differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

-run restrictions than are needed because of a failure to fully utilize the cointegration information. …

Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We …

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First … of different regimes, and thus non-linearities in the link between the exchange rate and its fundamentals. Second, we … are that different sets of macroeconomic fundamentals act as driving forces of the exchange rates during different time …

debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …