(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …-periods. -- Structural exchange rate models ; cointegration ; structural breaks ; switching regression ; time-varying coefficient approach …

national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and … ; cointegration ; vector error-correction models …

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …

including the recent period of the financial crisis. Evidence is based on a cointegration analysis, where inflation and asset … demand equation is sufficient, at least as a rough indication. -- Money demand ; inflation ; excess liquidity ; cointegration …

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 …

of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth … survive a battery of specification tests. -- Cointegration analysis ; error correction ; money demand ; financial wealth …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …