This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of …

join the European Monetary Union (EMU). We assess the prospects of successful accession into the EMU using cointegration …

Area; US and the rest of the world. By applying univariate unit root tests as well as a multivariate cointegration test, we …

This paper uses cointegration and common trends techniques to investigate empirically the expectations hypothesis of …

USA converges or not to its equilibrium level. Applying cointegration and common trend techniques in the presence of …

Exchange, recently established emerging market. Cointegration as well as linear and nonlinear causality analysis is used in … order to reveal whether there are benefits from domestic portfolio diversification. The cointegration analysis leads to the … conclusion that we are unable to reject the null hypothesis of no cointegration in most bivariate cases of the 56 pairs of …

recently developed I(2) cointegration analysis developed by Johansen (1992, 1995, 1997) extended by Paruolo (1996) and Rahbek … transformation is not imposed on the data but it is shown to satisfy the statistical property of polynomial cointegration. Evidence … is obtained in favor of cointegration between the two sets of variables which is however weakened by the sample …

stock market of Cyprus does not enter significantly the common trends. Finally, we show that although cointegration exists …

-à-vis the Eurozone. Using the Johansen cointegration methodology for a period that begins from the mid-1990s and allowing for a … suggests that the PPP vector enters the cointegration space for Bulgaria, Cyprus, Romania and Slovenia, which means that only …