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Abstract (English)
This thesis is concerned with the statistical modelling of long-run equilibrium relationships between economic variables. It comprises of four main chapters - each representing a standalone research paper. The connecting thread is the use of nonlinear cointegration models. More precisely: Chapter 2, Asymmetric price transmission in the US and German fuel markets: A quantile autoregression approach, proposes a new econometric model for asymmetric price transmissions using quantile regressions. Chapter 3, Are gold and silver cointegrated? New evidence from quantile cointegration, investigates the potentially nonlinear long-run relationship between gold and silver prices. Chapter 4, Testing for cointegration with SETAR adjustment in the presence of structural breaks, develops a new cointegration test with SETAR adjustment allowing for the presence of structural breaks in the equilibrium equation. Chapter 5, A Markov regime-switching model of crude oil market integration, revisits the globalization-regionalization hypothesis for the world crude oil using a Markov-switching vector error correction model.
Abstract (German)
Diese Arbeit beschäftigt sich mit der statistischen Modellierung von langfristigen Gleichgewichtsbeziehungen ökonomischer Variablen. Die Arbeit besteht im Wesentlichen aus vier Kapiteln, die jeweils eine separate Forschungsarbeit enthalten. Dabei dient die Verwendung von nichtlinearen Kointegrationsmodellen als Bindeglied. Kapitel 2, „Asymmetric price transmission in the US and German fuel markets: A quantile autoregression approach“, diskutiert ein neues ökonometrisches Modell für asymmetrische Preistransmissionen. Kapitel 3, “Are gold and silver cointegrated? New evidence from quantile cointegration“, untersucht die möglicherweise nichtlineare Langfristbeziehung zwischen Gold- und Silberpreisen. Kapitel 4, „Testing for cointegration with SETAR adjustment in the presence of structural breaks“, entwickelt einen neuen Kointegrationstest mit SETAR Adjustierung und der Möglichkeit von Strukturbrüchen in der Gleichgewichtbeziehung. Kapitel 5, „A Markov regime-switching model of crude oil market integration“, untersucht die globalization-regionalization Hypothese für den globalen Rohölmarkt mittels eines Markov-switching Kointegrationsmodells.
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Notes
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Publication series
Published in
Faculty
Faculty of Business, Economics and Social Sciences
Institute
Institute of Economics
Examination date
2017-07-12
Supervisor
Edition / version
Citation
Identification
DOI
ISSN
ISBN
Language
English
Publisher
Publisher place
Classification (DDC)
330 Economics
Collections
Original object
Free keywords
Cointegration Nonstationary Nonlinear Structural breaks Adjustment Time series econometrics Commodities Crude oil Fuel prices
Standardized keywords (GND)
Kointegration Zeitreihenanalyse Rohstoff Ökonometrie
Sustainable Development Goals
BibTeX
@phdthesis{Schweikert2017,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/6170},
author = {Schweikert, Karsten},
title = {Modelling nonlinearities in cointegration relationships},
year = {2017},
school = {Universität Hohenheim},
}