
Publisher: BoD – Books on Demand
ISBN: 1839696478
Category : Technology & Engineering
Languages : en
Pages : 332
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Book Description
Sustainable housing is generally used to describe housing that is environmentally friendly and resource-efficient over the lifetime of the building. Homes are designed to have the least possible negative impact on the environment. This means energy efficiency, avoiding environmental toxins, and responsibly using materials and resources while having positive physical and psychological effects on inhabitants. This book presents a comprehensive overview of sustainable housing, starting from legislation and ending with the design and configuration of homes.
Author: Valentyn Panchenko
Publisher: Rozenberg Publishers
ISBN: 9051707959
Category :
Languages : en
Pages : 144
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Book Description
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author: Melike Bildirici
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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Book Description
This paper analyzed the non-linear ARDL approach and the non-linear Granger co-integration method. The gold price level showed positive asymmetric response to changes in the oil price in the short and long run. This study used the non-linear ARDL method to analyze the relationship between oil prices and gold, silver, and copper prices. To examine these relationships, we used a two-step procedure. In the first step, we analyzed the long-run relationship between the variables by using the non-linear ARDL approach. In the second step, we used a dynamic VEC model to test causal relationships.
Author: Gilles Dufrénot
Publisher: Springer Science & Business Media
ISBN: 1475736150
Category : Business & Economics
Languages : en
Pages : 319
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Book Description
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author: Julien Chevallier
Publisher: John Wiley & Sons
ISBN: 1119945402
Category : Business & Economics
Languages : en
Pages : 373
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Book Description
As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject. The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors’ teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning. The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed. This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.
Author: Katleho Makatjane
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
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Book Description
The current study investigated a cointegration and nonlinear causality relationships between inflation and repo rates of South Africa using the data spanning the period of January 2002 to March 2016. We used a threshold vector error correction model (TVECM) and nonlinear Granger frameworks causality to carry out the analysis. Preliminary analysis of data revealed the expected properties of the data such as nonlinearity, non-stationarity and co-movement of the variables. The two variables confirmed to be moving together in the long-run according to the observed supWald test statistic. Finally, the Diks-Panchenko nonlinear Causality test revealed a strong bidirectional nonlinear causal relationship between repo rate and inflation rate. The results imply that the use of repo rate to target the inflation rate during the target period did not address the financial problem in South Africa. Consequently, the study concluded that repo rate may not be a good measure to use for controlling inflation rates of South Africa.
Author: Christos Frangos
Publisher: Christos Frangos
ISBN: 9609873944
Category : Business & Economics
Languages : en
Pages : 509
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Book Description
