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Exchange rate cointegration across central bank regime shifts
Lopez, Jose A. - Federal Reserve Bank of New York - 1996
Foreign exchange rates are examined using cointegration tests over various time periods linked to regime shifts in … exchange market. For example, cointegration is not generally found prior to the Plaza Agreement of September 22, 1985, but it …
Persistent link: https://www.econbiz.de/10005387234
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Cointegration, aggregate consumption, and the demand for imports: a structural econometric investigation
Clarida, Richard H. - Federal Reserve Bank of New York - 1992
Persistent link: https://www.econbiz.de/10005387330
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Error correction mechanisms and short-run expectations
Antzoulatos, Angelos A. - Federal Reserve Bank of New York - 1996
Reflecting the nature of economic decisions, the error correction mechanism (ECM) in the error-correction representation of a system of co-integrated variables may arise from forward-looking behavior. In such a case, the estimated ECM coefficients may misleadingly appear to be insignificant or...
Persistent link: https://www.econbiz.de/10005726650