Farrukh

Mahmood, Farrukh (2017): Farrukh.

Abstract

“What is data and what it means” can only be understood by using Visualisation. Visualization helps us to observe whether data is according to economic theory or not, and also hilight different issues within data as well. By employing visualization, we found only a few series upon which, we can really apply co-integration. Furthermore, co-integration equation of Wang and Lee (2009) found misspecified due to ARCH effect. After adjusting it, we found significantly different results for the co-integration (for same data set). This significant difference is not only in empirical models but also in implication as well. For example, in the case of the US, we found a complete pass through for the deposit rate model.

• Item Type: MPRA Paper
• Language: English
• Keywords: Data visualization, Co-integration, ARCH effect, Model specification, interest rate pass through
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services

References

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