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Tom Engsted

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-170, March-Apr.

    Mentioned in:

    1. Estimating the LQAC model with I(2) variables (Journal of Applied Econometrics 1999) in ReplicationWiki ()

Working papers

  1. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
    2. Martin Møller Andreasen & Kasper Jørgensen & Andrew Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," CREATES Research Papers 2019-10, Department of Economics and Business Economics, Aarhus University.
    3. Gubareva, Mariya & Borges, Maria Rosa, 2020. "Switching interest rate sensitivity regimes of U.S. Corporates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," Finance and Economics Discussion Series 2019-040, Board of Governors of the Federal Reserve System (U.S.).

  2. Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Jean-Louis Bago & Koffi Akakpo & Imad Rherrad & Ernest Ouédraogo, 2021. "Volatility Spillover and International Contagion of Housing Bubbles," JRFM, MDPI, vol. 14(7), pages 1-14, June.
    2. Yang Hu, 2023. "A review of Phillips‐type right‐tailed unit root bubble detection tests," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 141-158, February.
    3. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    4. Hertrich Markus, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, De Gruyter, vol. 20(4), pages 759-794, December.
    5. Greenaway-McGrevy, Ryan & Sorensen, Kade, 2021. "A Time-Varying Hedonic Approach to quantifying the effects of loss aversion on house prices," Economic Modelling, Elsevier, vol. 99(C).
    6. Tobias Basse & Robinson Kruse & Christoph Wegener, 2017. "The Walking Debt Crisis," CREATES Research Papers 2017-06, Department of Economics and Business Economics, Aarhus University.
    7. Sofoklis Vogiazas & Constantinos Alexiou, 2017. "Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 119-131, March.
    8. Shuping Shi & Arafat Rahman & Ben Zhe Wang, 2020. "Australian Housing Market Booms: Fundamentals or Speculation?☆," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 381-401, December.
    9. Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
    10. Efthymios Pavlidis & Ivan Paya & David Alan Peel & Alisa Yevgenyevna Yusupova, 2017. "Exuberance in the U.K. Regional Housing Markets," Working Papers 168117137, Lancaster University Management School, Economics Department.
    11. Jean-Charles Bricongne & Baptiste Meunier & Sylvain Pouget, 2023. "Web-scraping housing prices in real-time: The Covid-19 crisis in the UK," SciencePo Working papers Main hal-04064185, HAL.
    12. Valerie Grossman & Enrique Martínez García & Efthymios Pavlidis, 2017. "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers 325, Federal Reserve Bank of Dallas.
    13. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
    14. Paolo Gelain & Kevin J. Lansing & Gisele J. Natvik, 2015. "Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach," Working Paper Series 2015-2, Federal Reserve Bank of San Francisco.
    15. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
    16. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    17. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    18. Konstantin A. Kholodilin & Claus Michelsen, 2019. "Zehn Jahre nach dem großen Knall: wie ist es um die Stabilität der internationalen Immobilienmärkte bestellt? [Ten years after a Big Bang: How stable are the international housing markets?]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 5(1), pages 67-87, November.
    19. Konstantin A. Kholodilin & Sebastian Kohl & Florian Müller, 2023. "Government-Made House Price Bubbles? Austerity, Homeownership, Rental, and Credit Liberalization Policies and the “Irrational Exuberance” on Housing Markets," Discussion Papers of DIW Berlin 2061, DIW Berlin, German Institute for Economic Research.
    20. Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
    21. Janusz Sobieraj & Dominik Metelski, 2021. "Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities," JRFM, MDPI, vol. 14(9), pages 1-29, September.
    22. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    23. Petre Caraiani & Adrian Cantemir Călin, 2020. "Housing markets, monetary policy, and the international co‐movement of housing bubbles," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 365-375, May.
    24. Vicente Esteve & María A. Prats, 2021. "Testing for rational bubbles in Australian housing market from a long-term perspective," Working Papers 2113, Department of Applied Economics II, Universidad de Valencia.
    25. Wang, Xichen & Liu, Qingya, 2023. "Can the global financial cycle explain the episodes of exuberance in international housing markets?," Finance Research Letters, Elsevier, vol. 52(C).
    26. Suari-Andreu, Eduard, 2021. "Housing and household consumption: An investigation of the wealth and collateral effects," Journal of Housing Economics, Elsevier, vol. 54(C).
    27. Robinson Kruse & Christoph Wegener, 2019. "Explosive behaviour and long memory with an application to European bond yield spreads," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 139-153, February.
    28. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    29. Song Shi & Vince Mangioni & Xin Janet Ge & Shanaka Herath & Fethi Rabhi & Rachida Ouysse, 2021. "House Price Forecasting from Investment Perspectives," Land, MDPI, vol. 10(10), pages 1-17, September.
    30. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    31. Albulescu, C.T. & Bouri, E. & Tiwari, A.K. & Roubaud, D., 2020. "Quantile causality between banking stock and real estate securities returns in the US," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 251-260.
    32. Valerie Grossman & Enrique Martínez García, 2018. "Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World," Globalization Institute Working Papers 342, Federal Reserve Bank of Dallas.
    33. ZEREN, Feyyaz & ERGÜZEL, Oylum Şehvez, 2015. "Testing For Bubbles In The Housing Market: Further Evidence From Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 40-52.
    34. Geoffrey Poitras & Giovanna Zanotti, 2018. "Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households," JRFM, MDPI, vol. 11(3), pages 1-18, July.
    35. Alona Shmygel, 2022. "House Price Bubble Detection in Ukraine," IHEID Working Papers 22-2022, Economics Section, The Graduate Institute of International Studies.
    36. F Chorley & C Liu, 2021. "Does UK social housing affect housing prices and economic growth? An application of the ARDL model," Economic Issues Journal Articles, Economic Issues, vol. 26(1), pages 21-43, March.
    37. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
    38. Wang, Wen-Kai & Lin, Che-Chun & Tsai, I-Chun, 2022. "Long- and short-term price behaviors in presale housing markets in Taiwan," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 350-364.
    39. Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
    40. Basse, Tobias & Klein, Tony & Vigne, Samuel A. & Wegener, Christoph, 2021. "U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?," Journal of Corporate Finance, Elsevier, vol. 67(C).
    41. Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018. "When Bubble Meets Bubble: Contagion in OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
    42. Evren Ceritoglu & Seyit Mumin Cilasun & Ufuk Demiroglu & Aytul Ganioglu, 2019. "An analysis to detect exuberance and implosion in regional house prices in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 19(2), pages 67-82.
    43. Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    44. Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2022. "The first real estate bubble? Land prices and rents in medieval England c. 1300–1500," Research in International Business and Finance, Elsevier, vol. 62(C).
    45. Miyakoshi, Tatsuyoshi & Li, Kui-Wai & Shimada, Junji & Tsukuda, Yoshihiko, 2020. "The impact of quantitative easing and carry trade on the real estate market in Hong Kong," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 958-976.
    46. Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
    47. Kurmaş Akdoğan, 2019. "Size and sign asymmetries in house price adjustments," Applied Economics, Taylor & Francis Journals, vol. 51(48), pages 5268-5281, October.
    48. Hansen, Jacob H. & Møller, Stig V. & Pedersen, Thomas Q. & Schütte, Christian M., 2024. "House price bubbles under the COVID-19 pandemic," Journal of Empirical Finance, Elsevier, vol. 75(C).
    49. Itamar Caspi, 2015. "Testing for a housing bubble at the national and regional level: the case of Israel," Globalization Institute Working Papers 246, Federal Reserve Bank of Dallas.
    50. Jean-Louis Bago & Imad Rherrad & Koffi Akakpo & Ernest Ouédraogo, 2022. "An Empirical Investigation on Bubbles Contagion in Scandinavian Real Estate Markets," Businesses, MDPI, vol. 2(1), pages 1-8, March.
    51. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
    52. Benjamas Jirasakuldech & Riza Emekter & Thuy Bui, 2023. "Non-linear structures, chaos, and bubbles in U.S. regional housing markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 63-93, March.
    53. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96847, University Library of Munich, Germany.
    54. Tsai, I-Chun & Lin, Che-Chun, 2022. "A re-examination of housing bubbles: Evidence from European countries," Economic Systems, Elsevier, vol. 46(2).
    55. Wolfgang Kloppenburg, 2021. "Are Real Estate Prices Evolving into an Asset Price Bubble?," ACTA VSFS, University of Finance and Administration, vol. 15(1), pages 36-48.
    56. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96705, University Library of Munich, Germany.
    57. Graczyk, Andrew & Phan, Toan, 2021. "Regressive Welfare Effects Of Housing Bubbles," Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2102-2127, December.
    58. Damjanović, Milan & Lenarčič, Črt, 2023. "Constructing a house price misalignment indicator: revisited and revamped," MPRA Paper 118489, University Library of Munich, Germany.
    59. Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
    60. Juan Huang & Geoffrey Qiping Shen, 2017. "Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model," Journal of Property Research, Taylor & Francis Journals, vol. 34(2), pages 108-128, April.
    61. Alexakis, Christos & Bagnarosa, Guillaume & Dowling, Michael, 2017. "Do cointegrated commodities bubble together? the case of hog, corn, and soybean," Finance Research Letters, Elsevier, vol. 23(C), pages 96-102.
    62. Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017. "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers 17-080/IV, Tinbergen Institute.
    63. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  3. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers 2014-28, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Wei-Fong Pan, 2019. "Detecting bubbles in China’s regional housing markets," Empirical Economics, Springer, vol. 56(4), pages 1413-1432, April.
    2. Utz Weitzel & Christoph Huber & Jürgen Huber & Michael Kirchler & Florian Lindner & Julia Rose, 2018. "Bubbles and Financial Professionals," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2018_09, Max Planck Institute for Research on Collective Goods, revised Mar 2019.
    3. Huber, Christoph, 2019. "oTree: The bubble game," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 3-6.
    4. GHERBOVEȚ, Sergiu, 2017. "The Poorest In The World Pays For Crisis," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 4(1), pages 141-148.

  4. Tom Engsted & Thomas Q. Pedersen, 2013. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers 2013-04, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
    2. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    3. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    4. Xian Zheng, 2015. "Expectation, volatility and liquidity in the housing market," Applied Economics, Taylor & Francis Journals, vol. 47(37), pages 4020-4035, August.
    5. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
    6. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    7. Mustafa Ozan Yıldırım & Mehmet İvrendi, 2021. "Turkish Housing Market Dynamics: An Estimated DSGE Model," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(2), pages 238-267, May.
    8. Rangan Gupta & Chi Keung Marco Lau & Wendy Nyakabawo, 2018. "Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment," Working Papers 201866, University of Pretoria, Department of Economics.

  5. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
    2. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).

  6. Tom Engsted & Thomas Q. Pedersen, 2012. "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers 2012-58, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Jean-Louis Bago & Koffi Akakpo & Imad Rherrad & Ernest Ouédraogo, 2021. "Volatility Spillover and International Contagion of Housing Bubbles," JRFM, MDPI, vol. 14(7), pages 1-14, June.
    2. Brian Micallef & Nathaniel Debono, 2020. "The rental sector and the housing block in STREAM," CBM Working Papers WP/03/2020, Central Bank of Malta.
    3. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    4. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    5. John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
    6. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
    7. Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
    8. Jean-Charles Bricongne & Baptiste Meunier & Sylvain Pouget, 2023. "Web-scraping housing prices in real-time: The Covid-19 crisis in the UK," SciencePo Working papers Main hal-04064185, HAL.
    9. Singh, Bhupal, 2023. "Housing prices and macroprudential policies: Evidence from microdata," Economic Systems, Elsevier, vol. 47(1).
    10. Pfeifer Norbert & Steurer Miriam, 2022. "Early Real Estate Indicators during the COVID-19 Crisis," Journal of Official Statistics, Sciendo, vol. 38(1), pages 319-351, March.
    11. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    12. Dittmann Iwona, 2017. "Similarity of Changes in Average Prices of Residential Properties in Europe in 2010-2016," Real Estate Management and Valuation, Sciendo, vol. 25(4), pages 63-74, December.
    13. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
    14. Dooruj Rambaccussing, 2021. "The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth," SN Business & Economics, Springer, vol. 1(9), pages 1-15, September.
    15. Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
    16. Hodula, Martin & Melecký, Martin & Pfeifer, Lukáš & Szabo, Milan, 2023. "Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending," Journal of International Money and Finance, Elsevier, vol. 132(C).
    17. Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
    18. Jean-Louis Bago & Imad Rherrad & Koffi Akakpo & Ernest Ouédraogo, 2022. "An Empirical Investigation on Bubbles Contagion in Scandinavian Real Estate Markets," Businesses, MDPI, vol. 2(1), pages 1-8, March.
    19. Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
    20. Martin Hodula & Milan Szabo & Lukas Pfeifer & Martin Melecky, 2022. "Cooling the Mortgage Loan Market: The Effect of Recommended Borrower-Based Limits on New Mortgage Lending," Working Papers 2022/3, Czech National Bank.
    21. Galina An & Charles Becker & Enoch Cheng, 2021. "Bubbling Away: Forecasting Real Estate Prices, Rents, and Bubbles in a Transition Economy," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 63(2), pages 263-317, June.
    22. Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
    23. Baye, Vera & Dinger, Valeriya, 2022. "Investment Incentives of Rent Controls and Gentrification - Evidence from German Micro Data," VfS Annual Conference 2022 (Basel): Big Data in Economics 264120, Verein für Socialpolitik / German Economic Association.

  7. Tom Engsted & Stig V. Møller, 2011. "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises," CREATES Research Papers 2011-07, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
    2. Kroencke, Tim Alexander, 2014. "Asset Pricing without Garbage," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100476, Verein für Socialpolitik / German Economic Association.

  8. Tom Engsted & Thomas Q. Pedersen, 2011. "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers 2011-18, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Pham, Quynh Thi Thuy, 2021. "Stock Return Predictability: Evidence Across US Industries," Finance Research Letters, Elsevier, vol. 38(C).
    2. Stefan Bruder & Michael Wolf, 2017. "Balanced bootstrap joint confidence bands for structural impulse response functions," ECON - Working Papers 246, Department of Economics - University of Zurich, revised Jan 2018.
    3. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    4. Stefan Bruder, 2014. "Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions," ECON - Working Papers 181, Department of Economics - University of Zurich, revised Dec 2015.
    5. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
    6. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
    7. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    8. Marian Vavra, 2015. "On a Bootstrap Test for Forecast Evaluations," Working and Discussion Papers WP 5/2015, Research Department, National Bank of Slovakia.
    9. Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022. "A reconsideration of the failure of uncovered interest parity for the U.S. dollar," Journal of International Economics, Elsevier, vol. 136(C).
    10. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
    11. Juraj Hucek & Alexander Karsay & Marian Vavra, 2015. "Short-term Forecasting of Real GDP Using Monthly Data," Working and Discussion Papers OP 1/2015, Research Department, National Bank of Slovakia.
    12. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
    13. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.

  9. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers 2010-09, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    2. Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
    3. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    4. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    5. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    6. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    7. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    8. Ignatieva, Katja & Landsman, Zinoviy, 2019. "Conditional tail risk measures for the skewed generalised hyperbolic family," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 98-114.
    9. Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
    10. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    11. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    12. Mihai, Marius M. & Mansur, Iqbal, 2022. "Forecasting crash risk in U.S. bank returns—The role of credit booms," Journal of Corporate Finance, Elsevier, vol. 76(C).
    13. Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013. "Time-Varying Inflation Risk and Stock Returns," Staff Reports 621, Federal Reserve Bank of New York.
    14. Xiaojin Sun & Kwok Ping Tsang, 2018. "The impact of monetary policy on local housing markets: Do regulations matter?," Empirical Economics, Springer, vol. 54(3), pages 989-1015, May.
    15. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    16. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    17. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
    18. Julio Sarmiento & Mehdi Sadeghi & Juan S. Sandoval & Edgardo Cayon, 2021. "The application of proxy methods for estimating the cost of equity for unlisted companies: evidence from listed firms," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1009-1031, October.
    19. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
    20. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    21. Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
    22. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
    23. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
    24. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
    25. Joseph Fairchild & Jun Ma & Shu Wu, 2015. "Understanding Housing Market Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1309-1337, October.
    26. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019. "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 58-68.
    27. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    28. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    29. Jeffrey L. Callen, 2016. "Accounting Valuation and Cost of Equity Capital Dynamics," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 5-25, March.
    30. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    31. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    32. Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
    33. Lin, Qi, 2018. "Technical analysis and stock return predictability: An aligned approach," Journal of Financial Markets, Elsevier, vol. 38(C), pages 103-123.
    34. Dunbar, Kwamie & Jiang, Jing, 2020. "What do movements in financial traders’ net long positions reveal about aggregate stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    35. Chen, Qiang & Han, Yu, 2023. "Options market ambiguity and its information content," Journal of Financial Markets, Elsevier, vol. 64(C).
    36. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2021. "Does cash-flow news play a better role than discount-rate news? Evidence from global regional stock markets," Journal of International Money and Finance, Elsevier, vol. 110(C).
    37. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
    38. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    39. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
    40. Callen, Jeffrey L., 2015. "A selective critical review of financial accounting research," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 26(C), pages 157-167.
    41. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
    42. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
    43. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
    44. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    45. Maurer, Tim D. & Nitschka, Thomas, 2023. "Stock market evidence on the international transmission channels of US monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 136(C).
    46. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    47. Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
    48. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    49. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
    50. Bergman, U. Michael & Sørensen, Peter Birch, 2021. "The interaction of actual and fundamental house prices: A general model with an application to Sweden," Journal of Housing Economics, Elsevier, vol. 54(C).
    51. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    52. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
    53. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    54. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.

  10. Tom Engsted & Bent Nielsen, 2010. "Testing for rational bubbles in a co-explosive vector autoregression," CREATES Research Papers 2010-25, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    2. Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
    3. Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
    4. Wang, Xiaohu & Yu, Jun, 2015. "Limit theory for an explosive autoregressive process," Economics Letters, Elsevier, vol. 126(C), pages 176-180.
    5. Wei-Fong Pan, 2019. "Detecting bubbles in China’s regional housing markets," Empirical Economics, Springer, vol. 56(4), pages 1413-1432, April.
    6. Andria C. Evripidou & David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2022. "Testing for Co‐explosive Behaviour in Financial Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 624-650, June.
    7. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018. "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, vol. 73(C), pages 354-364.
    8. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    9. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    10. Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
    11. Kivedal, Bjørnar Karlsen, 2013. "Testing for rational bubbles in the US housing market," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 369-381.
    12. Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
    13. Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-80, Scottish Institute for Research in Economics (SIRE).
    14. Philip Inyeob Ji & Glenn Otto, 2015. "Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?," Discussion Papers 2015-27, School of Economics, The University of New South Wales.
    15. Janusz Sobieraj & Dominik Metelski, 2021. "Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities," JRFM, MDPI, vol. 14(9), pages 1-29, September.
    16. Dooruj Rambaccussing, 2021. "The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth," SN Business & Economics, Springer, vol. 1(9), pages 1-15, September.
    17. Wei Long & Dingding Li & Qi Li, 2016. "Testing explosive behavior in the gold market," Empirical Economics, Springer, vol. 51(3), pages 1151-1164, November.
    18. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    19. Daan Steenkamp, 2017. "How bubbly is the New Zealand dollar?," Reserve Bank of New Zealand Discussion Paper Series DP2017/03, Reserve Bank of New Zealand.
    20. Song Shi & Vince Mangioni & Xin Janet Ge & Shanaka Herath & Fethi Rabhi & Rachida Ouysse, 2021. "House Price Forecasting from Investment Perspectives," Land, MDPI, vol. 10(10), pages 1-17, September.
    21. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    22. Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
    23. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
    24. Evren Ceritoglu & Seyit Mumin Cilasun & Ufuk Demiroglu & Aytul Ganioglu, 2019. "An analysis to detect exuberance and implosion in regional house prices in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 19(2), pages 67-82.
    25. Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
    26. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers 2014-28, Department of Economics and Business Economics, Aarhus University.
    27. Juan Huang & Geoffrey Qiping Shen, 2017. "Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model," Journal of Property Research, Taylor & Francis Journals, vol. 34(2), pages 108-128, April.

  11. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010. "The log-linear return approximation, bubbles, and predictability," CREATES Research Papers 2010-37, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    2. Yang, Bingduo & Long, Wei & Yang, Zihui, 2022. "Testing predictability of stock returns under possible bubbles," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 246-260.
    3. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    4. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
    5. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
    6. Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
    7. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    8. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    9. Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-80, Scottish Institute for Research in Economics (SIRE).
    10. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    11. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
    12. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    13. Tilak Abeysinghe & Jiaying Gu, 2016. "Estimating fundamental and affordable housing price trends: a study based on Singapore," Applied Economics, Taylor & Francis Journals, vol. 48(49), pages 4783-4798, October.
    14. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martinez-Garcia & Adrienne Mack & Valerie Crossman, 2014. "Episodes of exuberance in housing markets," Working Papers 64908732, Lancaster University Management School, Economics Department.
    15. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
    16. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    17. Basse, Tobias & Klein, Tony & Vigne, Samuel A. & Wegener, Christoph, 2021. "U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?," Journal of Corporate Finance, Elsevier, vol. 67(C).
    18. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    19. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
    20. Itamar Caspi, 2015. "Testing for a housing bubble at the national and regional level: the case of Israel," Globalization Institute Working Papers 246, Federal Reserve Bank of Dallas.
    21. Peter C.B. Phillips & Ye Chen, "undated". "Restricted Likelihood Ratio Tests in Predictive Regression," Cowles Foundation Discussion Papers 1968, Cowles Foundation for Research in Economics, Yale University.
    22. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
    23. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
    24. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers 2014-28, Department of Economics and Business Economics, Aarhus University.

  12. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Alexander Libman & Joachim Zweynert, 2014. "Ceremonial Science: The State of Russian Economics Seen Through the Lens of the Work of ‘Doctor of Science’ Candidates," Working Papers 337, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    2. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    3. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    4. Libman, Alexander & Zweynert, Joachim, 2014. "Ceremonial science: The state of Russian economics seen through the lens of the work of ‘Doctor of Science’ candidates," Economic Systems, Elsevier, vol. 38(3), pages 360-378.
    5. Peter J. Veazie, 2015. "Understanding Statistical Testing," SAGE Open, , vol. 5(1), pages 21582440145, January.
    6. Edsel Beja, 2014. "Income growth and happiness: reassessment of the Easterlin Paradox," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 61(4), pages 329-346, December.
    7. Jae H. Kim & Kamran Ahmed & Philip Inyeob Ji, 2018. "Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence," Abacus, Accounting Foundation, University of Sydney, vol. 54(4), pages 524-546, December.
    8. Thomas Mayer, 2012. "Ziliak and McCloskey's Criticisms of Significance Tests: An Assessment," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 256-297, September.
    9. Kim, Jae, 2015. "How to Choose the Level of Significance: A Pedagogical Note," MPRA Paper 66373, University Library of Munich, Germany.
    10. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
    11. Jae H. Kim & In Choi, 2021. "Choosing the Level of Significance: A Decision‐theoretic Approach," Abacus, Accounting Foundation, University of Sydney, vol. 57(1), pages 27-71, March.
    12. Hart Hodges & Steven E. Henson, 2017. "Weak Foundations in Economic Development Programs," Economic Development Quarterly, , vol. 31(2), pages 116-127, May.
    13. Engsted, Tom & Schneider, Jesper W., 2023. "Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective," SocArXiv nztk8, Center for Open Science.
    14. Plöckinger, Martin & Aschauer, Ewald & Hiebl, Martin R.W. & Rohatschek, Roman, 2016. "The influence of individual executives on corporate financial reporting: A review and outlook from the perspective of upper echelons theory," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 55-75.
    15. Pinto, Hugo, 2011. "The role of econometrics in economic science: An essay about the monopolization of economic methodology by econometric methods," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(4), pages 436-443, August.
    16. Elisabeth Albertini & Fabienne Berger-Remy, 2019. "Intellectual Capital and Financial Performance: A Meta-Analysis and Research Agenda," Post-Print hal-02139763, HAL.
    17. Beja, Edsel Jr., 2018. "Testing the Easterlin Paradox: Results and Policy Implications," MPRA Paper 101075, University Library of Munich, Germany.
    18. Thomas Mayer, 2012. "Ziliak and McClosky?s Criticisms of Significance Tests: A Damage Assessment," Working Papers 61, University of California, Davis, Department of Economics.

  13. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    2. Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
    3. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
    4. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
    5. Dooruj McRambaccussing, 2015. "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics 291, Economic Studies, University of Dundee.
    6. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    7. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    8. Zhu, Min & Chen, Rui & Du, Ke & Wang, You-Gan, 2018. "Dividend growth and equity premium predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 125-137.
    9. David Haab & Dr. Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
    10. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    11. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
    12. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    13. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    14. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
    15. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    16. Lan, Chunhua & Doan, Bao, 2022. "Stock price movements: Evidence from global equity markets," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 123-143.
    17. Amélie Charles & Olivier Darné & Jae H Kim, 2017. "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print hal-01626101, HAL.
    18. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
    19. Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
    20. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    21. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    22. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    23. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    24. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    25. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
    26. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    27. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
    28. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
    29. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
    30. David R. Haab & Thomas Nitschka, 2019. "What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
    31. Cheolbeom Park & Dong-hun Shin, 2014. "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series 1405, Institute of Economic Research, Korea University.
    32. Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
    33. Joe, Denis Yongmin & Oh, Frederick Dongchuhl & Park, Cheolbeom, 2018. "Control-ownership disparity and stock market Predictability: Evidence from Korean chaebols," Finance Research Letters, Elsevier, vol. 27(C), pages 6-11.

  14. Tom Engsted & Thomas Q. Pedersen, 2008. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers 2008-27, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Amélie Charles & Olivier Darné & Jae H. Kim, 2022. "Stock return predictability: Evaluation based on interval forecasts," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
    2. Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Tom Engsted & Thomas Q. Pedersen, 2014. "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, vol. 2(1), pages 1-27, March.
    4. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
    5. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
    6. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    7. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
    8. Bart Diris & Franz Palm & Peter Schotman, 2015. "Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation," Management Science, INFORMS, vol. 61(9), pages 2185-2202, September.
    9. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
    10. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.

  15. Tom Engsted & Stig V. Møller, 2008. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers 2008-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
    2. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    3. Kakeu, Johnson & Nguimkeu, Pierre, 2017. "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, vol. 64(C), pages 1-12.

  16. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
    2. Nitschka, Thomas & Satkurunathan, Shajivan, 2021. "Habits die hard: implications for bond and stock markets internationally," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242358, Verein für Socialpolitik / German Economic Association.
    3. Benjamin R. Auer, 2013. "Can habit formation under complete market integration explain the cross‐section of international equity risk premia?," Review of Financial Economics, John Wiley & Sons, vol. 22(2), pages 61-67, April.
    4. Tom Engsted & Stig V. Møller, 2010. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 213-227.
    5. Joachim Inkmann & Zhen Shi, 2015. "Parametric Portfolio Policies in the Surplus Consumption Ratio," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 257-282, June.
    6. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    7. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
    8. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
    9. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    10. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
    11. Rojo Suárez, Javier & Alonso Conde, Ana Belén & Ferrero Pozo, Ricardo, 2020. "European equity markets: Who is the truly representative investor?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 325-346.

  17. Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten, 2003. "Denmark - A chapter on the Danish Bond Market," Finance Working Papers 03-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Jensen, Bjarne Astrup, 2005. "On a class of adjustable rate mortgage loans subject to a strict balance principle," Working Papers 2004-11, Copenhagen Business School, Department of Finance.

  18. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Nyberg, Peter & Vaihekoski, Mika, 2009. "A new value-weighted total return index for the Finnish stock market," Bank of Finland Research Discussion Papers 21/2009, Bank of Finland.
    2. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.
    3. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.

  19. Engsted, Tom, 2002. "Misspecification versus bubbles in hyperinflation data: Comment," Finance Working Papers 02-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
    2. Hooker, Mark A., 2003. "Misspecification and bubbles in hyperinflation data: reply to Engsted1," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 453-458, August.

  20. Engsted, Tom & Tanggaard, Carsten, 2002. "The comovement of US and UK stock markets," Finance Working Papers 02-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
    2. el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017. "Leverage versus volatility: Evidence from the capital structure of European firms," Economic Modelling, Elsevier, vol. 62(C), pages 145-160.
    3. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    4. Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    5. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    6. Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    7. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
    8. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    9. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    10. 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.
    11. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2023. "Industry regulation and the comovement of stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 206-219.
    12. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    13. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    14. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
    15. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    16. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Regional and global integration of Asian stock markets," Research in International Business and Finance, Elsevier, vol. 50(C), pages 357-368.
    17. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(1), pages 39-66, April.
    18. Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
    19. Jarno Kiviaho & Jussi Nikkinen & Vanja Piljak & Timo Rothovius, 2014. "The Co†movement Dynamics of European Frontier Stock Markets," European Financial Management, European Financial Management Association, vol. 20(3), pages 574-595, June.
    20. B Harrison & W Moore, 2010. "Stock Market Co-Movement in the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 15(1), pages 1-15, March.
    21. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, return, volatility and contagion: Evidence from the portfolio framework," MPRA Paper 57726, University Library of Munich, Germany.
    22. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    23. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper 57685, University Library of Munich, Germany.
    24. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    25. Chen, Lin & Han, Qian & Qiao, Zhilin & Stanley, H. Eugene, 2020. "Correlation analysis and systemic risk measurement of regional, financial and global stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    26. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
    27. Gamini Premaratne & Lakshmi Bala, 2004. "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings 479, Econometric Society.
    28. Lee, Jongsub & Naranjo, Andy & Velioglu, Guner, 2018. "When do CDS spreads lead? Rating events, private entities, and firm-specific information flows," Journal of Financial Economics, Elsevier, vol. 130(3), pages 556-578.
    29. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
    30. Lars Norden & Martin Weber, 2009. "The Co†movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis," European Financial Management, European Financial Management Association, vol. 15(3), pages 529-562, June.

  21. Engsted, Tom & Tanggaard, Carsten, 2001. "A New Test for Speculative Bubbles Based on Return Variance Decompositions," Finance Working Papers 01-9, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Siab Mamipour & Mahshid Sepahi, 2015. "Analysis of the Behavior of Amateur and Professional Investors’ Impact on the Formation of Bubbles in Tehran Stock Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(3), pages 341-358, Autumn.

  22. Engsted, Tom & Mammen, Enno & Tanggaard, Carsten, 2000. "Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach," Finance Working Papers 00-10, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    2. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    3. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.

  23. Engsted, Tom & Tanggaard, Carsten, 2000. "The Relation Between Asset Returns and Inflation at Short and Long Horizons," Finance Working Papers 00-9, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Doho, Libaud Rudy Aurelien & Somé, Sobom Matthieu & Banto, Jean Michel, 2023. "Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis," Emerging Markets Review, Elsevier, vol. 54(C).
    2. Aviral Kumar Tiwari & Adeolu O. Adewuyi & Olabanji B. Awodumi & David Roubaud, 2022. "Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4515-4540, October.
    3. Vadim Ye. Zyamalov, 2017. "Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 64-75, April.
    4. Avishek Bhandari & Kamaiah Bandi, 2018. "On the Dynamics of Inflation-Stock Returns in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 89-99, March.
    5. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
    6. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Arouri, Mohamed & Teulon, Frédéric, 2015. "Stock returns and inflation in Pakistan," Economic Modelling, Elsevier, vol. 47(C), pages 23-31.
    7. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
    8. Hondroyiannis, George & Papapetrou, Evangelia, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, Elsevier, vol. 15(1), pages 76-94.
    9. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    10. Dalina Amonhaemanon & Jan Annaert & Marc J.K. De Ceuster & Hau Le Long, 2014. "The Fisher Hypothesis and Investment Assets: The Vietnamese and Thai Case," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 180-195, October.
    11. Hassan Heidari & Arash Refah Kahriz & Yousef Mohammadzadeh, 2019. "Stock market behavior of pharmaceutical industry in Iran and macroeconomic factors," Economic Change and Restructuring, Springer, vol. 52(3), pages 255-277, August.
    12. Andros Gregoriou & Alexandros Kontonikas, "undated". "The Long Run Relationship Between Stock Prices And Goods Prices: New Evidence From Panel Cointegration," Working Papers 2008_19, Business School - Economics, University of Glasgow.
    13. Dragos Stefan Oprea, 2014. "The Fisher effect: Evidence from the Romanian Stock Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 637-644, May.
    14. Claudiu Tiberiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Working Papers hal-01282481, HAL.
    15. Mr. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 2009/090, International Monetary Fund.
    16. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    17. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
    18. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
    19. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
    20. Dikaios Tserkezos & Eleni Thanou, 2007. "Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.
    21. Kuwornu, John K.M., 2012. "Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 4(2), pages 1-12, June.
    22. Niyati Bhanja & Arif Billah Dar, 2019. "Stock returns and inflation: a tale of two periods in India," Economic Change and Restructuring, Springer, vol. 52(4), pages 413-438, November.
    23. Claudiu Albulescu & Christian Aubin & Daniel Goyeau, 2016. "Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes," Papers 1603.01231, arXiv.org.
    24. Gerrard, Russell & Hiabu, Munir & Nielsen, Jens Perch & Vodička, Peter, 2020. "Long-term real dynamic investment planning," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 90-103.

  24. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Liping Gao & Hyeongwoo Kim & Yaoqi Zhang, 2013. "Revisiting the Empirical Inconsistency of the Permanent Income Hypothesis: Evidence from Rural China," Auburn Economics Working Paper Series auwp2013-05, Department of Economics, Auburn University.

  25. Bentzen, J. & Engsted, T., 1999. "A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships," Papers 99-7, Aarhus School of Business - Department of Economics.

    Cited by:

    1. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
    2. Ghosh, Sajal, 2010. "High speed diesel consumption and economic growth in India," Energy, Elsevier, vol. 35(4), pages 1794-1798.
    3. Jebaraj, S. & Iniyan, S., 2006. "A review of energy models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 10(4), pages 281-311, August.
    4. Lee, Chien-Chiang & Chang, Chun-Ping, 2007. "The impact of energy consumption on economic growth: Evidence from linear and nonlinear models in Taiwan," Energy, Elsevier, vol. 32(12), pages 2282-2294.
    5. Halicioglu, Ferda, 2011. "A dynamic econometric study of income, energy and exports in Turkey," Energy, Elsevier, vol. 36(5), pages 3348-3354.
    6. Olusegun A. Omisakin & Abimbola M. Oyinlola & Oluwatosin A. Adeniyi, 2012. "Modeling Gasoline Demand with Structural Breaks:New Evidence from Nigeria," International Journal of Energy Economics and Policy, Econjournals, vol. 2(1), pages 1-9.
    7. Chen, Sheng-Tung & Kuo, Hsiao-I & Chen, Chi-Chung, 2010. "Modeling the relationship between the oil price and global food prices," Applied Energy, Elsevier, vol. 87(8), pages 2517-2525, August.
    8. Phouphet Kyophilavong & Muhammad Shahbaz & Gazi Salah Uddin, 2015. "A Note on Nominal and Real Devaluation in Laos," Global Business Review, International Management Institute, vol. 16(2), pages 236-243, April.
    9. Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers EI 2010-56, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Zhang, Yi & Ji, Qiang & Fan, Ying, 2018. "The price and income elasticity of China's natural gas demand: A multi-sectoral perspective," Energy Policy, Elsevier, vol. 113(C), pages 332-341.
    11. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
    12. Olusegun A. Omisakin & Oluwatosin A. Adeniyi & Abimbola M. Oyinlola, 2012. "Structural Breaks, Parameter Stability and Energy Demand Modeling in Nigeria," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 5(2), pages 129-144, August.
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    75. de Freitas, Luciano Charlita & Kaneko, Shinji, 2011. "Ethanol demand under the flex-fuel technology regime in Brazil," Energy Economics, Elsevier, vol. 33(6), pages 1146-1154.
    76. Edyta Ropuszyńska-Surma & Magdalena Węglarz, 2016. "Residential electricity consumption in Poland," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 26(3), pages 69-82.
    77. Tomas Havranek & Ondrej Kokes, 2013. "Income Elasticity of Gasoline Demand: A Meta-Analysis," Working Papers IES 2013/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.
    78. Malefa R. Malefane & Nicholas M. Odhiambo, 2021. "Trade Openness and Economic Growth: Empirical Evidence from Lesotho," Global Business Review, International Management Institute, vol. 22(5), pages 1103-1119, October.
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    80. Rafindadi, Abdulkadir Abdulrashid, 2016. "Does the need for economic growth influence energy consumption and CO2 emissions in Nigeria? Evidence from the innovation accounting test," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 1209-1225.
    81. Adewuyi, Adeolu O., 2016. "Determinants of import demand for non-renewable energy (petroleum) products: Empirical evidence from Nigeria," Energy Policy, Elsevier, vol. 95(C), pages 73-93.
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    83. Abdulkadir Abdulrashid Rafindadi & Isah Buhari Aliyu & Ojonugwa Usman, 2022. "Revisiting the electricity consumption-led growth hypothesis: is the rule defied in France?," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-23, December.
    84. Uddin, Gazi Salah & Alam, Md. Mahmudul & Murad, Wahid, 2019. "An empirical study on income and energy consumption in Bangladesh," OSF Preprints yz7k6, Center for Open Science.
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  26. Engsted, T. & Johansen, S., 1997. "Granger's Representation Theorem and Multicointegration," Economics Working Papers eco97/15, European University Institute.

    Cited by:

    1. Regina Escario & Mar�a Dolores Gadea & Marcela Sabat�, 2009. "Government Solvency or just Pseudo-Sustainability? a Long-Run Multicointegration Approach for Spain," Documentos de Trabajo dt2009-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    2. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    3. Leachman, Lori L. & Francis, Bill B., 2000. "Multicointegration Analysis of the Sustainability of Foreign Debt," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 207-227, April.
    4. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
    5. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
    6. Lori Leachman & Bill Francis, 2002. "Twin Deficits: Apparition or Reality?," Applied Economics, Taylor & Francis Journals, vol. 34(9), pages 1121-1132.
    7. Olgica Glavaški & Emilija Beker Pucar, 2021. "Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 191-226, March.
    8. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.

  27. Engsted, T & Bentzen, J, 1997. "Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration," Papers 97-6, Aarhus School of Business - Department of Economics.

    Cited by:

    1. Suleiman, Sa’ad & Muhammad, Shahbaz, 2012. "Price and Income Elasticities of Demand for Oil Products in African Member Countries of OPEC: A Cointegration Analysis," MPRA Paper 37390, University Library of Munich, Germany, revised 28 Feb 2012.
    2. Bigano, Andrea & Bosello, Francesco & Marano, Giuseppe, 2006. "Energy Demand and Temperature: A Dynamic Panel Analysis," International Energy Markets Working Papers 12117, Fondazione Eni Enrico Mattei (FEEM).
    3. Paresh Kumar Narayan & Russell Smyth, 2005. "Are Shocks To Energy Consumption Permanent Or Temporary? Evidence From 182 Countries," Monash Economics Working Papers 06/05, Monash University, Department of Economics.
    4. Luis Miguel Galindo & Jimy Ferrer Carbonell & José Eduardo Alatorre & Orlando Reyes, 2015. "Metaanálisis de las elasticidades ingreso y precio de la demanda de energía: algunas implicaciones de politica pública para América Latina," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 38(75), pages 9-40.
    5. Bhattacharyya, Subhes C. & Timilsina, Govinda R., 2010. "Modelling energy demand of developing countries: Are the specific features adequately captured?," Energy Policy, Elsevier, vol. 38(4), pages 1979-1990, April.
    6. Indjehagopian, J. P. & Lantz, F. & Simon, V., 2000. "Dynamics of heating oil market prices in Europe," Energy Economics, Elsevier, vol. 22(2), pages 225-252, April.
    7. Tomas Havranek & Ondrej Kokes, 2013. "Income Elasticity of Gasoline Demand: A Meta-Analysis," Working Papers IES 2013/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.

  28. Boris Siliverstovs & Tom Engsted & Niels Haldrup, "undated". "Long-run forecasting in multicointegrated systems," Economics Working Papers 2002-15, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Nielsen, Morten Oe., "undated". "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
    4. Haldrup, Niels, "undated". "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.
    5. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
    6. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
    7. Holler, Manfred & Skott, Peter, "undated". "The importance of setting the agenda," Economics Working Papers 2003-8, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Martin M Andreasen & Tom Engsted & Stig V Møller & Magnus Sander & Stijn Van Nieuwerburgh, 2021. "The Yield Spread and Bond Return Predictability in Expansions and Recessions," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2773-2812.

    Cited by:

    1. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
    2. Jiti Gao & Bin Peng & Yayi Yan, 2023. "Time-Varying Vector Error-Correction Models: Estimation and Inference," Monash Econometrics and Business Statistics Working Papers 11/23, Monash University, Department of Econometrics and Business Statistics.
    3. Chen, Yu-Lun, 2023. "The crucial role of the five-year Treasury in the US yield curve," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    5. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.

  2. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    See citations under working paper version above.
  3. Tom Engsted, 2016. "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 370-376, April.
    See citations under working paper version above.
  4. Engsted, Tom & Pedersen, Thomas Q., 2015. "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 257-275.
    See citations under working paper version above.
  5. Tom Engsted & Thomas Q. Pedersen, 2014. "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, vol. 2(1), pages 1-27, March.
    See citations under working paper version above.
  6. Engsted, Tom & Pedersen, Thomas Q., 2014. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
    See citations under working paper version above.
  7. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "The Log-Linear Return Approximation, Bubbles, and Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(3), pages 643-665, June.
    See citations under working paper version above.
  8. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    See citations under working paper version above.
  9. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012. "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1255-1265.
    See citations under working paper version above.
  10. Tom Engsted & Bent Nielsen, 2012. "Testing for rational bubbles in a coexplosive vector autoregression," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 226-254, June.
    See citations under working paper version above.
  11. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    See citations under working paper version above.
  12. Tom Engsted & Stig V. Møller, 2010. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 213-227.
    See citations under working paper version above.
  13. Engsted, Tom & Pedersen, Thomas Q., 2010. "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 585-605, September.
    See citations under working paper version above.
  14. Tom Engsted, 2009. "Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak," Journal of Economic Methodology, Taylor & Francis Journals, vol. 16(4), pages 393-408.

    Cited by:

    1. Alexander Libman & Joachim Zweynert, 2014. "Ceremonial Science: The State of Russian Economics Seen Through the Lens of the Work of ‘Doctor of Science’ Candidates," Working Papers 337, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    2. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    3. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    4. Libman, Alexander & Zweynert, Joachim, 2014. "Ceremonial science: The state of Russian economics seen through the lens of the work of ‘Doctor of Science’ candidates," Economic Systems, Elsevier, vol. 38(3), pages 360-378.
    5. Peter J. Veazie, 2015. "Understanding Statistical Testing," SAGE Open, , vol. 5(1), pages 21582440145, January.
    6. Edsel Beja, 2014. "Income growth and happiness: reassessment of the Easterlin Paradox," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 61(4), pages 329-346, December.
    7. Jae H. Kim & Kamran Ahmed & Philip Inyeob Ji, 2018. "Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence," Abacus, Accounting Foundation, University of Sydney, vol. 54(4), pages 524-546, December.
    8. Thomas Mayer, 2012. "Ziliak and McCloskey's Criticisms of Significance Tests: An Assessment," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 256-297, September.
    9. Kim, Jae, 2015. "How to Choose the Level of Significance: A Pedagogical Note," MPRA Paper 66373, University Library of Munich, Germany.
    10. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
    11. Jae H. Kim & In Choi, 2021. "Choosing the Level of Significance: A Decision‐theoretic Approach," Abacus, Accounting Foundation, University of Sydney, vol. 57(1), pages 27-71, March.
    12. Hart Hodges & Steven E. Henson, 2017. "Weak Foundations in Economic Development Programs," Economic Development Quarterly, , vol. 31(2), pages 116-127, May.
    13. Plöckinger, Martin & Aschauer, Ewald & Hiebl, Martin R.W. & Rohatschek, Roman, 2016. "The influence of individual executives on corporate financial reporting: A review and outlook from the perspective of upper echelons theory," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 55-75.
    14. Pinto, Hugo, 2011. "The role of econometrics in economic science: An essay about the monopolization of economic methodology by econometric methods," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(4), pages 436-443, August.
    15. Elisabeth Albertini & Fabienne Berger-Remy, 2019. "Intellectual Capital and Financial Performance: A Meta-Analysis and Research Agenda," Post-Print hal-02139763, HAL.
    16. Beja, Edsel Jr., 2018. "Testing the Easterlin Paradox: Results and Policy Implications," MPRA Paper 101075, University Library of Munich, Germany.
    17. Thomas Mayer, 2012. "Ziliak and McClosky?s Criticisms of Significance Tests: A Damage Assessment," Working Papers 61, University of California, Davis, Department of Economics.

  15. Engsted, Tom & Tanggaard, Carsten, 2007. "The comovement of US and German bond markets," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 172-182.

    Cited by:

    1. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
    2. Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    3. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 113-132.
    4. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    5. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    6. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth Centre Working Paper Series 0902, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    7. Campos, Eduardo Lima & Cysne, Rubens Penha, 2019. "Sustainability of Brazilian public debt: analysis of a possible structural break in the recent period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 806, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    8. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    9. Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
    10. Cavaca, Igor Bastos & Meurer, Roberto, 2021. "International monetary policy spillovers: Linkages between U.S. and South American yield curves," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 737-754.
    11. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite & Michael Lamla, 2019. "Treasuries variance decomposition and the impact of monetary policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1506-1519, October.
    12. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).
    13. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    14. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
    15. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    16. Cysne, Rubens Penha & Campos, Eduardo Lima, 2019. "Sustainability of the Brazilian public pebt an analysis using multicointegration," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 805, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    17. Kiryoung LEE & Chanik JO, 2018. "Forecasting Chinese Business Cycle Using Long-term Interest Rate Comovements," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 118-134, December.
    18. Juneja, Januj, 2012. "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 48-56.
    19. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    20. Chi-Sang Tam & Ip-Wing Yu, 2008. "Modelling sovereign bond yield curves of the US, Japan and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 82-91.
    21. Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.

  16. Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June.

    Cited by:

    1. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    2. Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 1(1), pages 1-28, April.
    3. Ky-Hyang Yuhn & Sang Bong Kim & Joo Ha Nam, 2015. "Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis?," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 255-271, January.
    4. Kevin J. Lansing, 2007. "Rational and near-rational bubbles without drift," Working Paper Series 2007-10, Federal Reserve Bank of San Francisco.
    5. Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
    6. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy (IfW Kiel).
    7. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 123-138, Septiembr.
    8. Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
    9. Kivedal, Bjørnar Karlsen, 2013. "Testing for rational bubbles in the US housing market," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 369-381.
    10. Rambaccussing, Dooruj, 2015. "Modelling Housing Prices using a Present Value State Space Model," SIRE Discussion Papers 2015-80, Scottish Institute for Research in Economics (SIRE).
    11. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
    12. Roberto Esposti & Giulia Listorti, 2013. "Agricultural price transmission across space and commodities during price bubbles," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 125-139, January.
    13. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers 2014-28, Department of Economics and Business Economics, Aarhus University.
    14. Esposti, Roberto & Listorti, Giulia, 2014. "Price transmission in the Swiss wheat market: does sophisticated border protection make the difference?," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182695, European Association of Agricultural Economists.
    15. Wang, Kai-Hua & Su, Chi-Wei & Lobonţ, Oana-Ramona & Moldovan, Nicoleta-Claudia, 2020. "Chinese renewable energy industries’ boom and recession: Evidence from bubble detection procedure," Energy Policy, Elsevier, vol. 138(C).

  17. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March.
    See citations under working paper version above.
  18. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
    See citations under working paper version above.
  19. Tom Engsted & Carsten Tanggaard, 2004. "The Comovement of US and UK Stock Markets," European Financial Management, European Financial Management Association, vol. 10(4), pages 593-607, December.
    See citations under working paper version above.
  20. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
    See citations under working paper version above.
  21. Tom Engsted, 2002. "Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-355, July.

    Cited by:

    1. Wilson Luiz Rotatori & Jan M Podivinsky, 2007. "Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System," EcoMod2007 23900078, EcoMod.
    2. Søren Johansen & Anders Rygh Swensen, 2009. "On a numerical and graphical technique for evaluating some models involving rational expectations," CREATES Research Papers 2009-19, Department of Economics and Business Economics, Aarhus University.
    3. Søren Johansen & Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Statistics Norway, Research Department.
    4. Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2014. "Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 753, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    5. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
    6. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    7. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
    8. Johan Adler, 2006. "The Tax‐smoothing Hypothesis: Evidence from Sweden, 1952–1999," Scandinavian Journal of Economics, Wiley Blackwell, vol. 108(1), pages 81-95, March.
    9. Tom Engsted & Stig V. Møller, 2010. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 213-227.
    10. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    11. Tillmann, Peter, 2005. "The New Keynesian Phillips Curve in Europe: does it fit or does it fail?," Discussion Paper Series 1: Economic Studies 2005,04, Deutsche Bundesbank.
    12. Tom Engsted, 2024. "What Is the False Discovery Rate in Empirical Research?," Econ Journal Watch, Econ Journal Watch, vol. 21(1), pages 1-92–112, March.

  22. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April.
    See citations under working paper version above.
  23. Engsted, Tom, 2002. "Measuring noise in the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 353-370, September.
    See citations under working paper version above.
  24. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.

    Cited by:

    1. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
    2. Chen, Rongda & Wu, Ling & Jin, Chenglu & Wang, Shengnan, 2021. "Unintended investor sentiment on bank financial products: Evidence from China," Emerging Markets Review, Elsevier, vol. 49(C).
    3. Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
    4. Dr. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    5. Engsted, Tom & Tanggaard, Carsten, 2007. "The comovement of US and German bond markets," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 172-182.
    6. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    7. Nico Valckx, 2004. "The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 149-173.
    8. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1507-1534, May.
    9. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    10. Tom Engsted & Thomas Q. Pedersen, 2014. "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, vol. 2(1), pages 1-27, March.
    11. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    12. Xiaojin Sun & Kwok Ping Tsang, 2018. "The impact of monetary policy on local housing markets: Do regulations matter?," Empirical Economics, Springer, vol. 54(3), pages 989-1015, May.
    13. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    14. Albert Wong & Steven Whang & Emilio Sagre & Niha Sachin & Gustavo Dutra & Yew-Wei Lim & Gaetan Hains & Youry Khmelevsky & Frank Zhang, 2023. "Short-Term Stock Price Forecasting using exogenous variables and Machine Learning Algorithms," Papers 2309.00618, arXiv.org.
    15. Abhyankar, Abhay & Gonzalez, Angelica, 2009. "News and the cross-section of expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 996-1004, June.
    16. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
    17. Angelica Gonzalez & Paul André, 2014. "Board Effectiveness and Short Termism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 185-209, January.
    18. Ocran, Mathew & Mlambo, Chipo, 2009. "Excess co-movement in asset prices: The case of South Africa," MPRA Paper 24277, University Library of Munich, Germany.
    19. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April.
    20. Feng, Haoyuan & Liu, Yue & Wu, Jie & Guo, Kun, 2023. "Financial market spillovers and macroeconomic shocks: Evidence from China," Research in International Business and Finance, Elsevier, vol. 65(C).
    21. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    22. Abhay Abhyankar & Angelica Gonzalez, 2007. "What Drives Corporate Bond Market Betas?," Edinburgh School of Economics Discussion Paper Series 157, Edinburgh School of Economics, University of Edinburgh.
    23. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    24. Misheck Mutize & Sean J. Gossel, 2019. "Sovereign Credit Rating Announcement Effects on Foreign Currency Denominated Bond and Equity Markets in Africa," Journal of African Business, Taylor & Francis Journals, vol. 20(1), pages 135-152, January.
    25. Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
    26. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
    27. Lee, Hyunchul, 2021. "Time-varying comovement of stock and treasury bond markets in Europe: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 1-20.
    28. Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
    29. Krapl, Alain & Giaccotto, Carmelo, 2015. "Foreign exchange risk and the term-structure of industry costs of equity," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 71-88.

  25. Bentzen, Jan & Engsted, Tom, 2001. "A revival of the autoregressive distributed lag model in estimating energy demand relationships," Energy, Elsevier, vol. 26(1), pages 45-55.
    See citations under working paper version above.
  26. Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13.

    Cited by:

    1. Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008. "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics 08/19, University of Canterbury, Department of Economics and Finance.
    2. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    3. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
    4. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
    5. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    6. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
    7. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
    8. Bruinshoofd, Allard & Candelon, Bertrand, 2005. "Nonlinear monetary policy in Europe: fact or myth?," Economics Letters, Elsevier, vol. 86(3), pages 399-403, March.
    9. Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.
    10. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.

  27. Tom Engsted & Niels Haldrup, 1999. "Multicointegration in Stock‐Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-254, May.

    Cited by:

    1. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    3. Olgica Glavaški & Emilija Beker Pucar, 2021. "Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 191-226, March.

  28. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-170, March-Apr.

    Cited by:

    1. Carlos José García T. & Jorge Enrique Restrepo, 2003. "Price Inflation and Exchange Rate Pass-Trough in Chile," Money Affairs, CEMLA, vol. 0(1), pages 69-88, January-J.
    2. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
    3. Prudence Serju, 2003. "Monetary Conditions and Core Inflation: an Application of Neural Networks," Money Affairs, CEMLA, vol. 0(1), pages 31-50, January-J.
    4. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    5. Thórarinn G. Pétursson, 2001. "The representative household's demand for money in a cointegrated VAR model," Economics wp12, Department of Economics, Central bank of Iceland.
    6. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei.
    7. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    9. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.
    10. Víctor Tiberio Olivo, 2003. "Taylor Rules and Inflation Targeting do not Work with Systematic Foreign Exchange Market Intervention," Money Affairs, CEMLA, vol. 0(1), pages 51-67, January-J.
    11. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Staff Working Papers 03-24, Bank of Canada.

  29. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

    Cited by:

    1. Hartwell, Christopher A., 2019. "Short waves in Hungary, 1923 and 1946: Persistence, chaos, and (lack of) control," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 532-550.
    2. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy (IfW Kiel).
    3. Hartwell, Christopher A & Szybisz, Martin Andres, 2021. "Corralling Expectations: The Role of Institutions in (Hyper)Inflation," MPRA Paper 105612, University Library of Munich, Germany.
    4. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
    6. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    7. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
    8. Stefka Slavova, 2003. "Money demand during hyperinflation and stabilization: Bulgaria, 1991-2000," Applied Economics, Taylor & Francis Journals, vol. 35(11), pages 1303-1316.
    9. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
    10. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
    11. Zhao, Liuyan, 2017. "The behavior of money demand in the Chinese hyperinflation," China Economic Review, Elsevier, vol. 42(C), pages 145-154.
    12. Mladenovic, Zorica & Petrovic, Pavle, 2010. "Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1369-1384, November.
    13. Rolando Gonzales Martínez, 2013. "Modeling Hyperinflation Phenomenon: A Bayesian Approach," Documentos de Investigación - Research Papers 8, CEMLA.
    14. Petrovic, Pavle & Mladenovic, Zorica, 2000. "Money Demand and Exchange Rate Determination under Hyperinflation: Conceptual Issues and Evidence from Yugoslavia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(4), pages 785-806, November.
    15. Cutsinger, Bryan P. & Rouanet, Louis & Ingber, Joshua S., 2023. "Assignats or death: The politics and dynamics of hyperinflation in revolutionary France," European Economic Review, Elsevier, vol. 157(C).

  30. Engsted, Tom, 1998. "Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(4), pages 291-302, October.

    Cited by:

    1. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
    2. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    3. Stuart Hyde & Keith Cuthbertson & Dirk Nitzsche, 2005. "Resuscitating the C-CAPM: empirical evidence from France and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 337-357.
    4. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.

  31. Tom Engsted, 1998. "Do farmland prices reflect rationally expected future rents?," Applied Economics Letters, Taylor & Francis Journals, vol. 5(2), pages 75-79.

    Cited by:

    1. Miranda, J. & Borner, J. & Kalkuhl, M. & Soares-Filho, B., 2018. "Land speculation and conservation policy leakage in Brazil," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277285, International Association of Agricultural Economists.
    2. Mateusz Tomal & Agata Gumieniak, 2020. "Agricultural Land Price Convergence: Evidence from Polish Provinces," Agriculture, MDPI, vol. 10(5), pages 1-20, May.
    3. Woltjer, Geert B. & Luijt, Jan L. & Jongeneel, Roelof A., 2008. "A Land Market Cycle in the Netherlands," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44376, European Association of Agricultural Economists.
    4. Saguatti, Annachiara & Erickson, Kenneth & Gutierrez, Luciano, 2014. "Spatial panel models for the analysis of land prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182757, European Association of Agricultural Economists.
    5. Onel, Gulcan, 2012. "The Use of Nonstationary Panel Time Series Data in the Analysis of Farmland Values," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124893, Agricultural and Applied Economics Association.
    6. Maurice J. Roche & Kieran McQuinn, 2000. "Speculation in agricultural land," Economics Department Working Paper Series n1010700, Department of Economics, National University of Ireland - Maynooth.
    7. Thibodeau, David R. & Clark, J. Stephen, 2009. "Government support, transfer efficiency, and moral hazard within heterogeneous regions in Canadian Agriculture," 2009 Conference, August 16-22, 2009, Beijing, China 51806, International Association of Agricultural Economists.
    8. Onel, Gulcan, 2009. "Modeling Nonlinearities in Farmland Values: A Dynamic Panel Threshold Error-Correction Model," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49445, Agricultural and Applied Economics Association.
    9. Saguatti, Annachiara & Erickson, Kenneth & Gutierrez, Luciano, 2014. "Spatial panel models for the analysis of land prices," 2014 Third Congress, June 25-27, 2014, Alghero, Italy 172997, Italian Association of Agricultural and Applied Economics (AIEAA).
    10. Gabruch, Mandy L. & Micheels, Eric T., 2017. "2016 WAEA Winning Student Submission: The Effect of Saskatchewan's Ownership Restrictions on Farmland Values," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 42(1), pages 1-13, January.

  32. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.

    Cited by:

    1. Kumar, Saten & Webber, Don J. & Fargher, Scott, 2010. "Money demand stability: A case study of Nigeria," MPRA Paper 26074, University Library of Munich, Germany.
    2. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    3. Meurers Martin, 2004. "Estimating Supply and Demand Functions in International Trade: A Multivariate Cointegration Analysis for Germany / Die Schätzung von Angebots- und Nachfragefunktionen im Außenhandel: Eine multivariate," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 530-556, October.
    4. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.
    5. Pål Boug & Ådne Cappelen & Anders Swensen, 2006. "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, vol. 31(4), pages 821-845, November.

  33. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.

    Cited by:

    1. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach," Working Papers 1303, Department of Applied Economics II, Universidad de Valencia.
    2. Triches, Divanildo & Sleimann Bertussi, Luis Antônio, 2017. "Multicointegração e sustentabilidade da política fiscal no Brasil com regime de quebras estruturais (1997-2015)," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    3. Kaufmann, Sylvia & Kugler, Peter, 2005. "Does Money Matter for Inflation in the Euro Area?," Working papers 2005/09, Faculty of Business and Economics - University of Basel.
    4. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "“The relationship between debt level and fiscal sustainability in OECD countries”," IREA Working Papers 201315, University of Barcelona, Research Institute of Applied Economics, revised Sep 2013.
    5. Ayla Ogus & Niloufer Sohrabji, 2008. "On the optimality and sustainability of Turkey’s current account," Empirical Economics, Springer, vol. 35(3), pages 543-568, November.
    6. Regina Escario & Mar�a Dolores Gadea & Marcela Sabat�, 2009. "Government Solvency or just Pseudo-Sustainability? a Long-Run Multicointegration Approach for Spain," Documentos de Trabajo dt2009-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    7. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    9. Marcus Scheiblecker, 2012. "Modelling Short-run Money Demand for the USA," WIFO Working Papers 442, WIFO.
    10. Kheifets, Igor L. & Phillips, Peter C.B., 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems," Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
    11. Phillips, Peter C.B. & Kheifets, Igor L., 2024. "High-dimensional IV cointegration estimation and inference," Journal of Econometrics, Elsevier, vol. 238(2).
    12. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.
    13. Nimai Das, 2015. "Subnational level fiscal health in India: stability and sustainability implications," Economic Change and Restructuring, Springer, vol. 48(1), pages 71-91, February.
    14. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia.
    15. Alberto Bagnai, 2006. "Structural breaks and the twin deficits hypothesis," International Economics and Economic Policy, Springer, vol. 3(2), pages 137-155, November.
    16. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    17. Flavien Fokou Noumbissie, 2014. "The Impact of Monetary Policy on Financial Market in South Africa: A VAR Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 6(8), pages 636-646.
    18. Neto, David, 2020. "Tracking fiscal discipline. Looking for a PIIGS on the wing," International Economics, Elsevier, vol. 163(C), pages 147-154.
    19. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
    20. Javier Gómez Biscarri & Javier Hualde, 2014. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona School of Economics.
    21. Ding, Shusheng & Zhang, Yongmin, 2020. "Cross market predictions for commodity prices," Economic Modelling, Elsevier, vol. 91(C), pages 455-462.
    22. Hui, Hon Chung, 2013. "Fiscal sustainability in Malaysia: a re-examination," MPRA Paper 80018, University Library of Munich, Germany.
    23. Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
    24. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
    25. Nimai Das, 2013. "Subnational-level Fiscal Health: Stability and Sustainability Implications for Kerala, Punjab, and West Bengal," Working Papers id:5589, eSocialSciences.
    26. Cysne, Rubens Penha & Campos, Eduardo Lima, 2019. "Sustainability of the Brazilian public pebt an analysis using multicointegration," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 805, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    27. Demiralp, Berna & Gantt, Bonnie B. & Selover, David D., 2011. "Modeling unemployment as an inventory: A multicointegration approach," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 724-737.
    28. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.
    29. González, Martín & Gonzalo, Jesús, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. Economía. DE 16009, Universidad Carlos III de Madrid. Departamento de Economía.
    30. Hassler Uwe, 2001. "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 32-44, February.
    31. Olgica Glavaški & Emilija Beker Pucar, 2021. "Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 191-226, March.
    32. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.

  34. Engsted, Tom, 1996. "The monetary model of the exchange rate under hyperinflation: New encouraging evidence," Economics Letters, Elsevier, vol. 51(1), pages 37-44, April.

    Cited by:

    1. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy (IfW Kiel).
    2. Chan, Hing Lin & Lee, Shu Kam & Woo, Kai-Yin, 2003. "An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 327-344.
    3. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
    4. Topal, yavuz Han, 2013. "On the tracks of Zimbabwe’s Hyperinflation: A Quantitative Investigation," MPRA Paper 56117, University Library of Munich, Germany.
    5. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
    6. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
    7. Dimitris Georgoutsos & George Kouretas, 2000. "A Multivariate I(2) Cointegration Analysis Of German Hyperinflation," Working Papers 0001, University of Crete, Department of Economics, revised 00 Jul 2001.
    8. Mladenovic, Zorica & Petrovic, Pavle, 2010. "Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1369-1384, November.
    9. Cutsinger, Bryan P. & Rouanet, Louis & Ingber, Joshua S., 2023. "Assignats or death: The politics and dynamics of hyperinflation in revolutionary France," European Economic Review, Elsevier, vol. 157(C).
    10. Miller, Stephen Matteo & Ndhlela, Thandinkosi, 2020. "Money demand and seignorage maximization before the end of the Zimbabwean dollar," Journal of Macroeconomics, Elsevier, vol. 63(C).
    11. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

  35. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

    Cited by:

    1. Andros Gregoriou & Christos Ioannidis, 2007. "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, vol. 32(1), pages 19-39, April.
    2. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.
    3. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, Department of Economics and Business Economics, Aarhus University.
    4. Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 70-91.
    5. Luciano Fanti & Luca Gori, 2013. "Fertility-related pensions and cyclical instability," Journal of Population Economics, Springer;European Society for Population Economics, vol. 26(3), pages 1209-1232, July.
    6. Luciano Fanti & Luca Gori & Cristiana Mammana & Elisabetta Michetti, 2018. "A model of growth with inherited tastes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 163-186, November.
    7. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    8. Luciano, Fanti & Luca, Gori & Cristiana, Mammana & Elisabetta, Michetti, 2016. "Complex dynamics in an OLG model of growth with inherited tastes," MPRA Paper 69906, University Library of Munich, Germany.
    9. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
    10. Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
    11. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
    12. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    13. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.
    14. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
    15. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April.
    16. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
    17. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    18. Auer Benjamin R., 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(5), pages 518-544, October.
    19. Ms. Aude Pommeret & Ms. Anne Epaulard, 2001. "Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data," IMF Working Papers 2001/117, International Monetary Fund.
    20. Tomáš Pražák, 2018. "The Effect of Economic Factors on Performance of the Stock Market in the Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(6), pages 1613-1626.
    21. Chen, Zhuo & Liu, Jinyu & Lu, Andrea & Tao, Libin, 2024. "Carbon dioxide and asset pricing: Evidence from international stock markets," Journal of Empirical Finance, Elsevier, vol. 75(C).
    22. Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
    23. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    24. Nielsen, Jens Pech & Sperlich, Stefan, 2001. "Prediction of stocks: a new way to look at it," DES - Working Papers. Statistics and Econometrics. WS ws011812, Universidad Carlos III de Madrid. Departamento de Estadística.
    25. Hélène Hamisultane, 2007. "Utility-based Pricing of the Weather Derivatives," Working Papers halshs-00088701, HAL.
    26. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.
    27. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
    28. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

  36. Engsted, Tom, 1996. "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, vol. 12(2), pages 289-295, June.

    Cited by:

    1. Luisa Malaguti & Costanza Torricelli, 2001. "The rational expectation dynamics of a model for the term structure and monetary policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 137-152, November.
    2. JG. Gonzalez & RW. Spencer & DT. Walz, 2000. "The term structure of interest rates and the Mexican economy," Contemporary Economic Policy, Western Economic Association International, vol. 18(3), pages 284-294, July.
    3. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
    4. Cuthbertson, Keith & Bredin, Don, 2001. "Risk Premia and Long Rates in Ireland," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 391-403, September.
    5. Leo Krippner, 1998. "Testing the predictive power of New Zealand bank bill futures rates," Reserve Bank of New Zealand Discussion Paper Series G98/8, Reserve Bank of New Zealand.
    6. Gonzalez, Jorge & Spencer, Roger & Walz, Daniel, 1999. "The information in the Mexican term structure of interest rates: capital market implications," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 149-161, April.
    7. M. Isabel Martínez-Serna & Eliseo Navarro-Arribas, 2002. "El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española," Investigaciones Economicas, Fundación SEPI, vol. 26(2), pages 323-357, May.
    8. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    9. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
    10. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281.
    11. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    12. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
    13. Pawel Milobedzki, 2012. "The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 5-18.
    14. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
    15. Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
    16. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
    17. Reyna Cerecero Mario & Salazar Cavazos Diana & Salgado Banda Héctor, 2008. "The Yield Curve and its Relation with Economic Activity: The Mexican Case," Working Papers 2008-15, Banco de México.

  37. Engsted, Tom, 1995. "Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 42-54, February.

    Cited by:

    1. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
    2. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
    3. Diego Romero-Ávila, 2007. "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 980-1007, August.
    4. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 817-838.
    5. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
    6. Mirdala, Rajmund, 2009. "Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky [Inflation expectations and interest rates development in the Visegrad countries]," MPRA Paper 17059, University Library of Munich, Germany.
    7. Yu Hsing, 1997. "The Fisher hypothesis revisited: new evidence," Applied Economics, Taylor & Francis Journals, vol. 29(8), pages 1055-1059.
    8. Uddin, Gazi Salah & Alam, Md. Mahmudul & Alam, Kazi Ashraful, 2019. "An Empirical Evidence of Fisher Effect in Bangladesh: A Time-Series Approach," SocArXiv udpwj, Center for Open Science.
    9. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    10. Yash P. Mehra, 1997. "The bond rate and actual future inflation," Working Paper 97-03, Federal Reserve Bank of Richmond.
    11. Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
    12. Peresetsky, Anatoly & Ivanter, Alexander, 2000. "Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-140.
    13. Ron Lange, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
    14. Rajmund MIRDALA, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 6(4), pages 714-737.
    15. Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, vol. 86(Q III), pages 5-42.
    16. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    17. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
    18. Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
    19. Dong-Hyeon Kim & Shu-Chin Lin & Joyce Hsieh & Yu-Bo Suen, 2018. "The Fisher Equation: A Nonlinear Panel Data Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(1), pages 162-180, January.
    20. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques," Discussion Papers of DIW Berlin 1667, DIW Berlin, German Institute for Economic Research.
    21. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April.
    22. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
    23. Katsuhiro Sugita, 2017. "Non-Linear Analysis of the Fisher Effect: In the Case of Japan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 1-9, November.
    24. S, Surayya, 2018. "Alternative Specifications of Fisher Hypothesis: An Empirical Investigation," MPRA Paper 90320, University Library of Munich, Germany.
    25. Malliaropulos, Dimitrios, 2000. "A note on nonstationarity, structural breaks, and the Fisher effect," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 695-707, May.
    26. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
    27. Salah Nusair, 2008. "Testing for the Fisher hypothesis under regime shifts: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, vol. 22(2), pages 273-284.
    28. Mirdala, Rajmund, 2012. "Interest Rates Determination and Crisis Puzzle (Empirical Evidence from the European Transition Economies)," MPRA Paper 43756, University Library of Munich, Germany.
    29. James Payne & Bradley Ewing, 1997. "Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 683-687.
    30. Booth, G. Geoffrey & Ciner, Cetin, 2001. "The relationship between nominal interest rates and inflation: international evidence," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 269-280, July.
    31. Faria, Joao Ricardo & Mollick, Andre Varella, 2004. "The nominal theory of interest under habit formation: evidence for the U.S., 1959-2002," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 333-354, December.
    32. Yash P. Mehra, 1998. "The bond rate and actual future inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 27-47.
    33. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

  38. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.

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    1. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.
    2. Dankenbring, Henning, 1998. "Volatility estimates of the short term interest rate with an application to German data," SFB 373 Discussion Papers 1998,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Thornton, Daniel-L, 2004. "Testing the Expectations Hypothesis: Some New Evidence for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
    4. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
    5. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 1998. "Interest Rates in Germany and the UK: Cointegration and Error Correction Models," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 27-43, January.
    6. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
    7. Dominguez, Emilio & Novales, Alfonso, 2000. "Testing the expectations hypothesis in Eurodeposits," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 713-736, October.
    8. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
    9. Engsted, Tom, 1996. "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, vol. 12(2), pages 289-295, June.
    10. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
    11. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 81-100, March.
    12. Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
    13. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2013. "The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 24-34.
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    15. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
    16. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    17. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 817-838.
    18. Markku Lanne, 1995. "Co-integration and the term structure of Finnish short-term interest rates," Finnish Economic Papers, Finnish Economic Association, vol. 8(1), pages 3-16, Spring.
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    20. Sonia Benito & Alfonso Novales Cinca, 2005. "A factor analysis of volatility across the term structure: the Spanish case," Documentos de Trabajo del ICAE 0502, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    21. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Division of Economics, School of Business, University of Leicester.
    22. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
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    24. Tronzano, Marco, 2015. "The Term Structure of Interest Rates in India: Evidence from the Post-Liberalization Period (1996-2013). -La struttura a termine dei tassi di interesse in India: una analisi empirica sul recente perio," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 275-295.
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    26. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
    27. Francesco Drudi & Roberto Violi, 1999. "Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire," Économie et Prévision, Programme National Persée, vol. 140(4), pages 21-34.
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    31. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    32. Ron Lange, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
    33. Panagiotis T. Konstantinou, 2005. "The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(3), pages 70-91, May.
    34. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
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    36. Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
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    38. Clinebell, John M. & Kahl, Douglas R. & Stevens, Jerry L., 2000. "Integration of LIBOR and Treasury bill yields over different monetary regimes," Global Finance Journal, Elsevier, vol. 11(1-2), pages 17-30.
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    41. Pilar Abad Romero, 2003. "Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés," Working Papers 0306, Universidade de Vigo, Departamento de Economía Aplicada.
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    61. Wilms, Ines & Croux, Christophe, 2016. "Forecasting using sparse cointegration," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1256-1267.
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    Cited by:

    1. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
    2. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    3. Fanelli, Luca, 2007. "Present Value Relations, Granger Noncausality, And Var Stability," Econometric Theory, Cambridge University Press, vol. 23(6), pages 1254-1260, December.
    4. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei.
    5. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November.
    6. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
    7. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.
    8. Pål Boug & Ådne Cappelen & Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Statistics Norway, Research Department.
    9. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    10. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
    11. Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Statistics Norway, Research Department.
    12. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
    13. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
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  40. Engsted, Tom, 1993. "Cointegration and Cagan's Model of Hyperinflation under Rational Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 350-360, August.

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    1. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy (IfW Kiel).
    2. John Ashworth & Lynne Evans, 1998. "Functional form of the demand for real balances in Cagan's hyperinflation model," Applied Economics, Taylor & Francis Journals, vol. 30(12), pages 1617-1623.
    3. Chan, Hing Lin & Lee, Shu Kam & Woo, Kai-Yin, 2003. "An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 327-344.
    4. Thomas M. FULLERTON & Miguel MARTINEZ & Wm. Doyle SMITH & Adam WALKE, 2015. "Inflationary Dynamics in Guatemala," Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 436-444, December.
    5. Engsted, Tom, 1996. "The monetary model of the exchange rate under hyperinflation: New encouraging evidence," Economics Letters, Elsevier, vol. 51(1), pages 37-44, April.
    6. Thomas M Fullerton Jr & Sylvanus I Ikhide, 2004. "An Econometric Analysis of the Nigerian Consumer Price Index," Development and Comp Systems 0407010, University Library of Munich, Germany.
    7. Gonzalo, Jesús & González Rozada, Martín, 1996. "Non-exact present value relations," DES - Working Papers. Statistics and Econometrics. WS 4544, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Topal, yavuz Han, 2013. "On the tracks of Zimbabwe’s Hyperinflation: A Quantitative Investigation," MPRA Paper 56117, University Library of Munich, Germany.
    9. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
    10. Alexei Deviatov & Neil Wallace, 2006. "Estimating a Cagan-type demand function for gold: 1561-1913," Working Papers w0080, Center for Economic and Financial Research (CEFIR).
    11. Stefka Slavova, 2003. "Money demand during hyperinflation and stabilization: Bulgaria, 1991-2000," Applied Economics, Taylor & Francis Journals, vol. 35(11), pages 1303-1316.
    12. Tourinho, Octávio A. F ., 1997. "The Demand and Supply of Money Under High Inflation: Brazil 1974-1994," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.
    13. Feliz, Raul Anibal & Welch, John H., 1997. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, and Peru," Journal of Development Economics, Elsevier, vol. 52(1), pages 189-219, February.
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    15. Wilson Luiz Rotatori Correa, 2009. "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 10(1), pages 69-100.
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    17. Dimitris Georgoutsos & George Kouretas, 2000. "A Multivariate I(2) Cointegration Analysis Of German Hyperinflation," Working Papers 0001, University of Crete, Department of Economics, revised 00 Jul 2001.
    18. Wilson Luiz Rotatori, 2006. "Dynamic Structural Models And The High Inflation Period In Brazil: Modelling The Monetary System," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 44, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
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    20. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
    21. Petrovic, Pavle & Vujosevic, Zorica, 1996. "The monetary dynamics in the Yugoslav hyperinflation of 1991-1993: The Cagan money demand," European Journal of Political Economy, Elsevier, vol. 12(3), pages 467-483, November.
    22. Thomas M Fullerton Jr & Eiichi Araki, 2004. "A Theoretical Model of Industrial Economy Inflationary Dynamics," Macroeconomics 0408007, University Library of Munich, Germany.
    23. Petrovic, Pavle & Mladenovic, Zorica, 2000. "Money Demand and Exchange Rate Determination under Hyperinflation: Conceptual Issues and Evidence from Yugoslavia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(4), pages 785-806, November.
    24. Fernando de Holanda Barbosa & Tito Nícias Teixeira da Silva Filho, 2008. "Testing Hyperinflation Theories Using the Inflation Tax Curve: A Case Study," Working Papers Series 166, Central Bank of Brazil, Research Department.
    25. González, Martín & Gonzalo, Jesús, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. Economía. DE 16009, Universidad Carlos III de Madrid. Departamento de Economía.
    26. Thomas M Fullerton Jr & Roberto Tinajero, 2004. "Short-Run Price Dynamics in Mexico," Macroeconomics 0407027, University Library of Munich, Germany.
    27. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

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    1. Konstantinou, Panagiotis, 2004. "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 57(3), pages 315-331.

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