Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Zisimos Koustas"'
Publikováno v:
Applied Economics. 42:237-248
This article utilizes tests for a unit root that have power against nonlinear alternatives to provide empirical evidence on the time series properties of the ex-post real interest rate in the G7 countries. We find that the unit root hypothesis can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f743a7779d5e031a32896cc389374285
https://doi.org/10.1080/00036840701579242
https://doi.org/10.1080/00036840701579242
Publikováno v:
Chaos, Solitons & Fractals. 37:43-48
This paper extends the work in Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 2003;17:449–54.] and Elder and Serletis [Elder J, Serletis A. On f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3117a3d1fd2a15aaab562fdf331ca761
https://doi.org/10.1016/j.chaos.2006.11.024
https://doi.org/10.1016/j.chaos.2006.11.024
Autor:
Apostolos Serletis, Zisimos Koustas
Publikováno v:
Economic Inquiry. 39:124-138
ZISIMOS KOUSTAS [*] This article tests the long-run neutrality of money proposition using quarterly U.S. data over the period from 1960:1 to 1996:2 and the methodology suggested by King and Watson (1997), paying particular attention to the integratio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::584c88b5601633c600d928d723f20088
https://doi.org/10.1111/j.1465-7295.2001.tb00055.x
https://doi.org/10.1111/j.1465-7295.2001.tb00055.x
Autor:
Apostolos Serletis, Zisimos Koustas
We test the long-run neutrality of money proposition for the United States paying attention to the integration and cointegration properties of the variables. We use quarterly data (over the period from 1967:1 to 2014:1) and the new Center for Financi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a697f71fbf9758aa6b86d4cd2c575b04
http://econ.ucalgary.ca/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-6210887/Koustas-Serletis_Neutrality_Paper.pdf
http://econ.ucalgary.ca/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-6210887/Koustas-Serletis_Neutrality_Paper.pdf
Autor:
Zisimos Koustas, Apostolos Serletis
Publikováno v:
Journal of Banking & Finance. 29:2523-2539
Tests for fractional integration in the S&P 500 log dividend yield are conducted in order to test the proposition that exogenous shocks have permanent effects. The presence of a unit root in the log dividend yield is consistent with ‘rational bubbl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f48a40650faf60f27e423ea5d3fc1ca
https://doi.org/10.1016/j.jbankfin.2004.09.003
https://doi.org/10.1016/j.jbankfin.2004.09.003
Autor:
Apostolos Serletis, Zisimos Koustas
Publikováno v:
Economic Modelling. 20:679-701
The empirical methodology recently developed [Econ. Q. 83 (1997) p. 69] is employed to test for a zero long-run elasticity of the rate of unemployment with respect to permanent shocks in the rate of inflation. We use quarterly data spanning the last
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba7c505c22a1f5dbb53796a6cc5987ed
https://doi.org/10.1016/s0264-9993(02)00002-0
https://doi.org/10.1016/s0264-9993(02)00002-0
Autor:
Apostolos Serletis, Zisimos Koustas
Publikováno v:
Journal of Monetary Economics. 44:105-130
We use post-war quarterly data for Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Japan, the Netherlands, the United Kingdom and the United States to examine the Fisherian link between inflation and short-term nominal interest rates. In
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58f479f279c3448477b18e3f48f8f119
https://doi.org/10.1016/s0304-3932(99)00017-3
https://doi.org/10.1016/s0304-3932(99)00017-3
Autor:
Zisimos Koustas
Publikováno v:
Journal of Macroeconomics. 20:397-411
The empirical methodology developed by King and Watson (1992) is employed to test the validity of a number of long-run neutrality propositions in the Canadian context. We test for long-run money neutrality, the vertical long-run Phillips curve, and t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ab3784ffe4a80aee4316c7542759e613
https://doi.org/10.1016/s0164-0704(98)00065-2
https://doi.org/10.1016/s0164-0704(98)00065-2
Autor:
William Veloce, Zisimos Koustas
Publikováno v:
Applied Economics. 28:823-831
Long-memory univariate time series models, known as ARFIMA, are applied to measure shock persistence for Canada and the USA. Both output and unemployment exhibit higher persistence in Canada than in the USA. The finding that the rate of unemployment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e2569bb50dc508dd90b137cd41277aa
https://doi.org/10.1080/000368496328263
https://doi.org/10.1080/000368496328263
This article studies nonlinear, threshold, models in which some of the regressors can be endogenous. An estimation strategy based on instrumental variables was originally developed for dynamic panel models and we extend it to time series models. We a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf830c0adf5d421a0888a49580844ce8
https://brocku.ca/repec/pdf/0909.pdf
https://brocku.ca/repec/pdf/0909.pdf