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http://bura.brunel.ac.uk/handle/2438/7083
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Barros, CP | - |
dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2013-01-07T10:59:23Z | - |
dc.date.available | 2013-01-07T10:59:23Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 12-09, May 2012 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7083 | - |
dc.description.abstract | This study examines the time series behaviour of several Angolan macroeconomic variables, using monthly data from August 1996 to June 2011. The series are the inflation rate, M1, M2, the exchange rate at the beginning and the end of the period, and the monthly average exchange rate. In the first stage univariate fractional integration models are estimated in order to determine whether shocks to the variables have transitory or permanent effects. In the second stage fractional cointegration techniques are applied to test for the existence of long-run equilibrium relationships between the variables of interest. The results suggest a high degree of persistence in the individual series (that are not mean-reverting) and the existence of bivariate long-run cointegrating relationships between prices and money, and prices and nominal exchange rates. | en_US |
dc.description.sponsorship | This study is partly funded by the Ministry of Education of Spain (ECO2011-2014 ECON Y FINANZAS, Spain) and from a Jeronimo de Ayanz project of the Government of Navarra. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Macroeconomics | en_US |
dc.subject | Angola | en_US |
dc.subject | Fractional integration and cointegration | en_US |
dc.subject | Persistence | en_US |
dc.title | Long memory in Angolan macroeconomic series: Mean reversion versus explosive behaviour | en_US |
dc.type | Article | en_US |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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