This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period fromJanuary 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet...

This paper examines the long-run relationship between oil prices and stock market prices of G7 countries by using Robinson (1994a) tests for fractional integration and cointegration instead of the classical approaches. Having found that the unit root null hypothesis cannot be rejected for any...

This paper explores the relationship between gold prices and the US dollar/Turkish lira exchange rate between 1990–2011 by using cointegration and Granger causality analyses. The empirical findings indicate that there is a threshold cointegration relationship between the two variables. The...