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HERYÁN, Tomáš; STAVÁREK, Daniel - In: European Financial and Accounting Journal 2010 (2010) 3, pp. 42-55

January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …

Persistent link: https://www.econbiz.de/10011195305

Money, stock prices and central banks : cross-country comparisons of cointegrated VAR models

Belke, Ansgar; Wiedmann, Marcel - 2013

In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies - namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil - in the Cointegrated...

Persistent link: https://www.econbiz.de/10010255144

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

Cointegration and Threshold Adjustment

Enders, Walter; Siklos, Pierre L. - 2001

The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two … consider an application where we test for cointegration between long and short US interest rates. Conventional cointegration … testing (i.e., Engle-Granger, Johansen) concludes that interest rates are not cointegrated while we do find cointegration in …

Persistent link: https://www.econbiz.de/10014145753

A New Class of Bivariate Threshold Cointegration Models

Cai, Biqing - 2015

In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a … rate of the cointegrating coefficient is the sample size, which is same as linear cointegration model. The Monte Carlo …

Persistent link: https://www.econbiz.de/10013029366

The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates

Koeda, Junko; Kato, Ryo - Institute for Monetary and Economic Studies, Bank of Japan - 2010

We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage...

Persistent link: https://www.econbiz.de/10008671372

The estimation uncertainty of permanent-transitory decompositions in cointegrated systems

Schreiber, Sven - 2011 - this version: February 2011

The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent …

Persistent link: https://www.econbiz.de/10009530402

Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis

Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014

This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...

Persistent link: https://www.econbiz.de/10011346364

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …

Persistent link: https://www.econbiz.de/10009626747