scholarly journals Risks for the Long-Run and the Time-Series of Asset Returns

2012 ◽  
Author(s):  
Manuel J. Rocha Armada ◽  
Ricardo Sousa
Keyword(s):  
Time Series ◽  
Asset Returns ◽  
Long Run

LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET

2009 ◽  
Vol 13 (5) ◽  
pp. 625-655 ◽  
Author(s):  
Christophre Georges ◽  
John C. Wallace
Keyword(s):  
Time Series ◽  
Financial Market ◽  
Consistency Condition ◽  
Nonlinear Structure ◽  
State Variable ◽  
Bounded Memory ◽  
Long Run ◽  
Finite Memory ◽  
Aggregate Dynamics ◽  
True Structure

In this paper, we explore the consequence of learning to forecast in a very simple environment. Agents have bounded memory and incorrectly believe that there is nonlinear structure underlying the aggregate time series dynamics. Under social learning with finite memory, agents may be unable to learn the true structure of the economy and rather may chase spurious trends, destabilizing the actual aggregate dynamics. We explore the degree to which agents' forecasts are drawn toward a minimal state variable learning equilibrium as well as a weaker long-run consistency condition.

Forecasting Long-Run Coal Price in China: A Shifting Trend Time-Series Approach

2010 ◽  
Vol 14 (3) ◽  
pp. 499-519 ◽  
Author(s):  
Baomin Dong ◽  
Xuefeng Li ◽  
Boqiang Lin
Keyword(s):  
Time Series ◽  
Coal Price ◽  
Long Run ◽  
Time Series Approach

The Impact of Terms of Trade on the Export Structure of Manufactured Products in Different Economic Developing Status

2021 ◽  
Vol 1 (1) ◽  
pp. 59-67
Author(s):  
Kai-Ting Huang ◽  
Keyword(s):  
Time Series ◽  
Terms Of Trade ◽  
Development Status ◽  
Structural Time Series ◽  
Export Structure ◽  
Primary Products ◽  
Long Run ◽  
Deterministic Trend ◽  
Manufactured Products ◽  
The Impact

The Prebisch-Singer Hypothesis states that in structural time series analysis, the terms of trade between primary products and manufacturers have a negative deterministic trend. Many researchers argued that the deterioration in trade is the type of country in which the products are exported, regardless of whether the types of products exported by such countries are primary or manufactured products. This paper employs a development-differentiated model to analyze the correlation between various terms of trade and the export proportion of manufactured products on different economies of development status. In the long run, stable co-integration relations exist between terms of trade and the export proportion of manufactured products for development status. Furthermore, the increased proportion of manufactured products exports is the Granger casualty for the worse terms of trade for several economies of development status. The results demonstrated that changing the terms of trade is significantly influenced by structured changes in the export proportion of manufactured products for the development status of economies.

scholarly journals Causes for Deforestation in Indonesia: Corruption and Palm Tree Plantation

2015 ◽  
Vol 11 (27) ◽  
pp. 120
Author(s):  
Osama Eldeeb ◽  
Petr Prochazka ◽  
Mansoor Maitah
Keyword(s):  
Time Series ◽  
Palm Oil ◽  
Forest Cover ◽  
Palm Tree ◽  
Test Statistics ◽  
Crude Palm Oil ◽  
Tree Plantation ◽  
Long Run ◽  
Corruption Perception ◽  
Forest Cover Loss

<p>Indonesian biodiversity is threatened by massive deforestation. In this research paper, claims that deforestation in Indonesia is caused by corruption and supported by crude palm oil production is verified using time series analysis. Using Engel Granger cointegration test, three time series of data, specifically corruption perception index, rate of deforestation and price of crude palm oil are inspected for a long-run relationship. Test statistics suggests that there is no long-run relationship among these variables. Authors provide several explanations for this result. For example, corruption in Indonesia, as measured by CPI is still very high. This may mean that forest cover loss is possible even though there is a positive change in corruption level. According to the results, crude palm oil price has also no effect upon forest cover loss. This is likely due to very low shut-down price of crude palm oil for which production is still economical.</p>

Long-Run Stockholder Consumption Risk and Asset Returns

2008 ◽  
Author(s):  
Annette Vissing-Jorgensen ◽  
Christopher J. Malloy ◽  
Tobias J. Moskowitz
Keyword(s):  
Asset Returns ◽  
Long Run ◽  
Consumption Risk

scholarly journals Political Stability and its Impact on Economic Growth of Pakistan (1988-2018): A Time Series Analysis

2020 ◽  
Vol 6 (1) ◽  
pp. 273-282
Author(s):  
Majid Hussain Phul ◽  
Muhammad Saleem Rahpoto ◽  
Ghulam Muhammad Mangnejo
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Political Stability ◽  
Series Data ◽  
Explanatory Variables ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Positive Effect

This research paper empirically investigates the outcome of Political stability on economic growth (EG) of Pakistan for the period of 1988 to 2018. Political stability (PS), gross fixed capital formation (GFCF), total labor force (TLF) and Inflation (INF) are important explanatory variables. Whereas for model selection GDPr is used as the dependent variable. To check the stationary of time series data Augmented Dickey Fuller (ADF) unit root (UR) test has been used,  and whereas to find out the long run relationship among variables, OLS method has been used. The analysis the impact of PS on EG (EG) in the short run, VAR model has been used. The outcomes show that all the variables (PS, GFCF, TLF and INF) have a significantly positive effect on the EG of Pakistan in the long run period. But the effect of PS on GDP is smaller. Further, in this research we are trying to see the short run relationship between GDP and other explanatory variables. The outcomes show that PS does not have such effect on GDP in the short run analysis. While GFCF, TLF and INF have significantly positive effect on GDP of Pakistan in the short run period.

scholarly journals Are Soybean Yields Getting a Free Ride From Climate Change? Evidence From Argentine Time Series

2018 ◽  
Author(s):  
Hildegart Ahumada ◽  
Magdalena Cornejo
Keyword(s):  
Climate Change ◽  
Time Series ◽  
Extreme Rainfall ◽  
Co2 Concentration ◽  
Interesting Case ◽  
Extreme Rainfall Events ◽  
Beneficial Effects ◽  
Positive Effects ◽  
Long Run ◽  
Equilibrium Correction

Soybean yields are often indicated as an interesting case of climate change mitigation due to the beneficial effects of CO2 fertilization. In this paper we econometrically study this effect using a time series model of yields in a multivariate framework for a main producer and exporter of this commodity, Argentina. We have to deal with the upward behavior of soybean yields trying to identify which variables are the long-run determinants responsible of its observed trend. With this aim we adopt a partial system approach to estimate subsets of long-run relationships due to climate, technological and economic factors. Using an automatic selection algorithm we evaluate encompassing of the different obtained equilibrium correction models. We found that only technological innovations due to new crop practices and the use of modified seeds explain soybean yield in the long run. Regarding short run determinants we found positive effects associated with the use of standard fertilizers and also from changes in atmospheric CO2 concentration which would suggest a mitigation effect from global warming. However, we also found negative climate effects from periods of droughts associated with La Ni&ntilde;a episodes, high temperatures and extreme rainfall events during the growing season of the plant.

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