/or stochastic structural breaks. We detect significant differences across countries. Cointegration between the Euribor and the long …

January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …

cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …

framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not …

series where one would normally be expected on economic theory grounds. Among these are the testing procedure (e.g., Engle …)), and the presence of cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the … concept of regime sensitive cointegration whereby the underlying series need not be cointegrated at all times. We show that …

cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …

instability tests recently proposed in Kejriwal and Perron (2009) as well as the cointegration test in Arai and Kurozumi (2007 …) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration. …