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Mean-variance cointegration and the expectations hypothesis
Strohsal, Till; Weber, Enzo - 2011
-variance cointegration we actually find cointegration relations between spreads and premia in US data. -- Expectations Hypothesis ; Holding … Premium ; Persistence ; Cointegration ; GARCH …
Persistent link: https://www.econbiz.de/10008906080
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Codependent VAR models and the pseudo-structural form
Trenkler, Carsten; Weber, Enzo - 2012
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...
Persistent link: https://www.econbiz.de/10011489949
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British interest rate convergence between the US and Europe : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
calculations carried out in a cointegration framework. As the ecidence for the single parities remains unconvincing, UIP and EHT … Currency Union. -- Nominal Convergence ; Cointegration ; UIP ; Term Structure ; Euro Area …
Persistent link: https://www.econbiz.de/10003324208
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Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland - 2018
Persistent link: https://www.econbiz.de/10012197752
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Non-stationary interest rate differentials and the role of monetary policy
Matros, Philipp; Weber, Enzo - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10010281908
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Non-stationary interest rate differentials and the role of monetary policy
Matros, Philipp; Weber, Enzo - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the … ; Monetary Policy Rules ; Cointegration ; Vector-Error Correction Model …
Persistent link: https://www.econbiz.de/10009511974
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The euro and the transatlantic capital market leadership : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
In this paper, the capital market relations between the Euro area and the USA are subject to investigation. Formally based on the uncovered interest rate parity (UIP), first a longrun equilibrium between Euro and US government bond yields is established in backward recursively estimated vector...
Persistent link: https://www.econbiz.de/10003375781
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Common and uncommon sources of growth in Asia Pacific
Weber, Enzo (contributor) - 2006
Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are examined in vector …
Persistent link: https://www.econbiz.de/10003375991
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Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
Matros, Philipp - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10013124253
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Testing for codependence of non-stationary variables
Trenkler, Carsten; Weber, Enzo - 2010
Persistent link: https://www.econbiz.de/10008697059