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Citations for "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK"

by Johansen, Søren & Juselius, Katarina

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  1. Fedderke, J. W. & Liu, W., 2002. "Modelling the determinants of capital flows and capital flight: with an application to South African data from 1960 to 1995," Economic Modelling, Elsevier, vol. 19(3), pages 419-444, May.
  2. Baek, Jungho & Koo, Won W., 2009. "Analyzing Factors Affecting U.S. Food Price Inflation," Agribusiness & Applied Economics Report 54248, North Dakota State University, Department of Agribusiness and Applied Economics.
  3. Johansen, Soren, 2000. "Modelling of cointegration in the vector autoregressive model," Economic Modelling, Elsevier, vol. 17(3), pages 359-373, August.
  4. Bensaid, B. & Boutillier, M., 1997. "Le contrat notionnel : efficience et causalité," Working papers 44, Banque de France.
  5. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  6. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
  7. Fedderke, J.W. & Romm, A.T., 2006. "Growth impact and determinants of foreign direct investment into South Africa, 1956-2003," Economic Modelling, Elsevier, vol. 23(5), pages 738-760, September.
  8. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics.
  9. No, Sung Chul & Salassi, Michael E., 2008. "A Sequential Rationality and Efficiency Test of U.S. Department of Agriculture Program Crop Price Estimates: Rice, Wheat, and Soybeans," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6814, Southern Agricultural Economics Association.
  10. Kawai, Masahiro & Ohara, Hidetaka, 1997. "Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 523-547, December.
  11. Ulph, A. & Valentini, L., 1998. "Is environmental dumping greater when firms are footloose?," Discussion Paper Series In Economics And Econometrics 9819, Economics Division, School of Social Sciences, University of Southampton.
  12. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
  13. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
  14. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
  15. Rault, Christophe, 2000. "Non-causality in VAR-ECM models with purely exogenous long-run paths," Economics Letters, Elsevier, vol. 66(1), pages 7-15, January.
  16. Urban, Dieter M., 2007. "Terms of trade, catch-up, and home-market effect: The example of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 21(4), pages 470-488, December.
  17. Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," Working Paper Series in Economics and Finance 233, Stockholm School of Economics.
  18. Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.
  19. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October.
  20. Johannes Fedderke & Željko Bogetic, 2005. "Infrastructure and Growth in South Africa: Direct and Indirect Productivity Impacts of 19 Infrastructure Measures," Working Papers 39, Economic Research Southern Africa.
  21. Juan Carlos Cuestas & Javier Ordoñez Monfort & Maria Amparo Camarero Olivas, 2006. "Nonlinear trend stationary of real exchange rates: The case of the Mediterranean countries," Working Papers. Serie AD 2006-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  22. Duasa, Jarita & Kassim, Salina, 2008. "Herd behaviour in Malaysian capital market: An empirical analysis," MPRA Paper 13303, University Library of Munich, Germany.
  23. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
  24. MacDonald, Ronald & Marsh, Ian W., 2004. "Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 99-111, February.
  25. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  26. Zhong, Maosen & Darrat, Ali F. & Anderson, Dwight C., 2003. "Do US stock prices deviate from their fundamental values? Some new evidence," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 673-697, April.
  27. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04.
  28. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
  29. Jongwanich, Juthathip, 2009. "Equilibrium Real Exchange Rate, Misalignment, and Export Performance in Developing Asia," ADB Economics Working Paper Series 151, Asian Development Bank.
  30. Mark McGillivray & Farhad Noorbakhsh, . "Aid, Conflict and Human Development," Working Papers 2007_03, Business School - Economics, University of Glasgow.
  31. Asteriou, D. & Agiomirgianakis, G. M., 2001. "Human capital and economic growth: Time series evidence from Greece," Journal of Policy Modeling, Elsevier, vol. 23(5), pages 481-489, July.
  32. Baek, Jungho & Koo, Won W., 2006. "Price Dynamics in the North American Wheat Market," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 35(2), October.
  33. Christev, Atanas & Noorbakhsh, Abbas, 2000. "Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries," Global Finance Journal, Elsevier, vol. 11(1-2), pages 87-108.
  34. Beirne, John & Bijsterbosch, Martin, 2011. "Exchange rate pass-through in central and eastern European EU Member States," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 241-254, March.
  35. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  36. Kenneth A. Froot & Kenneth Rogoff, 1996. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
  37. Philippe Gudin de Vallerin & Stéphane Capet, 1993. "Fonctions d'importations et d'exportations : l'apport de la théorie économétrique récente," Économie et Prévision, Programme National Persée, vol. 107(1), pages 15-36.
  38. Jacobson, Tor & Larsson, Rolf, 1997. "Numerical aspects of a likelihood ratio test statistic for cointegrating rank," Computational Statistics & Data Analysis, Elsevier, vol. 23(4), pages 453-465, February.
  39. Koi Nyen Wong, 2008. "Disaggregated export demand of Malaysia: evidence from the electronics industry," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-14.
  40. Rashid, Shahidur, 2002. "Dynamics of agricultural wage and rice price in Bangladesh," MTID discussion papers 44, International Food Policy Research Institute (IFPRI).
  41. Ferda Halicioglu, 2005. "Defense Spending and economic growth in Turkey: an empirical application of new macroeconomic theory," Macroeconomics 0504011, EconWPA.
  42. Baliamoune-Lutz, Mina N., 2006. "Financial Reform and the Mobilization of Domestic Savings: The Experience of Morocco," Working Paper Series RP2006/100, World Institute for Development Economic Research (UNU-WIDER).
  43. Dimitris Hatzinikolaou & Metodey Polasek, 2005. "The commodity-currency view of the Australian dollar: A multivariate cointegration approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 81-99, May.
  44. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June.
  45. M. T. Alguacil & V. Orts, . "Inward Foreign Direct Investment and Imports in Spain," Working Papers on International Economics and Finance 02-01, FEDEA.
  46. Song, Nianfu & Chang, Sun Joseph & Aguilar, Francisco X., 2011. "U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations," Journal of Forest Economics, Elsevier, vol. 17(1), pages 19-33, January.
  47. Park, Haesun & Mjelde, James W. & Bessler, David A., 2006. "Price dynamics among U.S. electricity spot markets," Energy Economics, Elsevier, vol. 28(1), pages 81-101, January.
  48. Dobrescu, Emilian, 2001. "Macromodel estimations for the Romanian "pre-accession economic programme," MPRA Paper 35793, University Library of Munich, Germany.
  49. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
  50. Crowder, William J., 1996. "The international convergence of inflation rates during fixed and floating exchange rate regimes," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 551-575, August.
  51. Mukerji, S., 1995. "A theory of play for games in strategic form when rationality is not common knowledge," Discussion Paper Series In Economics And Econometrics 9519, Economics Division, School of Social Sciences, University of Southampton.
  52. Verma, R. & Wilson, E.J., 2005. "Savings, Investment, Foreign Inflows and Economic Growth of the Indian Economy 1950-2001," Economics Working Papers wp05-23, School of Economics, University of Wollongong, NSW, Australia.
  53. Amano, Robert & Coletti , Don & Murchison , Stephen, 2000. "Empirical Estimation and the Quarterly Projection Model: An Example Focusing on the External Sector," Working Paper Series 104, Sveriges Riksbank (Central Bank of Sweden).
  54. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
  55. Mourmouras, I.A. & Ghosh, S., 1997. "Fiscal policies and the terms of trade in an endogenous growth model with overlapping generations," Discussion Paper Series In Economics And Econometrics 9719, Economics Division, School of Social Sciences, University of Southampton.
  56. Tor Jacobson & Henry Ohlsson, 2000. "Working time, employment, and work sharing: Evidence from Sweden," Empirical Economics, Springer, vol. 25(1), pages 169-187.
  57. Ogundele, Femi, 2007. "Trade Liberalization And Import Demand For Rice In Nigeria: A Dynamic Modelling," Journal of Rural Economics and Development, University of Ibadan, Department of Agricultural Economics, vol. 16.
  58. Frédéric Lerais & Hervé Le Bihan & Eric Heyer, 2000. "Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen," Économie et Prévision, Programme National Persée, vol. 146(5), pages 43-60.
  59. Mayes, David & Vilmunen, Jouko, 1999. "Unemployment in a Small Open Economy: Finland and New Zealand," Research Discussion Papers 10/1999, Bank of Finland.
  60. Lee, Bong-Soo, 1996. "Comovements of earnings, dividends, and stock prices," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 327-346, December.
  61. Syed Muhammad Tariq & Kent Matthews, 1997. "The Demand for Simple-sum and Divisia Monetary Aggregates for Pakistan: A Cointegration Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 36(3), pages 275-291.
  62. Pina, Gilson M. G., 2013. "Mudança estrutural e a relação entre os setores em Cabo Verde
    [Structural change and the sectoral linkage in Cape Verde]
    ," MPRA Paper 46015, University Library of Munich, Germany.
  63. M., Azali & Lee, Chin, 2009. "Asian Financial Integration during the Pre- and Post-crisis Periods," MPRA Paper 40656, University Library of Munich, Germany, revised 2009.
  64. Duasa, Jarita, 2008. "Impact of exchange rate shock on prices of imports and exports," MPRA Paper 11624, University Library of Munich, Germany.
  65. Boriss Siliverstovs, 2007. "Dynamic Modelling of the Demand for Money in Latvia," Discussion Papers of DIW Berlin 703, DIW Berlin, German Institute for Economic Research.
  66. Brissimis, Sophocles N. & Kosma, Theodora, 2005. "Market power, innovative activity and exchange rate pass-through in the euro area," Working Paper Series 0531, European Central Bank.
  67. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  68. Hilde Christiane Bjørnland & Håvard Hungnes, 2002. "Fundamental determinants of the long run real exchange rate: The case of Norway," Discussion Papers 326, Research Department of Statistics Norway.
  69. Mohsen Bahmani-Oskooee, 1998. "Cointegration Approach to Estimate the Long-Run Trade Elasticities in LDCs," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 89-96.
  70. Jacint Balaguer & Manuel Cantavella-Jordá, 2000. "Tourism As A Long-Run Economic Growth Factor: The Spanish Case," Working Papers. Serie EC 2000-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  71. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
  72. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany.
  73. Corrado Macchiarelli, 2013. "On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 519-535, 08.
  74. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
  75. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
  76. Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
  77. Korap, Levent & Aslan, Özgür, 2010. "Re-examination of the long-run purchasing power parity: further evidence from Turkey," MPRA Paper 26273, University Library of Munich, Germany.
  78. Gabriel Rodriguez & Nicholas Rowe, 2002. "Why U.S. Money does not Cause U.S. Output, but does Cause Hong Kong Output," Working Papers 0201E, University of Ottawa, Department of Economics.
  79. Boateng, Agyenim & Hua, Xiuping & Uddin, Moshfique & Du, Min, 2014. "Home country macroeconomic factors on outward cross-border mergers and acquisitions: Evidence from the UK," Research in International Business and Finance, Elsevier, vol. 30(C), pages 202-216.
  80. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
  81. Tswei, Keshin, 2013. "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1062-1078.
  82. João Gaspar & Gilson Pina & Marta C. N. Simões, 2014. "Agriculture in Portugal: linkages with industry and services," GEMF Working Papers 2014-04, GEMF - Faculdade de Economia, Universidade de Coimbra.
  83. Malin Adolfson, 1997. "Exchange rate pass-through to Swedish import prices," Finnish Economic Papers, Finnish Economic Association, vol. 10(2), pages 81-98, Autumn.
  84. Rangvid, Jesper & Sorensen, Carsten, 2001. "Determinants of the implied shadow exchange rates from a target zone," European Economic Review, Elsevier, vol. 45(9), pages 1665-1696, October.
  85. Juha Kilponen & David Mayes & Jouko Vilmunen, 1999. "Labour Market Flexibility in Northern Europe," One Europe or Several? Working Papers 2, One-Europe Programme.
  86. Feenstra, R.C. & Kendall, J.D., 1994. "Pass-Through of Exchange Rates and Purchasing Power Parity," Papers 1994-06, Tasmania - Department of Economics.
  87. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
  88. Luintel, Kul B. & Khan, Mosahid, 1999. "A quantitative reassessment of the finance-growth nexus: evidence from a multivariate VAR," Journal of Development Economics, Elsevier, vol. 60(2), pages 381-405, December.
  89. Maria Perez Jurado & Juan Luis Vega, 1994. "Paridad del poder de compra: un análisis empírico," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 539-556, September.
  90. Zapata, Hector O & Rambaldi, Alicia N, 1997. "Monte Carlo Evidence on Cointegration and Causation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 285-98, May.
  91. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  92. Boriss Siliverstovs & Dierk Herzer, 2007. "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 153-167.
  93. María Lorena Marí del Cristo & Marta Gómez-Puig, 2013. "“Fiscal sustainability and fiscal shocks in a dollarized and oil-exporting country: Ecuador”," IREA Working Papers 201306, University of Barcelona, Research Institute of Applied Economics, revised Apr 2013.
  94. Md abdul Wadud, 2009. "Financial development and economic growth: a cointegration and error-correction modeling approach for south Asian countries," Economics Bulletin, AccessEcon, vol. 29(3), pages 1670-1677.
  95. Rashid, Abdul & Ling, Jeffrey, 2009. "Fundamentals and Exchange Rates: Evidence from ASEAN-5," MPRA Paper 22451, University Library of Munich, Germany.
  96. M.T. Alguacil & V. Orts, . "A multivariate cointegrated model testing for temporal causality between exports and outward FDI: The Spanish case," Studies on the Spanish Economy 50, FEDEA.
  97. Lopez-Calix, Jose R., 1998. "Are Pick data on parallel exchange rates misleading?," Economics Letters, Elsevier, vol. 59(2), pages 223-230, May.
  98. Dominick Stephens, 2004. "The equilibrium exchange rate according to PPP and UIP," Reserve Bank of New Zealand Discussion Paper Series DP 2004/03, Reserve Bank of New Zealand.
  99. Nidhaleddine Ben Cheikh & Waël Louhichi, 2013. "The Exchange Rate Pass-Through in a Cointegrated VAR Model," Working Papers halshs-00879270, HAL.
  100. Katsuya Ito, 2008. "Oil price and macroeconomy in Russia," Economics Bulletin, AccessEcon, vol. 17(17), pages 1-9.
  101. Marcos Poplawski-Ribeiro & Darlena Tartari & Carlos Caceres, 2011. "Inflation Dynamics in the CEMAC Region," IMF Working Papers 11/232, International Monetary Fund.
  102. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
  103. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
  104. Zhou, Su, 2003. "Interest rate linkages within the European Monetary System: new evidence incorporating long-run trends," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 571-590, August.
  105. Urbain, Jean-Pierre, 1996. "Japanese import behavior and cointegration: A comment," Journal of Policy Modeling, Elsevier, vol. 18(6), pages 583-601, December.
  106. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.
  107. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 551-577.
  108. Jaya Krishnakumar & David Neto, 2009. "Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM," Research Papers by the Department of Economics, University of Geneva 2009.06, Département des Sciences Économiques, Université de Genève.
  109. Daniel M'Amanja, & Oliver Morrissey, . "Foreign Aid, Investment and Economic Growth in Kenya: a Time Series Approach," Discussion Papers 06/05, University of Nottingham, CREDIT.
  110. Subramaniam, Vijay & Reed, Michael R., 2009. "Agricultural Inter-Sectoral Linkages and Its Contribution to Economic Growth in the Transition Countries," 2009 Conference, August 16-22, 2009, Beijing, China 51586, International Association of Agricultural Economists.
  111. Kia, Amir & Darrat, Ali F., 2007. "Modeling money demand under the profit-sharing banking scheme: Some evidence on policy invariance and long-run stability," Global Finance Journal, Elsevier, vol. 18(1), pages 104-123.
  112. Sinem Derindere Koseoglu & Ali Ozgür Karagülle, 2013. "Portfolio Diversification Benefits In Shipping Industry: A Cointegration Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 017-128, December.
  113. Darrat, Ali F., 2002. "The relative efficiency of interest-free monetary system: some empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 747-764.
  114. Babula, Ronald A. & Bessler, David A. & Reeder, John & Somwaru, Agapi, 2004. "Modeling U.S. Soy-Based Markets with Directed Acyclic Graphs and Time Series Econometrics: Evaluating the U.S. Market Impacts of High Soy Meal Prices," Working Paper ID Series 15885, United States International Trade Commission, Office of Industries.
  115. Dua, Pami & Pandit, B. L., 2002. "Interest rate determination in India: domestic and external factors," Journal of Policy Modeling, Elsevier, vol. 24(9), pages 853-875, December.
  116. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.
  117. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
  118. Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers 2004:29, Lund University, Department of Economics.
  119. Peijie Wang & Colin Lizieri & George Matysiak, 1997. "Information asymmetry, long-run relationship and price discovery in property investment markets," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 261-275.
  120. Kia, Amir, 2010. "Overnight monetary policy in the United States: Active or interest-rate smoothing?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 378-391, March.
  121. Price, Simon & Nasim, Anjum, 1998. "Modelling inflation and the demand for money in Pakistan; cointegration and the causal structure," Economic Modelling, Elsevier, vol. 16(1), pages 87-103, January.
  122. M Pesaran & Yongcheol Shin, 2004. "Long-Run Structural Modelling," ESE Discussion Papers 44, Edinburgh School of Economics, University of Edinburgh.
  123. Rayner, J., 1992. "Identification of structural VARs," Discussion Paper Series In Economics And Econometrics 9219, Economics Division, School of Social Sciences, University of Southampton.
  124. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
  125. M. Faizul Islam & Mohammad S. Hasan, 2006. "The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 5(2), pages 129-145, August.
  126. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
  127. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  128. Gwenhamo, Farayi & Fedderke, Johannes W., 2013. "The composition of foreign capital stocks in South Africa: The role of institutions, domestic risk and neighbourhood effects," Economic Modelling, Elsevier, vol. 35(C), pages 763-770.
  129. Guglielmo Caporale & Nikitas Pittis, 2001. "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(3), pages 501-524, September.
  130. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  131. João Tovar Jalles, 2010. "Inter-country trade dependence and inflation transmission mechanisms: The case of a small open African economy," International Journal of Development Issues, Emerald Group Publishing, vol. 9(3), pages 198-213, July.
  132. Halicioglu Ferda, 2005. "An Econometric Analysis Of The Effects Of Aggregate Defense Spending On Aggregate Output: The Case Of Turkey, 1950-2002," Macroeconomics 0503009, EconWPA.
  133. Anella Munro, 2005. "UIP, Expectations and the Kiwi," Reserve Bank of New Zealand Discussion Paper Series DP2005/05, Reserve Bank of New Zealand.
  134. Rodolfo Helg & Massimiliano Serati, . "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  135. Babula, Ronald A. & Bessler, David A. & Rogowsky, Robert A., 2005. "Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs," Working Paper ID Series 15880, United States International Trade Commission, Office of Industries.
  136. Kleimeier, Stefanie & Sander, Harald, 2000. "Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1005-1043, June.
  137. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  138. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  139. Zeljko Bogetic & Johannes Fedderke, 2005. "Infrastructure and Growth in South Africa: Benchmarking, Productivity and Investment Needs, paper presented at Economic Society of South Africa (ESSA) Conference, Durban, 9/7-9/2005," Public Economics 0510006, EconWPA.
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