This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we used the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) to the case when the...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) in the case when the...

This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the U.S. Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three-step testing procedure based on...

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan stock prices indices are pairwise fractionally...

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a time-varying transition...

This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices...

This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset...

We revisit the evidence of the existence of a long -run link between financial intermediation and economic growth, by testing of cointegration between the growth rate of real GDP, control variables and three series reflecting financial intermediation. We consider a model with a factor structure...

In the literature, two important views concerning the conduct of monetary policy are construed. One view is that the central banks' monetary policy must be credible if the authorities want to curb inflation. A second view is that central banks set their monetary policy by using all the...