Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model

Ters, Kristyna; Urban, Jörg

doi:10.1016/j.finmar.2019.07.002

Cited by 9 publications

(3 citation statements)

References 34 publications

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“…Results from the cointegrating tests are used to select from two models; VECM (Ters & Urban, 2020) and VAR model (Caruso et al, 2020), to test for long‐ and short‐run causalities. For models that depict no cointegration, the VAR is used to test for short‐run causalities, for models that existence of cointegrating relationship, the VECM is used to test for both long‐ and short‐run causalities.…”

Section: Methodsmentioning

confidence: 99%

Toward achieving sustainable development goal 3: Determinants, innovations, and reactions from 110 countries with different income levels

2021

Sustainable Development

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Well-being has a major impact on sustained development of economies worldwide; and unionized well-being-improving decisions are key to achieving SDG3, but research on such is rare. This article investigates the determinants of well-being using Life Ladder (LLD), log GDP per capita (LGDP), social support (SSP), and life expectancy at birth (HLE) for panels of 110 countries selected from World Happiness Report 2020, and grouped according to income levels. The empirical panel Granger causality results show that LGDP, SSP and HLE Granger causes LLD in the long-run for low, upper-middle, and high-income countries; but find no evidence of such for the Lower-Middle Income Countries and Global Panel. Evidence from the impulse response and variance decomposition analysis shows that majority of the innovations needed to promote well-being can be found within LLD itself. The policy implication is that though all countries plan to improve well-being, the determinants, innovations, and corresponding reactions vary across countries. K E Y W O R D Simpulse response and variance decomposition analysis, income-based grouping of countries, panel granger causality, sustainable development, unionized well-being-improving decision making, well-being 1 | BACKGROUND Countries around the globe are striving to build economies that are sustainable. This is clearly depicted by the drafting and adoption of the United Nation's Sustainable Development Goals (SDGs; UN, 2020). The 17 integrated SDGs cover a wide spectrum from poverty reduction to decent work and economic growth, industry, innovation, and infrastructure to improve well-being (Diaz-Sarachaga et al., 2018). At the macroeconomic level, sustained increase in average income levels often proxied with growth in gross national income (GNI) per capita are likened to economic development and poverty reduction. Though significant increase in GNI per capita depicts economic growth, sustained improvement that advances and maximizes the well-being of the population is desirable. Thus, improving the well-being of people is key to building long-lasting development of countries globally (Deaton, 2007). The world has made significant improvement in well-being over the past decade. Facts from the World Happinness Report (2020) (WHR2020) puts Finland as the world's most happier country (with happiness score of 7.809 on a 10-point scale) and Afghanistan as the least happiest (happiness score of 2.567). It is worth noting that the variation in happiness rankings have close association with disparities in income. As the world gradually transition to an integrated whole, collaboration, and cooperating among countries can help improve well-being of people worldwide.Based on the undeniable linkage between well-being and income (Zhang & Awaworyi Churchill, 2020), the players in the collaborated network can be selected using income metrics.Facts from the WHR2020 and Helne and Hirvilammi (2015) suggest that when measuring well-being at the country level, most countries pay attention to happiness (proxied wi...

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Section: Methodsmentioning

confidence: 99%

Toward achieving sustainable development goal 3: Determinants, innovations, and reactions from 110 countries with different income levels

2021

Sustainable Development

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“…It denotes the price deviation from the long-run equilibrium. The estimated error-correction term (ε −1 ) is included in one lag period (Ters and Urban, 2019). Γ is the (2x2) regime-specific matrix of short-run coefficients with lag i.…”

Section: Methodsmentioning

confidence: 99%

Do protectionist trade policies integrate domestic markets? Evidence from the Canada-U.S. softwood lumber dispute

Guo

Johnston

2021

Forest Policy and Economics

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Bank of Canada staff working papers provide a forum for staff to publish work-in-progress research independently from the Bank's Governing Council. This research may support or challenge prevailing policy orthodoxy. Therefore, the views expressed in this note are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.

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“…Statistical techniques and econometric methods were used, incl. the vector error correction model (VECM) [ 21 , 22 , 23 ], structural error correction model (SVECM) [ 24 , 25 ], impulse response function (IRF) [ 26 , 27 , 28 ], Granger causality test [ 29 , 30 ], the Johansen trace test for cointegration [ 31 , 32 , 33 ], tests to examine the normal distribution (Doornik–Hansen test [ 34 , 35 ], Lütkepohl test [ 36 ], and Jarque–Bera test [ 37 , 38 , 39 ]) and the augmented Dickey–Fuller test [ 40 , 41 ] to investigate stationarity. The choice of these methods meets the need to obtain answers to the above research questions and is necessary for the verification process of undesirable properties and the elimination of apparent dependencies in the context of the conducted study.…”

Section: Introductionmentioning

confidence: 99%

Environmental Management from the Point of View of the Energy Intensity of Road Freight Transport and Shocks

Szaruga

Załoga

2022

IJERPH

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The research aimed to identify the directions of rationalization of the energy intensity of road freight transport in the context of the long-term balance of the drifting economy. The study was related to the case of Poland, and its scope spans 8.5 years. The long-term drift of the economy and shocks from the production process of the construction, industry, and processing sectors were taken into account in the research. In addition, the structural shocks were decomposed and validated. Twenty-one statistically significant multidirectional and varying relationships between the energy consumption of road transport and production in the construction, industry, and processing sectors were confirmed, including 7 long-term and 14 immediate relationships. The leakage of shocks in production has been demonstrated in the construction, industry, and processing sectors. The shock from the construction sector lowered the energy consumption of road transport in the long run. The greatest impact of the shock occurred only after 6–12 months and slowly stabilized after approximately 24 months. On the other hand, the shock in production in the industry and processing sectors reduced energy intensity in the short term but increased in the long term. The shocks in the industry and processing sectors transformed relatively quickly.

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Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model

Cited by 9 publications

References 34 publications

Toward achieving sustainable development goal 3: Determinants, innovations, and reactions from 110 countries with different income levels

Toward achieving sustainable development goal 3: Determinants, innovations, and reactions from 110 countries with different income levels

Do protectionist trade policies integrate domestic markets? Evidence from the Canada-U.S. softwood lumber dispute

Environmental Management from the Point of View of the Energy Intensity of Road Freight Transport and Shocks

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