Business cycles, financial cycles and capital structure
We perform peridogram based cycle analysis of firm capital structure and find evidence that
firms' leverage is both persistent and cyclical. The cyclicality of leverage is supported by the …
firms' leverage is both persistent and cyclical. The cyclicality of leverage is supported by the …
On the behaviour of Phillips–Perron tests in the presence of persistent cycles
T Del Barrio Castro, PMM Rodrigues… - Oxford Bulletin of …, 2015 - Wiley Online Library
In this paper, we analyse the impact of persistent cycles on the well‐known semi‐parametric
unit root tests of Phillips and Perron (1988, Biometrika, Vol. 75, pp. 335–346). It is shown …
unit root tests of Phillips and Perron (1988, Biometrika, Vol. 75, pp. 335–346). It is shown …
The impact of persistent cycles on zero frequency unit root tests
T Del Barrio Castro, PMM Rodrigues… - Econometric …, 2013 - cambridge.org
In this paper we investigate the impact of persistent (nonstationary or near nonstationary)
cycles on the asymptotic and finite-sample properties of standard unit root tests. Results are …
cycles on the asymptotic and finite-sample properties of standard unit root tests. Results are …
Cyclical and persistent carry trade returns and forward premia
HA Al-Zoubi - Quarterly Journal of Finance, 2017 - World Scientific
We show that carry trade excess returns and forward premia of exchange rates possess
persistent and clear business-cycle patterns. Our results contradict the peso model of …
persistent and clear business-cycle patterns. Our results contradict the peso model of …
The long swings in the spot exchange rates and the complex unit roots hypothesis
HA Al-Zoubi - Journal of International Financial Markets, Institutions …, 2008 - Elsevier
This paper addresses whether the spot exchange rates display long swings and whether
these swings are persistent. The null from the naïve random walk theory is that they do not: if …
these swings are persistent. The null from the naïve random walk theory is that they do not: if …
Cyclical common factors in cointegrated systems
FJ Fernández Macho… - Spanish economic …, 2006 - ekoizpen-zientifikoa.ehu.eus
When working with vectors of time series which fluctuate regularly we may possibly want to
consider the presence of common factors characterized by cyclical or seasonal behavior as …
consider the presence of common factors characterized by cyclical or seasonal behavior as …
Cyclical common factors in cointegrated systems
I Díaz-Emparanza, J Fernández-Macho - Spanish Economic Review, 2006 - Springer
When working with vectors of time series which fluctuate regularly we may possibly want to
consider the presence of common factors characterized by cyclical or seasonal behavior as …
consider the presence of common factors characterized by cyclical or seasonal behavior as …