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Citations for "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates"

by Enders, Walter & Granger, C. W. J.

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  1. Andrew Phiri, 2012. "Threshold effects and inflation persistence in South Africa," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 4(3), pages 247-269, August.
  2. Valadkhani, Abbas, 2013. "Do petrol prices rise faster than they fall when the market shows significant disequilibria?," Energy Economics, Elsevier, vol. 39(C), pages 66-80.
  3. Andy Snell & George Kapetanios & Yongcheol Shin, 2004. "Testing for nonlinear cointegration between stock prices and dividends," Money Macro and Finance (MMF) Research Group Conference 2003 90, Money Macro and Finance Research Group.
  4. James E. Payne & George A. Waters, 2005. "REIT markets: periodically collapsing negative bubbles?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 65-69, March.
  5. repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
  6. repec:ebl:ecbull:v:7:y:2007:i:4:p:1-12 is not listed on IDEAS
  7. Sun, Changyou, 2011. "Price dynamics in the import wooden bed market of the United States," Forest Policy and Economics, Elsevier, vol. 13(6), pages 479-487, July.
  8. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  9. Apergis, Nicholas & Payne, James E., 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, vol. 23(1), pages 46-53.
  10. Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
  11. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 567-585, September.
  12. Steve Cook, 2003. "The properties of asymmetric unit root tests in the presence of mis-specified asymmetry," Economics Bulletin, AccessEcon, vol. 3(10), pages 1-10.
  13. Sarno, Lucio & Thornton, Daniel L, 2002. "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers 3225, C.E.P.R. Discussion Papers.
  14. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  15. T.P. Koirala Ph.D., 2012. "Inflation Persistence in Nepal: A TAR Representation," NRB working Paper 11/2012, Nepal Rastra Bank, Research Department.
  16. Paresh Kumar Narayan, 2007. "Are Nominal Exchange Rates and Price Levels Co-Integrated? New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive Models," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 74-85, 03.
  17. Afshin Honarvar, 2010. "Modeling of Asymmetry between Gasoline and Crude Oil Prices: A Monte Carlo Comparison," Computational Economics, Society for Computational Economics, vol. 36(3), pages 237-262, October.
  18. Cook, Steven, 2003. "Modified unit root tests and momentum threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 83-88, August.
  19. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
  20. Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
  21. Richard Harris & Brian Silverstone, 2000. "Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun's Law," Working Papers in Economics 00/02, University of Waikato, Department of Economics.
  22. Guneratne Banda Wickremasinghe & Param Silvapulle, 2004. "Exchange Rate Pass-Through to Manufactured Import Prices: The Case of Japan," International Trade 0406006, EconWPA.
  23. Hassan Mohammadi & Mohammad Jahan-Parvar, 2012. "Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models," Journal of Economics and Finance, Springer, vol. 36(3), pages 766-779, July.
  24. George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary, University of London, School of Economics and Finance.
  25. Muhammad, Yusuf, 2013. "Corruption, Inequality of Income and economic Growth in Nigeria," MPRA Paper 52348, University Library of Munich, Germany.
  26. Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan, 2011. "Asymmetric convergence in US financial credit default swap sector index markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 408-418.
  27. Li, Jing, 2006. "Testing Granger Causality in the presence of threshold effects," International Journal of Forecasting, Elsevier, vol. 22(4), pages 771-780.
  28. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
  29. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  30. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economics Papers from University Paris Dauphine 123456789/6970, Paris Dauphine University.
  31. Cook, Steven, 2007. "A threshold cointegration test with increased power," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(6), pages 386-392.
  32. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
  33. Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
  34. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
  35. Yu-Shan Wang & Chung-Gee Lin & Shih-Chieh Shih, 2011. "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing, vol. 3(3), pages 369-382, September.
  36. Park, Joon Y. & Whang, Yoon-Jae, 2004. "A Test of the Martingale Hypothesis," Working Papers 2004-11, Rice University, Department of Economics.
  37. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
  38. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, 07.
  39. Sergio Da Silva & Mauricio Nunes, 2008. "Explosive and periodically collapsing bubbles in emerging stockmarkets," Economics Bulletin, AccessEcon, vol. 3(46), pages 1-18.
  40. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," Working Papers 81, Institute of Empirical Economic Research.
  41. Osama D. Sweidan, 2008. "Does Policy Interest Rate Have Asymmetric Adjustment: Case Of Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 151-158.
  42. Trachanas, Emmanouil & Katrakilidis, Constantinos, 2013. "Fiscal deficits under financial pressure and insolvency: Evidence for Italy, Greece and Spain," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 730-749.
  43. Alexandra Krystalogianni & Sotiris Tsolacos, 2005. "Regime switching in yield structures and real estate investment," Journal of Property Research, Taylor & Francis Journals, vol. 21(4), pages 279-299, May.
  44. Gawon Yoon, 2010. "Nonlinearity in real exchange rates: an approach with disaggregated data and a new linearity test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1125-1132.
  45. Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010. "Asymmetric Adjustments in the Ethanol and Grains Markets," KIER Working Papers 752, Kyoto University, Institute of Economic Research.
  46. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
  47. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  48. A. Robert Nobay & Ivan Paya & David A. Peel, 2007. "Inflation dynamics in the US - a nonlinear perspective," LSE Research Online Documents on Economics 24499, London School of Economics and Political Science, LSE Library.
  49. Mensah, Justice Tei, 2014. "Carbon emissions, energy consumption and output: A threshold analysis on the causal dynamics in emerging African economies," Energy Policy, Elsevier, vol. 70(C), pages 172-182.
  50. Teresa Serra & Barry Goodwin, 2003. "Price transmission and asymmetric adjustment in the Spanish dairy sector," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1889-1899.
  51. Shin, Dong Wan & Lee, Oesook, 2007. "Asymmetry and nonstationarity for a seasonal time series model," Journal of Econometrics, Elsevier, vol. 136(1), pages 89-114, January.
  52. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
  53. Ghassan, Hassan B. & AlDehailan, Salman, 2009. "اختبار التكامل المشترك غير الخطي بين الاستثمار الحكومي والاستثمار الخاص في الاقتصاد السعودي
    [Test of Non Linear Cointe
    ," MPRA Paper 56376, University Library of Munich, Germany, revised 04 Dec 2009.
  54. J. Easaw J. & R. Golinelli, 2009. "Households Forming Inflation Expectations: Who Are the 'Active' and 'Passive' Learners?," Working Papers 675, Dipartimento Scienze Economiche, Universita' di Bologna.
  55. Mohammadi, Hassan, 2011. "Market integration and price transmission in the U.S. natural gas market: From the wellhead to end use markets," Energy Economics, Elsevier, vol. 33(2), pages 227-235, March.
  56. Valadkhani, Abbas, 2013. "Modelling the terminal gate prices of unleaded petrol in Australia," Economic Modelling, Elsevier, vol. 33(C), pages 233-243.
  57. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
  58. Koutroumanidis, Theodoros & Zafeiriou, Eleni & Arabatzis, Garyfallos, 2009. "Asymmetry in price transmission between the producer and the consumer prices in the wood sector and the role of imports: The case of Greece," Forest Policy and Economics, Elsevier, vol. 11(1), pages 56-64, January.
  59. Cengiz, Sibel & Sahin, Afsin, 2013. "Modelling Nonlinear Behavior of Labor Force Participation Rate by STAR: An Application for Turkey," MPRA Paper 47805, University Library of Munich, Germany, revised 07 May 2013.
  60. Easaw, Joshy & Ghoshray, Atanu, 2008. "The cyclical nature of Consumer Sentiments Indices in the US and UK," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1994-1998, October.
  61. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Department of Economics, University of Geneva 2002.03, Département des Sciences Économiques, Université de Genève.
  62. Atanu Ghoshray, 2008. "Asymmetric price adjustment of Ukrainian feed wheat export prices in relation to U.S. maize exports: A Note," Economics Bulletin, AccessEcon, vol. 17(2), pages 1-8.
  63. Yen-Hsien Lee, 2013. "The Predictability of the Socially Responsible Investment Index: A New TMDCC 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(1), pages 027-034, June.
  64. Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
  65. Saunoris, James W. & Payne, James E., 2010. "Tax more or spend less? Asymmetries in the UK revenue-expenditure nexus," Journal of Policy Modeling, Elsevier, vol. 32(4), pages 478-487, July.
  66. Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  67. Li-Hung Wu, 2013. "Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 32-43, December.
  68. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
  69. Hasanov, Mübariz & Telatar, Erdinc, 2011. "A re-examination of stationarity of energy consumption: Evidence from new unit root tests," Energy Policy, Elsevier, vol. 39(12), pages 7726-7738.
  70. Philip Rothman, 1999. "Time Series Evidence on Whether Adjustment to Long-Run Equilibrium is Asymmetric," Working Papers 9904, East Carolina University, Department of Economics.
  71. I-Chun Tsai & Cheng-Feng Lee & Ming-Chu Chiang, 2012. "The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1005-1020, November.
  72. Offermanns, Christian J. & Nautz, Dieter, 2006. "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies 2006,01, Deutsche Bundesbank, Research Centre.
  73. Steven Cook, 2001. "Asymmetric unit root tests in the presence of structural breaks under the null," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-10.
  74. Uchezuba, I.D. & Jooste, Andre & Willemse, Johan, 2010. "Measuring Asymmetric Price and Volatility Spillover in the South African Broiler Market," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96434, African Association of Agricultural Economists (AAAE) & Agricultural Economics Association of South Africa (AEASA).
  75. Anderton, Robert & Richard E Baldwin & Daria Taglioni, 2003. "The Impact of Monetary Union on Trade Prices," Royal Economic Society Annual Conference 2003 5, Royal Economic Society.
  76. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group.
  77. Christopoulos, Dimitris K. & Tsionas, Efthymios G., 2004. "Financial development and economic growth: evidence from panel unit root and cointegration tests," Journal of Development Economics, Elsevier, vol. 73(1), pages 55-74, February.
  78. Thompson, Mark A., 2006. "Asymmetric adjustment in the prime lending-deposit rate spread," Review of Financial Economics, Elsevier, vol. 15(4), pages 323-329.
  79. Sebastian Brauer & Frank Westermann, 2013. "On the time series measure of conservatism: a threshold autoregressive model," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 111-129, July.
  80. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," Working Paper Series in Economics and Finance 547, Stockholm School of Economics.
  81. Herrerias, M.J. & Ordoñez, J., 2012. "New evidence on the role of regional clusters and convergence in China (1952–2008)," China Economic Review, Elsevier, vol. 23(4), pages 1120-1133.
  82. Matt Lewis, 2004. "Asymmetric Price Adjustment and Consumer Search: An Examination of the Retail Gasoline Market," Industrial Organization 0407010, EconWPA.
  83. Monal Abdel-Baki, 2011. "The efficacy of the Egyptian bank reform plan in mitigating the impact of the global financial crisis," Economic Change and Restructuring, Springer, vol. 44(3), pages 221-241, August.
  84. Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memorandum 060, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  85. Luis Gil-Alana, 2009. "Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling," International Advances in Economic Research, Springer, vol. 15(2), pages 143-155, May.
  86. Pascalau, Razvan, 2007. "Productivity Shocks, Unemployment Persistence, and the Adjustment of Real Wages in OECD Countries," MPRA Paper 7222, University Library of Munich, Germany.
  87. Dimitris K. Christopoulos & John Loizides & Efthymios G. Tsionas, 2009. "Electoral Motives, Partisan Motives And Dynamic Optimality With Many Taxes: An International Investigation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 94-113, 02.
  88. Luciana Juvenal & Mark P. Taylor, 2008. "Threshold adjustment in deviations from the law of one price," Working Papers 2008-027, Federal Reserve Bank of St. Louis.
  89. Valadkhani, Abbas, 2009. "Do Retail Petrol Prices Rise More Rapidly Than They Fall in Australia’s Capital Cities?," Economics Working Papers wp09-08, School of Economics, University of Wollongong, NSW, Australia.
  90. Yunus Aksoy & Kurmas Akdogan, 2006. "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006 12, Society for Computational Economics.
  91. Valadkhani, Abbas & Bollen, Bernard, 2013. "An alternative approach to the modelling of interest rate pass through and asymmetric adjustment," Economics Letters, Elsevier, vol. 120(3), pages 491-494.
  92. Mohammadi, Hassan, 2009. "Electricity prices and fuel costs: Long-run relations and short-run dynamics," Energy Economics, Elsevier, vol. 31(3), pages 503-509, May.
  93. Park, Soo Jung & Wan Shin, Dong & Uk Park, Byeong & Chul Kim, Woo & Oh, Man-Suk, 2005. "Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1192-1204, June.
  94. Michaël GOUJON & Sylviane GUILLAUMONT JEANNENEY & Christopher ADAM, 2002. "Currency substitution and the transactions demand for money in Vietnam," Working Papers 200228, CERDI.
  95. Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  96. Diego Escobari, 2013. "Asymmetric Price Adjustments in Airlines," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 34(2), pages 74-85, 03.
  97. Ferreira, Alex Luiz & Leon-Ledesma, Miguel A., 2007. "Does the real interest parity hypothesis hold? Evidence for developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 364-382, April.
  98. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
  99. Aguero, Jorge M., 2004. "Asymmetric Price Adjustments And Behavior Under Risk: Evidence From Peruvian Agricultural Markets," 2004 Annual meeting, August 1-4, Denver, CO 20394, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  100. Valadkhani, Abbas, 2013. "The pricing behaviour of Australian banks and building societies in the residential mortgage market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 133-151.
  101. Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
  102. Nunes, Mauricio & Da Silva, Sergio, 2007. "Rational bubbles in emerging stockmarkets," MPRA Paper 4641, University Library of Munich, Germany.
  103. Kleimeier,Stefanie & Sander,Harald, 2004. "Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Eurozone Retail Banking," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  104. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  105. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  106. Lee, Junsoo & Strazicich, Mark C. & Yu, Byung Chul, 2013. "Asymmetric adjustments in the spread of lending and deposit rates: Evidence from extended threshold unit root tests," Review of Financial Economics, Elsevier, vol. 22(4), pages 187-193.
  107. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.
  108. Chen, An-Sing & Lin, Shih-Chieh, 2011. "Asymmetrical return on equity mean reversion and catering," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 471-477, February.
  109. Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
  110. Haughton, Andre Yone & Iglesias, Emma M., 2012. "Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia," Economic Modelling, Elsevier, vol. 29(6), pages 2071-2089.
  111. repec:ebl:ecbull:v:3:y:2003:i:10:p:1-10 is not listed on IDEAS
  112. Cook, Steven, 2006. "The impact of GARCH on asymmetric unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 745-752.
  113. Luis Eduardo Arango & Yanneth R.Betancourth, . "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia 216, Banco de la Republica de Colombia.
  114. Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
  115. Grasso, Margherita & Manera, Matteo, 2007. "Asymmetric error correction models for the oil-gasoline price relationship," Energy Policy, Elsevier, vol. 35(1), pages 156-177, January.
  116. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
  117. Cook, Steven, 2004. "A momentum-threshold autoregressive unit root test with increased power," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 307-310, May.
  118. Luciana Juvenal & Rodolphe Blavy, 2008. "Mexico'S Integration Into Nafta Markets," IMF Working Papers 08/123, International Monetary Fund.
  119. Neil Shephard & Anders Rahbek, 2002. "Autoregressive conditional root model," Economics Series Working Papers 2002-W07, University of Oxford, Department of Economics.
  120. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  121. Christopoulos, Dimitris & León-Ledesma, Miguel A., 2010. "Current account sustainability in the US: What did we really know about it?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 442-459, April.
  122. KAWASAKI Kentaro, 2013. "How Does the Regional Monetary Unit Work as a Surveillance Tool in East Asia?," Discussion papers 13026, Research Institute of Economy, Trade and Industry (RIETI).
  123. George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers 497, Queen Mary, University of London, School of Economics and Finance.
  124. Loesse Esso, 2012. "Re-examining the saving-investment nexus: threshold cointegration and causality evidence from the ECOWAS," Economic Change and Restructuring, Springer, vol. 45(3), pages 193-220, August.
  125. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  126. repec:ebl:ecbull:v:17:y:2008:i:2:p:1-8 is not listed on IDEAS
  127. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  128. Huang, Wen-Hsiu & Chao, Ming-Che, 2012. "The effects of oil prices on the price indices in Taiwan: International or domestic oil prices matter?," Energy Policy, Elsevier, vol. 45(C), pages 730-738.
  129. Hassan, Daniel & Simioni, Michel, 2002. "Price Linkage and Transmission between Shippers and Retailers in the French Fresh Vegetable Channel," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24794, European Association of Agricultural Economists.
  130. Langyintuo, Augustine S., 2010. "Grain price adjustment asymmetry: the case of cowpea in Ghana," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96165, African Association of Agricultural Economists (AAAE) & Agricultural Economics Association of South Africa (AEASA).
  131. Su, Chi Wei & Chang, Hsu Ling, 2010. "Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 165-175, July.
  132. Gil-Alana, Luis A., 2008. "A simple non-linear model with fractional integration for financial time series data," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 838-848, December.
  133. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  134. Ben Kaabia, Monia & Gil, Jose Maria, 2005. "Asymetric Price Transmission in the Spanish Lamb Sector," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24631, European Association of Agricultural Economists.
  135. Daiki Maki & Shin-ichi Kitasaka, 2006. "The equilibrium relationship among money, income, prices, and interest rates: evidence from a threshold cointegration test," Applied Economics, Taylor & Francis Journals, vol. 38(13), pages 1585-1592.
  136. Chi-Wei Su & Yahn-Shir Chen & Hsu-Ling Chang, 2007. "Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-12.
  137. Van Heerden, Dorathea & Rodrigues, Jose & Hockly, Dale & Lambert, Bongani & Taljard, Tjaart & Phiri, Andrew, 2013. "Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model," MPRA Paper 50544, University Library of Munich, Germany.
  138. Michael Ye & John Zyren & Joanne Shore & Michael Burdette, 2005. "Regional Comparisons, Spatial Aggregation, and Asymmetry of Price Pass-Through in U.S. Gasoline Markets," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(2), pages 179-192, June.
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