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processes, implying that cointegration is a necessary condition both for consistent estimation of the parameters of the model … and compatibility between the model and the data. Tests find little support for cointegration and, together with an out …
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This paper analyses the monetary policy interdependence between the European Central Bank (ECB) and the Federal Reserve (Fed) for the period 1999-2006. Two models are specified: a partial Vector Error Correction Model (VECM) and a general VECM. In the partial VECM, we look for a long-run...
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