The Wald test for linear restrictions on cointegrating vectors is compared infinite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al (1994) and of Johansen (1991), the canonical cointegration method of Park (1992) the dynamic...

Transmission mechanisms are the channels through which monetary policy affects macroeconomic variables, such as GDP and inflation. Differences in transmission mechanisms can generate asymmetric behaviour among currency union partners when they experience shocks. This has the potential to widen...

There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests...