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Some tests for parameter constancy in cointegrated VAR-models

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Cited by:

  1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  2. Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019. "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
  3. Byrne, Joseph P. & Nagayasu, Jun, 2010. "Structural breaks in the real exchange rate and real interest rate relationship," Global Finance Journal, Elsevier, vol. 21(2), pages 138-151.
  4. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
  5. Lahura, Erick, 2017. "Monetary Aggregates and Monetary Policy in Peru," Working Papers 2017-003, Banco Central de Reserva del Perú.
  6. Farhani, Sahbi & Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014. "The role of natural gas consumption and trade in Tunisia's output," Energy Policy, Elsevier, vol. 66(C), pages 677-684.
  7. Jamal HUSEIN, 2008. "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2).
  8. 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.
  9. Hoffmann, Mathias, 2004. "International capital mobility in the long run and the short run: can we still learn from saving-investment data?," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 113-131, February.
  10. Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011. "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers 2011015, The University of Sheffield, Department of Economics, revised May 2011.
  11. Josef C. Brada & Ali M. Kutan & Su Zhou, 2002. "Real and Monetary Convergence within the European Union and Between the European Union and Candidate Countries: A Rolling Cointegration Approach," William Davidson Institute Working Papers Series 458, William Davidson Institute at the University of Michigan.
  12. Caporale, Guglielmo Maria & Costantini, Mauro & Paradiso, Antonio, 2013. "Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 215-225.
  13. Paul Alagidede & Theodore Panagiotidis, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 91-100, August.
  14. Atkinson, Tyler & Duca, John V., 2019. "Venture capital restrained after Sarbanes–Oxley," Economics Letters, Elsevier, vol. 175(C), pages 84-87.
  15. Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1333-1340.
  16. Philipp Gersing & Leopold Soegner & Manfred Deistler, 2022. "Retrieval from Mixed Sampling Frequency: Generic Identifiability in the Unit Root VAR," Papers 2204.05952, arXiv.org, revised Jul 2023.
  17. 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.
  18. Yin Zhang & Guanghua Wan, 2004. "Output and Price Fluctuations in China's Reform Years: What Role did Money Play?," WIDER Working Paper Series RP2004-56, World Institute for Development Economic Research (UNU-WIDER).
  19. Eisenkopf, Gerald & Hessami, Zohal & Fischbacher, Urs & Ursprung, Heinrich W., 2015. "Academic performance and single-sex schooling: Evidence from a natural experiment in Switzerland," Journal of Economic Behavior & Organization, Elsevier, vol. 115(C), pages 123-143.
  20. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.
  21. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, vol. 67(3), pages 243-258.
  22. Nakashima, Kiyotaka & Saito, Makoto, 2012. "On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 26(3), pages 454-471.
  23. Beyer, Andreas & Farmer, Roger E.A., 2007. "Natural rate doubts," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 797-825, March.
  24. Theodore Panagiotidis & Emilie Rutledge, 2005. "Oil And Gas Markets In The Uk: Evidence For From A Cointegrating Approach," Econometrics 0504004, University Library of Munich, Germany.
  25. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  26. Franz Seitz & Julian von Landesberger, 2014. "Household Money Holdings in the Euro Area: An Explorative Investigation," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 83-115, November.
  27. Balàzs Ègert, 2003. "Nominal and real convergence in Estonia: the Balassa-Samuelson (Dis)connection," Bank of Estonia Working Papers 2003-4, Bank of Estonia, revised 10 Oct 2003.
  28. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  29. Maria-Eleni K. Agoraki & Dimitris A. Georgoutsos & Georgios P. Kouretas, 2019. "Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices," JRFM, MDPI, vol. 12(4), pages 1-20, December.
  30. Eskandar Elmarzougui & Bruno Larue, 2013. "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., vol. 29(3), pages 344-360, June.
  31. Gibson, Heather D. & Hall, Stephen G. & Petroulas, Pavlos & Spiliotopoulos, Vassilis & Tavlas, George S., 2020. "The effect of emergency liquidity assistance (ELA) on bank lending during the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 108(C).
  32. Sellin, Peter, 2007. "Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts," Working Paper Series 213, Sveriges Riksbank (Central Bank of Sweden).
  33. Paap, Richard & van Dijk, Herman K, 2003. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-563, October.
  34. Xu, Xiaojie, 2014. "Causality and Price Discovery in U.S. Corn Markets: An Application of Error Correction Modeling and Directed Acyclic Graphs," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169806, Agricultural and Applied Economics Association.
  35. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, July.
  36. Juan Carlos Cuestas & Bruce Philp, 2012. "Economic class and the distribution of income: a time-series analysis of the UK economy, 1955--2010," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(5), pages 565-578, October.
  37. Saang Joon Baak, 2011. "Measuring Misalignments in the Korean Exchange Rate (ROK Economic System Series No.19)," Discussion papers 1102, ERINA - Economic Research Institute for Northeast Asia.
  38. Peter Claeys, 2007. "Estimating the effects of fiscal policy under the budget constraint," IREA Working Papers 200715, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007.
  39. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2014. "Purchasing Power Parity Between the UK and Germany: The Euro Era," Open Economies Review, Springer, vol. 25(4), pages 677-699, September.
  40. Ali Kutan & Su Zhou, 2003. "Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests," Open Economies Review, Springer, vol. 14(4), pages 369-379, October.
  41. Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019. "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, vol. 211(2), pages 461-482.
  42. Jacob Wells & Peter Slade, 2021. "The effect of the Canada–China canola trade dispute on canola prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 69(1), pages 141-149, March.
  43. Nelissa Jamora & Stephan von Cramon-Taubadel, 2017. "What World Price?," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 39(3), pages 479-498.
  44. Iikka Korhonen & Aaron Mehrotra, 2010. "Money Demand in Post-Crisis Russia: Dedollarization and Remonetization," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(2), pages 5-19, March.
  45. repec:kap:iaecre:v:14:y:2008:i:1:p:36-47 is not listed on IDEAS
  46. Naser, Hanan, 2014. "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper 65252, University Library of Munich, Germany, revised 25 Mar 2015.
  47. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia - Who benefited and who lost?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125142, Agricultural and Applied Economics Association.
  48. Alessandra Dal Colle, 2011. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR," Empirical Economics, Springer, vol. 41(1), pages 127-154, August.
  49. Kannika Duangnate & James W. Mjelde, 2020. "Prequential forecasting in the presence of structure breaks in natural gas spot markets," Empirical Economics, Springer, vol. 59(5), pages 2363-2384, November.
  50. Ojiambo Elphas & Jacob Oduor & Mburu Tom & Wawire Nelson, 2015. "Working Paper 226 - Aid Unpredictability and Economic Growth in Kenya," Working Paper Series 2169, African Development Bank.
  51. Ali Darrat & Ross Dickens & Osamah Al-Khazali, 2006. "Interactions between mortgage and other capital markets in the USA: has financial deregulation made a difference?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 335-345.
  52. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
  53. Fiess, Norbert M. & Fugazza, Marco & Maloney, William F., 2008. "Informality and Macroeconomic Fluctuations," IZA Discussion Papers 3519, Institute of Labor Economics (IZA).
  54. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
  55. Benati, Luca & Lucas, Robert E. & Nicolini, Juan Pablo & Weber, Warren, 2021. "International evidence on long-run money demand," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
  56. Alexander Ludwig, 2014. "Credit risk-free sovereign bonds under Solvency II: a cointegration analysis with consistently estimated structural breaks," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 811-823, June.
  57. Jun Nagayasu, 2012. "Financial innovation and regional money," Applied Economics, Taylor & Francis Journals, vol. 44(35), pages 4617-4629, December.
  58. Stelios Bekiros & Christos Avdoulas, 2020. "Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis," Forecasting, MDPI, vol. 2(2), pages 1-28, May.
  59. Saang Joon Baak, 2011. "Measuring Misalignments in the Korean Exchange Rate (ROK Economic System Series No.19)," Discussion papers 1102e, ERINA - Economic Research Institute for Northeast Asia.
  60. Jorah Ramlan & Elsadig Musa Ahmed, 2009. "Information and Communication Technology (ICT) and human capital management trend in Malaysia's economic development," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1881-1886.
  61. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia – Did consumers really benefit?," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 133023, German Association of Agricultural Economists (GEWISOLA).
  62. N Fiess & M Fugazza & WF Maloney, 2006. "Informal Labor Markets and Macroeconomic Fluctuations," Working Papers 2006_17, Business School - Economics, University of Glasgow.
  63. Luz Adriana Flórez & Carlos Esteban Posda & José Fernando Escobar, 2004. "El crédito y sus factores determinantes: el caso colombiano (1990 -2004)," Borradores de Economia 311, Banco de la Republica de Colombia.
  64. Philip Kostov & John Lingard, 2004. "Recurrence analysis techniques for non-stationary and non-linear data," Microeconomics 0409003, University Library of Munich, Germany.
  65. Diamandis, Panayiotis F., 2003. "Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 89-110.
  66. Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  67. Abdelradi, Fadi & Serra, Teresa, 2015. "Food–energy nexus in Europe: Price volatility approach," Energy Economics, Elsevier, vol. 48(C), pages 157-167.
  68. Sophocles N. Brissimis & Theodora S. Kosma, 2005. "Market Power, Innovative Activity and Exchange Rate Pass-Through," Working Papers 22, Bank of Greece.
  69. Dr. Ordean Olson, 2013. "The Role of Productivity in Economic Growth and Equilibrium," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(11), pages 1497-1527, November.
  70. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
  71. Luca Benati, 2022. "A New Approach to Estimating the Natural Rate of Interest," Diskussionsschriften dp2210, Universitaet Bern, Departement Volkswirtschaft.
  72. Lahura, Erick, 2010. "Monetary aggregates and monetary policy: an empirical assessment for Peru," Working Papers 2010-019, Banco Central de Reserva del Perú.
  73. Alessandro Calza & Andrea Zaghini, 2016. "Shoe-Leather Costs in the Euro Area and the Foreign Demand for Euro Banknotes," International Journal of Central Banking, International Journal of Central Banking, vol. 12(1), pages 231-246, March.
  74. repec:ipg:wpaper:2014-474 is not listed on IDEAS
  75. Sahbi Farhani & Anissa Chaibi & Christophe Rault, 2014. "A study of CO2 emissions, output,energy consumption, and trade," Working Papers 2014-56, Department of Research, Ipag Business School.
  76. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
  77. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
  78. Søren Johansen, 2014. "Times Series: Cointegration," CREATES Research Papers 2014-38, Department of Economics and Business Economics, Aarhus University.
  79. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
  80. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, vol. 52(6), pages 964-986, August.
  81. Mariam CAMARERO & Juan Carlos CUESTAS & Javier ORDÓÑEZ, 2008. "The Role Of Commodity Terms Of Trade In The Determination Of The Real Exchange Rates Of The Mediterranean Countries," The Developing Economies, Institute of Developing Economies, vol. 46(2), pages 188-205, June.
  82. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
  83. Osbat, Chiara & Rüffer, Rasmus & Schnatz, Bernd, 2003. "The rise of the yen vis-a-vis the "synthetic" euro: is it supported by economic fundamentals?," Working Paper Series 224, European Central Bank.
  84. Chen, K.C. & Chen, Shaoling & Wu, Lifan, 2009. "Price causal relations between China and the world oil markets," Global Finance Journal, Elsevier, vol. 20(2), pages 107-118.
  85. Djuric, Ivan & Götz, Linde, 2016. "Export restrictions – Do consumers really benefit? The wheat-to-bread supply chain in Serbia," Food Policy, Elsevier, vol. 63(C), pages 112-123.
  86. Sébastien Morin, 2004. "Ruptures structurelles sur les marchés action et obligataire américains : preuve empirique à partir de la méthode de Saikkönen," Economie & Prévision, La Documentation Française, vol. 166(5), pages 87-98.
  87. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
  88. Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011. "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(5), pages 1493-1520, October.
  89. Rabah Arezki & Kirk Hamilton & Kazim Kazimov, 2011. "Resource Windfalls, Macroeconmic Stability and Growth: The Role of Political Institutions," CESifo Working Paper Series 3678, CESifo.
  90. Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 29-41.
  91. Luca Nocciola, 2022. "Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 167-196, Emerald Group Publishing Limited.
  92. Dirk G. Baur, 2010. "Stock-bond co-movements and cross-country linkages," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 111-129.
  93. Aaron Mehrotra, 2008. "Demand for Money in Transition: Evidence from China’s Disinflation," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 36-47, February.
  94. Jian Yang & Zheng Li & Tao Wang, 2021. "Price discovery in chinese agricultural futures markets: A comprehensive look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 536-555, April.
  95. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
  96. Raj Aggarwal & Brian Lucey & Cal Muckley, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48(3), pages 641-660, June.
  97. Naser, Hanan, 2015. "Analysing the long-run relationship among oil market, nuclear energy consumption, and economic growth: An evidence from emerging economies," Energy, Elsevier, vol. 89(C), pages 421-434.
  98. Dreger, Christian & Wolters, Jürgen, 2016. "On the Empirical Relevance of the Lucas Critique: the Case of Euro Area Money Demand," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43(1), pages 61-82.
  99. Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022. "Time-varying cointegration and the Kalman filter," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
  100. Mikael Juselius & Mathias Drehmann, 2020. "Leverage Dynamics and the Burden of Debt," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 347-364, April.
  101. Yang, Zan & Wang, S.T., 2012. "Permanent and transitory shocks in owner-occupied housing: A common trend model of price dynamics," Journal of Housing Economics, Elsevier, vol. 21(4), pages 336-346.
  102. Zhang, Qiang & Reed, Michael R., 2008. "Examining the Impact of the World Crude Oil Price on China's Agricultural Commodity Prices: The Case of Corn, Soybean, and Pork," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6797, Southern Agricultural Economics Association.
  103. Juan Carlos Cuestas & Paulo José Regis, 2013. "On the Relationship Between Exchange Rates and External Imbalances: East and Southeast Asia," Working Papers 2013015, The University of Sheffield, Department of Economics.
  104. Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019. "A cointegration model of money and wealth," CFS Working Paper Series 619, Center for Financial Studies (CFS).
  105. Helmut Herwartz & Fang Xu, 2020. "Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 164-190, January.
  106. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  107. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
  108. Brissimis, Sophocles N. & Kosma, Theodora, 2005. "Market power, innovative activity and exchange rate pass-through in the euro area," Working Paper Series 531, European Central Bank.
  109. Juan Carlos Cuestas & Bruce Philp, 2010. "Exploitation and the class struggle," NBS Discussion Papers in Economics 2010/2, Economics, Nottingham Business School, Nottingham Trent University.
  110. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007.
  111. Carlos Capistrán & Daniel Chiquiar & Juan R. Hernández, 2019. "Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 207-254, December.
  112. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
  113. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-20.
  114. Lips Johannes, 2017. "Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-30, July.
  115. Giulio Cifarelli & Giovanna Paladino, 2009. "The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation," Open Economies Review, Springer, vol. 20(4), pages 525-543, September.
  116. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(1), pages 11-40, April.
  117. Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October.
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  119. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  120. Ourania Dimitraki & Faek Menla Ali, 2015. "The Long-run Causal Relationship Between Military Expenditure and Economic Growth in China: Revisited," Defence and Peace Economics, Taylor & Francis Journals, vol. 26(3), pages 311-326, June.
  121. Carstensen, Kai, 2007. "Is core money growth a good and stable inflation predictor in the euro area?," Kiel Working Papers 1318, Kiel Institute for the World Economy (IfW Kiel).
  122. Hernán Rincón & Édgar Caicedo & Norberto Rodríguez, 2007. "Exchange rate pass-through effects: A disaggregate analysis of Colombian imports of manufactured goods," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 25(54), pages 90-121, June.
  123. Macchiarelli, Corrado, 2014. "Bond market co-movements, expected inflation and the GBP-USD equilibrium real exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 242-256.
  124. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
  125. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
  126. Islam Hassouneh & Teresa Serra & José M. Gil, 2010. "Price transmission in the Spanish bovine sector: the BSE effect," Agricultural Economics, International Association of Agricultural Economists, vol. 41(1), pages 33-42, January.
  127. Elger Thomas & Binner Jane M., 2004. "The UK Household Sector Demand for Risky Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-22, March.
  128. Zhao, Yanping & de Haan, Jakob & Scholtens, Bert & Yang, Haizhen, 2013. "The relationship between the Renminbi future spot return and the forward discount rate," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 156-168.
  129. Mikael Juselius & Mathias Drehmann, 2020. "Leverage Dynamics and the Burden of Debt," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 347-364, April.
  130. Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
  131. Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series 591, European Central Bank.
  132. Xiaojie Xu & Yun Zhang, 2022. "Contemporaneous causality among one hundred Chinese cities," Empirical Economics, Springer, vol. 63(4), pages 2315-2329, October.
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