and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence … the direction of potential causality between financial and economic development. Our results conclude to the existence of … a single cointegrating vector between financial development and growth and of causality going from financial development …

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …

Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …

cointegration and the estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject …

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

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …