cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a … exert relatively autonomous monetary policy. -- Chinese monetary policy ; monetary independence ; cointegration …

. -- New Keynesian Phillips curve ; cointegration ; vector autoregressive model …

the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …

cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the … cointegration vectors inefficient, TVECM necessitate a simultaneous estimation of the cointegration vector(s) and the threshold. As …

money demand model. -- Money Demand ; Parameter Constancy ; Wealth ; Cointegration ; Vector Error Correction Model …

. -- cointegration ; oil market ; futures prices ; price discovery …