Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan

CFA Digest ◽  
2006 ◽  
Vol 36 (4) ◽  
pp. 37-38
Author(s):  
Rajiv Kalra
Keyword(s):  
Long Run ◽  
The Us ◽  
System Context

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

Shareholder Value, Management Culture and Production Regimes in the Transformation of the German Chemical-Pharmaceutical Industry

2002 ◽  
Vol 6 (3) ◽  
pp. 309-325 ◽  
Author(s):  
Sigurt Vitols
Keyword(s):  
Recent Literature ◽  
Shareholder Value ◽  
Value Management ◽  
Pharmaceutical Companies ◽  
Drivers Of Change ◽  
Management Culture ◽  
Long Run ◽  
The Us ◽  
Production Regime ◽  
National Systems

One of the greatest points of controversy in the recent literature in political economy is the extent to which “shareholder value” oriented institutional investors are drivers of change in national systems of corporate governance. This article argues that the key question is how management cultures shape managerial responses to pressures for change from capital markets. Empirical evidence for this argument is provided through an examination of changes since the mid-1990s at the “Big Three” German integrated chemical/pharmaceutical companies: Hoechst, Bayer and BASF. Despite facing similar demands from shareholder-value oriented investors, management at the three companies have pursued quite different strategies. The end result, however, may be the same from a production regime perspective, that is, the long-run withdrawal of “Big Pharma” from Germany as a location for R&D due to a more favorable institutional framework in the US.

Some long-run effects of growing markets and renewable fuel standards on additives markets and the US ethanol industry

2003 ◽  
Vol 25 (6-7) ◽  
pp. 585-608 ◽  
Author(s):  
Paul W Gallagher ◽  
Hosein Shapouri ◽  
Jeffrey Price ◽  
Guenter Schamel ◽  
Heather Brubaker
Keyword(s):  
Renewable Fuel ◽  
Long Run ◽  
Renewable Fuel Standards ◽  
The Us

United States Strategic Interests in Latin America: An Assessment

1997 ◽  
Vol 39 (1) ◽  
pp. 45-57 ◽  
Author(s):  
Albert R. Coll
Keyword(s):  
United States ◽  
Latin America ◽  
The United States ◽  
Second World War ◽  
Economic Prosperity ◽  
World War ◽  
Long Run ◽  
The Us ◽  
Areas Of Concern ◽  
Second World

As of 1997, the United States faces an unprecedented degree of security, stability, and economic prosperity in its relations with Latin America. Never before have US strategic interests in Latin America been as well-protected or have its prospects seemed, at least on the surface, so promising. Yet while the US strategic interests are in better shape — militarily, politically, and economically — this decade than at any time since the end of the Second World War, some problems remain. Over the long run, there is also the risk that old problems, which today seem to have ebbed away, will return. Thus, the positive tone of any contemporary assessment must be tempered with an awareness of remaining areas of concern as well as of possible future crises.

scholarly journals Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

2021 ◽  
pp. 1-21
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Inflation Rate ◽  
Predictive Accuracy ◽  
Moving Average ◽  
Impulse Response Functions ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Vector Autoregressive ◽  
Autoregressive Moving Average Model ◽  
Long Run ◽  
The Us

Abstract Nonlinear co-integration is studied for score-driven models, using a new multivariate dynamic conditional score/generalized autoregressive score model. The model is named t-QVARMA (quasi-vector autoregressive moving average model), which is a location model for the multivariate t-distribution. In t-QVARMA, I(0) and co-integrated I(1) components of the dependent variables are included. For t-QVARMA, the conditions of the maximum likelihood estimator and impulse response functions (IRFs) are presented. A limiting special case of t-QVARMA, named Gaussian-QVARMA, is a Gaussian-VARMA specification with I(0) and I(1) components. As an empirical application, the US real gross domestic product growth, US inflation rate, and effective federal funds rate are studied for the period of 1954 Q3 to 2020 Q2. Statistical performance and predictive accuracy of t-QVARMA are superior to those of Gaussian-VAR. Estimates of the short-run IRF, long-run IRF, and total IRF impacts for the US data are reported.

scholarly journals Discriminating between Long Memory and Volatility Shifts

2016 ◽  
Vol 36 (4) ◽  
Author(s):  
Aonan Zhang ◽  
Robertas Gabrys ◽  
Piotr Kokoszka
Keyword(s):  
Long Memory ◽  
Change Point ◽  
Kernel Estimator ◽  
Practical Implementation ◽  
Point Model ◽  
Variance Estimators ◽  
Long Run ◽  
The Us ◽  
Change Point Model ◽  
Stock Indexes

We develop a practical implementation of the test proposed in Berkes, Horv´ath, Kokoszka, and Shao (2006) designed to distinguish between a change-point model and a long memory model. Our implementation is calibrated to distinguish between a shift in volatility of returns and long memory in squared returns. It uses a kernel estimator of the long-run variance of squared returns with the maximal lag selected by a data driven procedure which depends on the sample size, the location of the estimated change point and the direction of the apparent volatility shift (increase versus decrease). In a simulations study, we also consider other long-run variance estimators, including the VARHAC estimator, but we find that they lead to tests with inferior performance. Applied to returns on indexes and individual stocks, our test indicates that even for the same asset, a change-point model may be preferable for a certain period of time, whereas there is evidence of long memory in another period of time. Generally there is stronger evidence for long memory in the eight years ending June 2006 than in the eight years starting January 1992. This pattern is most pronounced for US stock indexes and shares in the US financial sector.

How to Hedge Against Inflation Risk in Vietnam

2021 ◽  
Author(s):  
T. Thanh-Binh Nguyen
Keyword(s):  
Predictive Power ◽  
Gold Price ◽  
Price Stability ◽  
Leading Indicators ◽  
Inflation Risk ◽  
Monthly Data ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
Us Dollar

Abstract Vietnam has experienced galloping inflation and faced serious dollarization since its reform. To effectively control its inflation for promoting price stability, it is necessary to find efficacious leading indicators and the hedging mechanism. Using monthly data over the period from January 1997 to June 2020, this study finds the predictive power and hedge effectiveness of both gold and the US dollar on inflation in the long-run and short-run within the asymmetric framework. Especially, the response of inflation to the shocks of gold price and the US dollar are quick and decisive, disclosing the sensitiveness of inflation to these two variables.

Prison, Subordination, Inequality: Again on a Marxist Perspective

2021 ◽  
pp. 301-324
Author(s):  
Dario Melossi
Keyword(s):  
Economic Development ◽  
Social Hierarchy ◽  
Capitalist Development ◽  
Economic Cycles ◽  
Inequality Measures ◽  
Class Composition ◽  
Long Run ◽  
The Social ◽  
The Us ◽  
The Relationship

This Chapter advances two claims which are related and sustain each other. The first is that in the contemporary “post-Fordist” world, the coupling of imprisonment and production persists in a relationship, if not between “the prison” and “the factory” – as Dario Melossi and Massimo Pavarini wrote 40 years ago – rather between “the prison” and “subordination”, because what all the multiple forms of “labor” and “non-labor” have in common – and have in common with the origins of protoindustrial capitalism – is subordination. The second is that the traditional reading of the “Rusche and Kirchheimer hypothesis” on the relationship between economic cycles and imprisonment depends on the specific conjuncture and class composition of the capitalist social formation to which it is applied. One thing is economic development in the period of Fordist mass industry and another in the globalized and fragmented labor market of neo-liberalism. Often imprisonment promotes phases of capitalist development rather than crises and recessions. Furthermore, subordination and inequality are strictly linked and feed on each other. Inequality promotes subordination, by putting the squeeze on those who are at the bottom of the social hierarchy; but subordination at the same time promotes inequality, by making sure that those who occupy those bottom positions, stay there. One strong link in the chain of subordination to inequality is penality, because penality reinforces inequality by reaffirming subordination. Data about long-run empirical relationships between imprisonment rates and inequality measures for the US and Italy are discussed.

Growth and returns across countries

2021 ◽  
pp. 78-87
Author(s):  
Jesper Rangvid
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Economic Activity ◽  
Wide Margin ◽  
The Past ◽  
Long Run ◽  
The Us ◽  
Long Run Risk

This chapter examines the relation between long-run economic growth and returns across countries. Have countries that have experienced high GDP growth historically also experienced high stock returns? The chapter contains three main messages. First, there is no clear tendency that countries that have grown fast in the past are also countries that have delivered high stock returns in the past. Second, as in the US, stock prices have in many countries followed economic activity in the long run. Third, real interest rates relate to economic growth across countries in the long run.Another conclusion emerging from this chapter is that long-run stock returns exceed long-run rates of economic growth and long-run risk-free rates by a wide margin.

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