Relationships between the Federal funds rate, unemployment, inflation and the long-term bond rate are investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment and the bond rate. This relationship is interpretable as a policy...

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend...