We analyze the behavior of inflation in the era of fast pace information thanks to technological advances, especially internet. Owing to readily available information, prices/inflation should quickly converge under perfect competition. To this end, we explore the possibility of price convergence in regional inflation in the USA including the perman...
This paper considers two families of methods allowing to get interpretable factors without imposing their interpretation a priori: factor rotations and sparse PCA. Monte Carlo simulations show their performance in recovering the correct factor structure. In an empirical application with a large U.S. macroeconomic dataset, they recover the same fact...
Abstract Electricity is the key in most production processes, therefore understanding causality, cointegration, and stationarity between electricity consumption and production is the starting point in the debate on its economic effects. Vector error correction model (VECM) and cointegration models, besides stationarity tests with structural break, ...
Published in Entropy
The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected. To address this issue, we chose firms’ credit rating transition dynamics as a proxy of the credit market and discuss how statistical process control tools ca...
The paper investigates whether Southern Mediterranean and Middle Eastern markets under the Euro-Mediterranean Partnership (Egypt, Lebanon, Morocco, Malta, and Turkey) have become more financially integrated with the European stock market over time. The findings suggest that the Turkish equity market is moderately integrated with the European market...
The reliability of monetary policy as an economic stabilisation tool depends on the understanding of the empirical effects of policy intervention on macroeconomic aggregates. Since investigating the interdependencies between macroeconomic variables necessarily involves studying their interactions over time, time series analysis is an important tool...
This thesis investigates the short term and the long term cointegration relations between European and Chinese, European and Russian stock markets, with a goal to define international diversification benefits. Whereas Russia and China are considered as developing countries, Europe represents a developed market. The period of study is from 1997 to 2...
The paper investigates whether Southern Mediterranean and Middle Eastern markets under the Euro-Mediterranean Partnership (Egypt, Lebanon, Morocco, Malta, and Turkey) have become more financially integrated with the European stock market over time. The findings suggest that the Turkish equity market is moderately integrated with the European market...
Published in Mediterranean Journal of Social Sciences
This paper reviewed the activities of the Agricultural Credit Guarantee Scheme Fund (ACGSF) in the Niger Delta Development Commission (NDDC) covered states for the period 1991 to 2011. The objectives were to compare variation in the number and value of loans guaranteed to these states and to determine the stability or otherwise of the relationship ...
ABSTRACT Because of low-frequency internal variability, the observed and underlying warming trends in temperature series can be markedly different. Important differences in the observed nonlinear trends in hemispheric temperature series suggest that the northern and southern hemispheres have responded differently to the changes in the radiative for...
