classical Optimal Currency Area (OCA) criterion of positively correlated shocks with the European Monetary Union (EMU). We … EMU aggregate – except for Sweden. Instead, the business cycles in most of the other countries exhibit only a very weak …

classical Optimal Currency Area (OCA) criterion of positively correlated shocks with the European Monetary Union (EMU). We … EMU aggregate - except for Sweden. Instead, the business cycles in most of the other countries exhibit only a very weak …

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …

Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …

interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …