The subject of this paper tackles macroeconomic integration of the South-East Asian countries South Korea, Singapore and Taiwan. Economically, the analysis is based on notions of stochastic long-run convergence and business cycle synchrony in the GDPs. According tests for cointegration and...

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and...

This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector error correction models (VECMs). The results confirm the...

The Expectations Hypothesis of the Term Structure (EHT) implies cointegration between interest rates of different maturities and predicts certain values for adjustment speed. We estimate reduced-form Vector Error Correction Models (VECMs) of the US term structure. These are derived from a...

Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive...

In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and...

Nach Meinung von Hans Fehr, Lehrstuhl für Finanzwissenschaft, Universität Würzburg, belastet der aktuelle Gesetzentwurf zur Reform der Rentenversicherung pauschal die Beitragszahler, konterkariert die eingeleitete Anhebung des Rentenzugangsalters und hilft nur wenig gegen die künftig...

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so-called pseudo-structural form used in the literature. Codependence of order q is given if a linear combination of autocorrelated variables eliminates the serial correlation after q...

We develop new evidence on job recruitments and vacancy durations using a rich source of data on individual hires. Our core data set contains 55,000 recruitments into vacant job positions for stratified random samples of German employers from 2000 to 2010. We have information about the employer,...

The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates. We explain the non-stationarity of the interest differential via central bank reactions to exchange rate...