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  • Articles  (46)
  • cointegration  (46)
  • Springer  (46)
  • Blackwell Publishers Ltd
  • Economics  (46)
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  • Articles  (46)
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  • Springer  (46)
  • Blackwell Publishers Ltd
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  • 1
    Electronic Resource
    Electronic Resource
    Business Sector Production in the Short and Long Run in Israel (1997)
    Springer
    Journal of productivity analysis 8 (1997), S. 53-69 
    Details
    ISSN: 1573-0441
    Keywords: production functions ; cointegration ; Israel
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Engle-Granger representation theory is used to estimate the secular and cyclical determinants of business output in Israel during 1960–1988. The specification of the secular production function is based on the technique of cointegration, while the cyclical, or short-term, production function is specified in terms of an error correction model. In the preferred model of the secular production function returns to scale are slightly increasing and the productivity of Palestinian workers is approximately 40 percent of Israeli workers. In the short-term production function total factor productivity is pro-cyclical.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007724414825
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  • 2
    Electronic Resource
    Electronic Resource
    International Convergence of Capital Market Interest Rates (1998)
    Springer
    De economist 146 (1998), S. 257-269 
    Details
    ISSN: 1572-9982
    Keywords: interest rate convergence ; principal components analysis ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article investigates the extent of capital market interest rate convergence among six EU countries on the one hand, and a group of four countries with floating exchange rates - US, Germany, Japan, and Switzerland - on the other. We conclude that interest rate changes within the EU have been and still are converging gradually since 1980. Within the group of free-float currencies, the increase in convergence occurred abruptly around 1980, after which the extent of convergence remained roughly constant. Moreover, the presumed higher influence of US long-term interest rates on the level of German interest rates could not be detected.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1003296928097
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  • 3
    Electronic Resource
    Electronic Resource
    Macroeconomic Development and Civil Litigation (2000)
    Springer
    European journal of law and economics 9 (2000), S. 215-230 
    Details
    ISSN: 1572-9990
    Keywords: civil litigation ; macroeconomic development ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Law , Economics
    Notes: Abstract This paper contributes to the explanation of the tremendous rise in civil litigation activity in Austria over the last four decades by analysing the influence of macroeconomic conditions on civil litigation. We find that the number of transactions per individual—proxied by the level of real per capita GDP—positively influences the amount of litigation per capita. Inertia in litigious behavior reinforces effects. In the short run, however, we observe a countercyclical pattern of litigious activity. Cointegration analysis confirms the short run negative association, and a long run cointegrating relationship between GDP and civil litigation. Several robustness tests corroborate our results. Rent-seeking interpretations, and possible detrimental effects on the long run growth prospects cannot be excluded.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018797020998
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  • 4
    Electronic Resource
    Electronic Resource
    The demand for broad money in Norway, 1969–1993 (1998)
    Springer
    Empirical economics 23 (1998), S. 339-354 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Money demand ; price/wage formation ; cointegration ; dynamic specification ; conditional models ; error correction ; JEL classification: C22 ; C32 ; E31 ; E41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long run these shocks are absorbed, and a long run demand for money relationship is identified in which real money is determined by real income, the relative price on financial assets (the yield spread) and the relative price on goods (the own real interest rate). Money adjusts dynamically to changes in the exchange rate and private wealth. Domestic price inflation is affected by imported inflation including currency depreciation (a pass through effect), domestic cost pressure (unit labour costs), and excess demand in the product market (output gap effect).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050024
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  • 5
    Electronic Resource
    Electronic Resource
    Stability of money demand in Switzerland: A comparison of the M2 and M3 cases (1998)
    Springer
    Empirical economics 23 (1998), S. 437-454 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Demand for Money ; cointegration ; sequential reduction ; JEL classification: E52; E41; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for Δm2 and a single-equation model for Δcpi is built respectively for M2 and M3, and both estimated models are found to be stable. Testing forecast performance, the Δcpi model seems to be superior to the Δm2 model, providing some positive signs that the M3 model is stable in the sense that it does not suffer from a structural break during the period of estimation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050030
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  • 6
    Electronic Resource
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    Money demand stability: Evidence from Spain (1998)
    Springer
    Empirical economics 23 (1998), S. 387-400 
    Details
    ISSN: 1435-8921
    Keywords: Money demand ; cointegration ; stability ; regime shift ; E41 ; C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed. The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294414
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  • 7
    Electronic Resource
    Electronic Resource
    Stability of money demand in Switzerland: A comparison of the M2 and M3 cases (1998)
    Springer
    Empirical economics 23 (1998), S. 437-454 
    Details
    ISSN: 1435-8921
    Keywords: Demand for Money ; cointegration ; sequential reduction ; E52 ; E41 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for Δm2 and a single-equation model for Δcpi is built respectively for M2 and M3, and both estimated models are found to be stable. Testing forecast performance, the Δcpi model seems to be superior to the Δm2 model, providing some positive signs that the M3 model is stable in the sense that it does not suffer from a structural break during the period of estimation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294417
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  • 8
    Electronic Resource
    Electronic Resource
    Money demand stability: Evidence from Spain (1998)
    Springer
    Empirical economics 23 (1998), S. 387-400 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Money demand ; cointegration ; stability ; regime shift ; JEL classification: E41 ; C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed.  The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050027
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  • 9
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    Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK (1998)
    Springer
    Empirical economics 23 (1998), S. 267-294 
    Details
    ISSN: 1435-8921
    Keywords: Exogeneity ; causality ; invariance ; cointegration ; co-breaking ; impulse responses ; money demand ; E41 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294408
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  • 10
    Electronic Resource
    Electronic Resource
    The introduction of seasonal unit roots and cointegration to test index aggregation optimality: An application to a Spanish farm price index (1999)
    Springer
    Empirical economics 24 (1999), S. 403-414 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Price index ; cointegration ; shared trends ; JEL classifications: C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its components.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050063
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  • 11
    Electronic Resource
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    Economic theory and econometric dynamics in modelling wages and prices in the United Kingdom (1999)
    Springer
    Empirical economics 24 (1999), S. 483-507 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Dynamic econometric models ; steady state ; cointegration ; equilibrium correction ; wages ; prices ; JEL classifications: C32 ; C51 ; E31 ; J30
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We show that a “competing claims” model of imperfect competition can explain the movements of wages and prices in the United Kingdom, using quarterly data covering 1976–93. We argue that careful attention both to economic theory and to the interaction between dynamics and identification is crucial in the building of the model and to dynamic econometric models in general. We use a small numerical example with simulated cointegrated data to illustrate the potential pitfalls.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050068
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  • 12
    Electronic Resource
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    Labor market dynamics when effort depends on wage growth comparisons (2000)
    Springer
    Empirical economics 25 (2000), S. 393-419 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Efficiency wages ; partial gift exchange ; effort function ; cointegration ; GMM. ; JEL Classification number: E24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We present an efficiency wage model in which workers' disutility of effort depends on the level and on the growth rate of their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model are examined and are found to be in accordance with the information in the non-stationary data. The restrictions implied by the model dynamics are not rejected by the data and the structural parameters are found to be constant through time. One interesting result is that the workers' disutility of effort depends less on relative wages growth and more on relative wage levels in the US than in the three European countries analyzed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810000024
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  • 13
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    Estimating unknown join points: Determination of the yen-dollar exchange rate (1994)
    Springer
    Asia Pacific financial markets 1 (1994), S. 55-66 
    Details
    ISSN: 1573-6946
    Keywords: Bayesian procedure ; join point ; switching regression ; ARCH ; GARCH ; cointegration ; error correction
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We propose a Bayesian procedure to estimate a switching regression in which the number of switching points (i.e. join points) is not known. We apply the Bayesian procedure to a regression model for the yen-dollar exchange rate using monthly data from January 1973 to June 1992. We identify three join points in January 1978, September 1988, and March 1990. We compare the post-sample forecast performances of our switching regression model to those of other regression models. The post-sample forecasts show that the Bayesian switching model performs better than the other models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02425209
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  • 14
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    Testing PPP Hypotheses between Japan and the Six G7 Countries (2000)
    Springer
    Asia Pacific financial markets 7 (2000), S. 155-177 
    Details
    ISSN: 1573-6946
    Keywords: cointegration ; error correction model ; one-step prediction ; purchasing power parity ; uncovered interest rate parity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper examines the purchasing power parity(PPP) theory of the foreign exchange rate of the yenagainst the currencies of the six G7 countries. We usethe error-corrected five-dimensional vectorautoregressive (VAR) model with structural changes inthe trend function. The data cover the period of thepost-Breton–Woods floating exchange rate system. Theresults reveal that the PPP relation alone determinesthe exchange rates for the USA, France, Germany, andItaly, while a linear combination of PPP and uncoveredinterest rate parity (UIP) relations determines that for Canada. Ina model without trend breaks, the PPP relations holdonly for Germany, which indicates that a correctspecification of the sampling distribution of data isimportant. The one-step prediction based on the errorcorrection model (ECM) outperforms the random walkmodel. The ECM is useful to predict the out-of-samplebehaviors of the exchange rates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1010021831337
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  • 15
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    On the Long Run Effects of Public Capital and Disaggregated Public Capital on Aggregate Output (1998)
    Springer
    International tax and public finance 5 (1998), S. 263-281 
    Details
    ISSN: 1573-6970
    Keywords: Public capital ; cointegration ; VAR model ; error correction model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We study the cointegration properties of data on aggregate output, five proxies for labor, two proxies for private capital, public capital, and disaggregated public capital for the United States for 1948–1993. We find evidence of multiple cointegrating vectors; we typically find three or four cointegrating vectors depending on which combination of proxies is evaluated. When public capital is disaggregated by type there is less evidence for cointegration. Finally, innovations in public capital have long lasting effects on output, labor, and private capital, and innovations to output, labor, and private capital also have long lasting effects on public capital.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008626025932
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  • 16
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    A Price Index for Art Market Auctions (1997)
    Springer
    Journal of cultural economics 21 (1997), S. 175-196 
    Details
    ISSN: 1573-6997
    Keywords: art market ; price index ; cointegration ; causality
    Source: Springer Online Journal Archives 1860-2000
    Topics: Art History , Economics
    Notes: Abstract This paper proposes a price index for modern andcontemporary paintings based on estimates and auctionprices. We use this index for the evaluation of theItalian art market and for comparisons with returns onother assets. During the period 1983–1994 art pricesincreased in line with inflation but returns onpaintings were lower than returns on financial assets.In the long run art prices are unrelated to financialassets prices, but a positive correlation with realestate prices emerges.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007442014954
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  • 17
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    Are Multiple Art Markets Rational? (1997)
    Springer
    Journal of cultural economics 21 (1997), S. 197-218 
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    ISSN: 1573-6997
    Keywords: rational art markets ; hedonic content analysis ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Art History , Economics
    Notes: Abstract We advance and subsequently test the proposition thatmarkets for fine art are rational, namely, that, inthe determination of price, traders make use of allrelevant art historical and critical information, asrevealed by hedonic content analysis, as well as allinformation on authenticity of the works offered forsale. If true, the proposition has consequences forpublic policy. Museums optimize choices among art historicallysignificant authentic paintings distributed asstochastic rare events in the tertiary market for art. Such paintings have few, if any, art historicallyequivalent substitutes, causing the demand for suchworks of art to be extremely inelastic. Museums tendto buy at the top of the information curve; payingprices which exceed market averages for similar art. As a result, society pays the cost of institutionalrisk aversion. In contrast, collectors often purchaseart before all art historical information is complete,and often earn a reward for assuming a risk due toincomplete information (Singer, 1991; Pomerhene, 1994).Collectors who can borrow to accumulate the highestcategory art can consume the services of their artcollection at zero cost. Stochastic transferfunctions fitted to time series of sales volume at thetwo top international auction houses confirm thehypothesis that the highest category of art is a quasisubstitute for financial instruments (liquid wealth).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007447326729
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  • 18
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    Asset Market and Balance of Payments Characteristics: An Eclectic Exchange Rate Model for the Dollar, Mark and Yen (1999)
    Springer
    Open economies review 10 (1999), S. 5-29 
    Details
    ISSN: 1573-708X
    Keywords: exchange rates ; purchasing power parity ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we use an exchange rate model, which combines asset market characteristics with balance of payments interactions, to examine the nominal effective exchange rates of the German mark, Japanese yen and US dollar for the recent experience with floating exchange rates. Our approach may be interpreted as one which attempts to flesh out the missing links that arise in conditioning an exchange rate solely on relative prices, as occurs in a standard PPP analysis. Amongst the results reported in this paper are: significant, and sensible, long-run relationships for the currencies studied; complex short-run dynamics; a variance decomposition analysis which apportions nominal exchange rate error variances into real and nominal elements.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008382709501
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  • 19
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    Conflict, Effort and Capital Stock in UK Wage Determination (1997)
    Springer
    Empirica 24 (1997), S. 179-193 
    Details
    ISSN: 1573-6911
    Keywords: Wage determination ; unemployment ; capital shortage ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper is concerned with the determination of wages, unemployment and labour productivity in the UK. The theoretical model suggests that in addition to economic factors, historical and ideological elements play an important role in the determination of wages, unemployment and productivity. Particular emphasis is put on the capital shortage hypothesis. It is argued that capital scrapping in response to the two oil price shocks, combined with subsequent sluggish growth in capital, may be responsible for the rise of the NAIRU and the persistence of unemployment. The empirical analysis is concerned with testing the theoretical model, using quarterly data for the UK from 1966 until 1994. We use cointegration analysis for the determination of wages, unemployment and labour productivity.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1006849816076
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  • 20
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    Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation (1992)
    Springer
    Open economies review 3 (1992), S. 215-232 
    Details
    ISSN: 1573-708X
    Keywords: depreciation ; forward premium ; cointegration ; interest rate differential ; inflation rate differential ; nonstationarity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01886205
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  • 21
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    International comparisons of money demand (1992)
    Springer
    Open economies review 3 (1992), S. 323-343 
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    ISSN: 1573-708X
    Keywords: money demand ; comparative studies ; monetary policy ; financial innovations ; cointegration ; error correction models
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Many studies of the demand for money, covering a wide variety of economies, have demonstrated the importance of financial innovations and shifts in monetary policy regimes, but they have also illustrated the difficulty of measuring and assessing such changes. Because innovations and regime shifts have differed markedly across countries, international comparisons can help identify their effects. This paper reviews the literature on money demand comparisons, focusing primarily on industrial countries. It finds that innovations have had widespread effects, but also that the demand for money is not generally less stable now than it was before those changes occurred.
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    URL: http://dx.doi.org/10.1007/BF01886156
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  • 22
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    Fundamental equilibrium exchange rates and exchange rate dynamics (1993)
    Springer
    Open economies review 4 (1993), S. 189-209 
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    ISSN: 1573-708X
    Keywords: fundamental equilibrium exchange rates ; cointegration ; unit roots
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper examines whether there is a tendency for actual exchange rates to return to their fundamental equilibrium exchange rates (FEERs) when the latter are estimated based on popular exchange rate models. Co-integration tests and unit root tests are applied. There is little evidence that the exchange rates of Japan and Germany have a reversion to the purchasing-power-parity (PPP) rates or Williamson's FEERs or the underlying external and internal balance (UEI) FEERs.
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    URL: http://dx.doi.org/10.1007/BF01000519
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  • 23
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    Saving, investment, and capital mobility: A comment on Leachman (1994)
    Springer
    Open economies review 5 (1994), S. 5-17 
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    ISSN: 1573-708X
    Keywords: capital mobility ; Feldstein-Horioko test ; saving-investment correlation ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this note we use a consistent long-run data set recently published by Maddison (1991) for 10 countries to examine the long-run relationship between saving and investment. In contrast to recent findings of Leachman (1991) we conclude that saving and investment are cointegrated in many countries. Our results suggest that aggregate demand and supply shocks explain much of the time series correlation between total saving and investment.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01000740
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  • 24
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    The relative price of tradables and nontradables and the U.S. trade balance (1996)
    Springer
    Open economies review 7 (1996), S. 147-160 
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    ISSN: 1573-708X
    Keywords: tradables ; nontradables ; real exchange rate ; U.S. net exports ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The real exchange rate is defined as the relative price of nontradables and tradables. An index of the relative price is constructed for the U.S. and used to explain net exports. The index appears to perform better in explaining net exports than a comparable purchasing power parity real exchange rate. The relative price of nontradables, in turn, is shown to be cointegrated with a set of variables that drive the demand for and supply of nontradables. These variables capture long-run structural and demographic changes of the U.S. economy, such as the increased demand for medical services.
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    URL: http://dx.doi.org/10.1007/BF01891901
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  • 25
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    Externalities, Cross-Sectoral Spillovers and Productivity Growth (1997)
    Springer
    Open economies review 8 (1997), S. 171-188 
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    ISSN: 1573-708X
    Keywords: cointegration ; externalities ; industrial policies ; productivity growth
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We provide an interpretation of the productivity dynamics in the manufacturing sector based on the idea of the thick market externality à la Diamond. An econometric model has been estimated which allows to disentangle the long run effects of these trading externalities from those of internal economies of scale and of aggregate industry-level economies. The results obtained—based on a cointegrated system of non-linear-error-correction equations—confirm the hypothesis that the trading externality matters. Moreover, our findings point out that the emphasis generally posited both on internal and external economies of scale is not justified.
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    URL: http://dx.doi.org/10.1023/A:1008289032417
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  • 26
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    High-Tech Innovation, Growth and Trade Dynamics in Australia (1997)
    Springer
    Open economies review 8 (1997), S. 151-170 
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    ISSN: 1573-708X
    Keywords: high-tech innovation ; growth dynamics ; telecommunications ; trade liberalisation ; cointegration ; vector autoregression ; Australia
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper the macro-economic interactions between high-tech innovation (telecommunications), growth and trade are analysed at the macroeconomic level. Cointegration and innovation accounting based on vector autoregression techniques have been used to estimate empirically the trade and growth dynamics in the Australian context. The paper reviews the high-tech innovation induced policy regime shifts such as the deregulation of telecommunications and the liberalisation of trade and also quantifies trade and growth dynamics.
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    URL: http://dx.doi.org/10.1023/A:1008236915579
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  • 27
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    Short and long run movements in U.S. merger activity (1996)
    Springer
    Review of industrial organization 11 (1996), S. 307-323 
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    ISSN: 1573-7160
    Keywords: Mergers ; manufacturing and mining ; time-series ; integration ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper uses the NPV approach to merger decisions to select variables which are expected to explain changes in the aggregate number of mergers of US manufacturing and mining firms over time. We test for and estimate a cointegrating relationship between such variables. We find that in the long run the number of mergers and acquisitions is positively related both to the level of manufacturing production and to the level of the nominal bond yield. A short run dynamic model is also presented. Annual changes in merger and acquisition activity were found to be positively related to current changes in Tobin's Q and changes in Q lagged one, two and four years; positively related to changes in the current bond yield but negatively related to changes in the yield in the previous year; and finally that changes in merger activity were related to the degree to which the number of mergers differed from the long run or equilibrium value in the previous year.
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    URL: http://dx.doi.org/10.1007/BF00414401
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    Foreign dependence of individual stock prices: The role of aggregate product market developments (1991)
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    Open economies review 2 (1991), S. 1-26 
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    ISSN: 1573-708X
    Keywords: stock prices ; international economic activity ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper, we analyze the role of aggregate variables in the transmission from international stock price developments to individual domestic stock prices in a small open stock market. In particular, a theoretical and econometric model is used to determine whether international aggregate product market developments explain observed differences in foreign dependence among individual Belgian stocks. The results suggest that, except for the stocks of some internationally oriented companies, expected international production is not the most important explanatory variable and that an estimation model of aggregate fundamentals explains only part of individual stock price adjustments.
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    The demand for money in a small open economy: The case of Switzerland (1995)
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    Open economies review 6 (1995), S. 131-144 
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    ISSN: 1573-708X
    Keywords: money demand ; open economy ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper uses cointegration analysis to investigate the demand for money in Switzerland in the context of an open economy. It considers the general process of financial asset substitution and tests for the relevance of an exchange rate and a foreign interest rate variable in a conventional money demand equation. The results show that the variables entering into the demand for either monetary base or narrow money equation may not form a cointegrated system unless the exchange rate or foreign interest rate variable is included. This provides support to both the currency substitution and capital mobility hypotheses.
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    Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC (1996)
    Springer
    Open economies review 7 (1996), S. 61-76 
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    ISSN: 1573-708X
    Keywords: purchasing power parity ; uncovered interest parity ; exchange rate ; European integration ; cointegration ; weighted variables ; F31 ; F36 ; C3
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis à vis the European Community for the period 1980–89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Johansen and Juselius (1992).
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    URL: http://dx.doi.org/10.1007/BF01886129
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    The Stability of European Money Demand: An Investigation of M3H (1997)
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    Open economies review 8 (1997), S. 371-391 
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    ISSN: 1573-708X
    Keywords: demand for money ; European Monetary Union ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper assesses the stability and predictive performance of a European money demand function as compared to national money demand functions. With respect to the explanatory accuracy, the national functions perform better than the aggregated function. Examination of the residuals of the national money demand equations indicates that currency substitution is not the major cause for the stability of the aggregated money demand function. The aggregate relation mainly seems to reflect German money demand. This conclusion is supported by the instability of aggregated money demand resulting from the exclusion of Germany from the aggregate.
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    URL: http://dx.doi.org/10.1023/A:1008243130051
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    A cointegration rank test of market linkages with an application to the U.S. natural gas industry (1994)
    Springer
    Review of industrial organization 9 (1994), S. 181-191 
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    ISSN: 1573-7160
    Keywords: Market linkages ; unit roots ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This research applies recently developed cointegration techniques to the measurement of market linkages when the data are nonstationary. Likelihood based tests for cointegration are applied to data from natural gas spot markets. The results indicate that natural gas spot markets at dispersed locations in the pipeline network are strongly connected. Most of the market pairs examined in the gas pipeline network satisfy a more stringent condition for perfect market integration.
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    Exchange rate, inflation and unemployment in East European economies: the case of Poland and Hungary* (1998)
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    Economic change & restructuring 31 (1998), S. 29-55 
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    ISSN: 1574-0277
    Keywords: cointegration ; structural break ; modelling transition economies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The aim of the paper is to model the impact of exchange rate on both inflation and unemployment variables in economies which are characterized by important structural changes, i.e. a transition phase moving from centralized economies towards market economies. This phenomenon, which is common to the East European countries, stressed different effects both for what concerns the behaviour of economic agents and for what concerns fiscal and monetary measures adopted by governments and aiming to keep under control the inflation–unemployment trade off. Time series relationships between these variables are investigated within an econometric model. Economic theory and the available data on the hypothetically relevant variables, along with the consideration of the main facts occurred in the period under study, characterize our information set. It is found that single equation analysis yields inefficient inference relative to the whole system analysis, and important structural changes are detected which reflect possible breaks in the structure of the economic system along with a change in economic policy.
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    URL: http://dx.doi.org/10.1023/A:1003290919164
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    Subsidized and Unsubsidized Housing Stocks 1935 to 1987: Crowding out and Cointegration (1999)
    Springer
    The journal of real estate finance and economics 18 (1999), S. 107-124 
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    ISSN: 1573-045X
    Keywords: subsidized housing ; housing supply ; crowding out ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Crowding out arises in many economic contexts, from the macro concern that deficit spending might crowd out investment to the micro concern that increased employment of women might result in fewer jobs for men. Here I ask whether subsidized housing crowds out unsubsidized housing in the United States, applying the econometric tools of cointegration analysis. Such crowding out proves to require stringent restrictions on the coefficients of the cointegrating relationships that link housing stocks with one another and with other economic variables. These restrictions also apply to testing for other crowding out phenomena. I find that public housing has steadily added to the total stock of housing since its inception in 1935. In contrast, I find that moderate-income, conventionally financed, subsidized housing, such as the Section 235 and 236 programs that accounted for more than 1.5 million new units between 1960 and 1987, most likely adds little or nothing to the total housing stock. These findings speak against recent proposals to provide subsidies to developers who build dwellings for moderate income Americans but offer qualified encouragement to those who advocate expansion of the conventional public housing program.
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    Are Housing Price Cycles Driven by Irrational Expectations? (1997)
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    The journal of real estate finance and economics 14 (1997), S. 341-363 
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    ISSN: 1573-045X
    Keywords: rational expectations ; market efficiency ; cointegration ; structural change
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle.
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    Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets (1998)
    Springer
    The journal of real estate finance and economics 16 (1998), S. 91-123 
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    ISSN: 1573-045X
    Keywords: structural breaks ; unit roots ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Market integration implies the existence of some long-run equilibrium relationship between markets such that movements in one market are transmitted to movements in another. It is an interesting observation of much of the literature regarding a possible relationship between real estate and stock markets that there is relatively scant attention given to the possible existence of structural breaks and the impact that such breaks may have on tests for market integration. Other research has shown that failure to take into account structural breaks in various macroeconomic data series may have yielded misleading results on cointegration (in particular, unit root tests on individual series). In this article we examine the issue of whether the stock market and real estate markets are stationary or nonstationary in the presence of structural breaks. We adopt the techniques of Perron (1989), Zivot and Andrews (1992), and Perron and Vogelsang (1992). Each of these tests is based on different assumptions and therefore may yield differing results. In general, the results do not support cointegration of domestic property and equity markets or cointegration of markets internationally.
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    The Relationships Between Mortgage Rates and Capital-Market Rates Under Alternative Market Conditions (1999)
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    The journal of real estate finance and economics 19 (1999), S. 211-221 
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    ISSN: 1573-045X
    Keywords: interest rates ; deregulation ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Mortgage interest rates have become more integrated with other capital-market interest rates over recent decades, apparently as a result of the deregulation of financial markets. The link is both imperfect and time-varying. Mortgage rates during some time periods appear to be “sticky” with respect to their adjustment to changes in capital-market rates. We examine the relationship between weekly conventional mortgage rates and the interest rates on treasury and corporate securities under differing market conditions. We draw three conclusions based on the analysis. First, deregulation changed the link between mortgage rates and riskless interest rates, which confirms the findings of Goebel and Ma (1993). Second, mortgage rates were cointegrated with risky interest rates even before deregulation. Third, the link between mortgage rates and the risky bond rate can be associated with the behavior of the risk premium in the bond rate. The observed relationship is consistent with the stickiness observed by Haney (1988) and causes a more pronounced stickiness when rates are falling than when they are rising.
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    Stationarity and Cointegration in Systems with Real Estate and Financial Assets (1999)
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    The journal of real estate finance and economics 18 (1999), S. 339-349 
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    ISSN: 1573-045X
    Keywords: cointegration ; inflation ; real estate ; financial assets ; portfolios
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This study examines the properties of wealth indices for investments in several asset classes (real estate, stocks, bonds, and Treasury bills), for several types of real estate (office, retail, research and development office, and warehouse), and by region (East, Midwest, South, and West). The series representing the value of investments in real estate and financial assets are not stationary; therefore, ordinary statistical procedures cannot be applied. Since many of the properties that are included in the real estate series have outside appraisals on an annual basis, especially in the fourth quarter, the real estate series may show seasonal influences. Hence, the appropriate test for cointegration is the Johansen's test, which is formulated in such a way as to allow for deterministic seasonality by the inclusion of seasonal dummy variables. The finding of cointegration implies that there is a long-run relationship between the series in the cointegrated system. When the CPI (or a proxy for inflation) is included in the three systems, the number of common factors increase to two, implying that inflation plays an important role in creating a linkage between these time series. These findings also have implications for developing portfolios comprising financial assets and real estate. The findings also have implications for developing a model to forecast real estate prices.
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    Should the Law of One Price be Pushed Away? Evidence from International Commodity Markets (2000)
    Springer
    Open economies review 11 (2000), S. 399-415 
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    ISSN: 1573-708X
    Keywords: law of one price ; commodity markets ; international trade ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The long-term validity of the law-of-one-price hypothesis is explored empirically in international markets for individual commodities. The data consist of 10 commodity groups: lead, maize, newsprint, rice, rubber, sugar, tin, wheat, wool, and zinc. The results provide broad support for the hypothesis: out of the 17 bivariate relationships investigated, the hypothesis is supported in 14 cases. The results also imply that two thirds of the deviations from the “law” are eliminated within one year, on average. Thus, at the commodity level, the adjustment speeds are found to be considerably faster than what has been found previously for aggregate price indices.
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    Dynamics of Private and Public Real Estate Markets (2000)
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    The journal of real estate finance and economics 21 (2000), S. 279-296 
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    ISSN: 1573-045X
    Keywords: real estate markets ; cointegration ; causality ; predictability
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using five assets (T-bills, bonds, stocks, and both public and private real estate), this study investigates how cointegration of capital markets affects the dynamics of public and private real estate markets. The results show that the price indices of the five assets are nonstationary and cointegrated. Some implications for the long-term equilibrium relationship for portfolio diversification, price discovery and prediction are discussed. In a Granger causality framework, error-correction augmented VAR models (VECM) and unrestricted VAR models are compared with respect to the conclusion regarding the interaction between public and private real estate returns. VECM is also shown to improve the prediction of private real estate returns relative to an unrestricted VAR model. These results raise questions about previous research studies regarding the dynamics between public and private real estate returns. It is shown that the long-term equilibrium relationship establishes a feedback between the two real estate markets, but the private market seems to informationally lead the public one. Possible explanations are also explored.
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    Consumption and fiscal policy (1997)
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    Empirical economics 22 (1997), S. 63-81 
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    ISSN: 1435-8921
    Keywords: Marginal rate of substitution ; crowding out ; cointegration ; error correction ; E21 ; E62
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper uses the life-cycle approach to derive an equilibrium intratemporal efficiency condition which relates the marginal utility of consumption of nondurable goods and services to the marginal utility of consumption of services from durable goods. Given this condition and the assumption that marginal utilities are affected by the level of public spending, a long-run relationship between components of private consumption and public expenditure is then postulated. The application of cointegration analysis to UK data supports the existence and uniqueness of such a long-run relationship, and estimates based on the error correction approach produce results which suggest that (i) a change in public spending has different effects on components of private consumption in the short-run, and (ii) the entire burden of long-run substitution falls on nondurable consumption.
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    The demand for broad money in Norway, 1969–1993 (1998)
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    Empirical economics 23 (1998), S. 339-354 
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    ISSN: 1435-8921
    Keywords: Money demand ; price/wage formation ; cointegration ; dynamic specification ; conditional models ; error correction ; C22 ; C32 ; E31 ; E41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long run these shocks are absorbed, and a long run demand for money relationship is identified in which real money is determined by real income, the relative price on financial assets (the yield spread) and the relative price on goods (the own real interest rate). Money adjusts dynamically to changes in the exchange rate and private wealth. Domestic price inflation is affected by improted inflation including currency depreciation (a pass through effect), domestic cost pressure (unit labour costs), and excess demand in the product market (output gap effect).
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    Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK (1998)
    Springer
    Empirical economics 23 (1998), S. 267-294 
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    ISSN: 1435-8921
    Keywords: Key words: Exogeneity ; causality ; invariance ; cointegration ; co-breaking ; impulse responses ; money demand ; JEL classifications: E41 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.
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    Causality tests of budget and current account deficits: Cross-country comparisons (1999)
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    Empirical economics 24 (1999), S. 389-402 
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    ISSN: 1435-8921
    Keywords: Key words: Twin deficits ; cointegration ; Granger causality ; developed vs. developing countries ; JEL classifications: E62
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This study attempts to determine the causal relationship between budget and current account deficits as well as the direction of such causality. A selected sample of some developed and developing countries with annual time series data is used and cointegration techniques are applied to bring evidence regarding this important issue. Our results do not support any long-run relationship between the two deficits for developed countries while the data for developing countries do not reject such a relationship. However, our results suggest a causal relationship between the two deficits for most of the sample countries.
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    Money demand, the Cagan model, testing rational expectations vs adaptive expectations: The case of Turkey (1999)
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    Empirical economics 24 (1999), S. 415-426 
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    ISSN: 1435-8921
    Keywords: Key words: Adaptive expectations ; cointegration ; hyperinflation ; inflation tax ; money demand ; rational expectations ; unit root ; JEL classifications: E41 ; C32 ; C12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1–1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis that monetary policy was implemented in aiming to maximize the inflation tax revenue. Finally, the Cagan model is estimated with the additional assumption of rational expectations for Turkey for the considered period.
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    A monetary analysis of the Drachma/ECU exchange rate determination, 1980–1991 (2000)
    Springer
    Empirical economics 25 (2000), S. 653-663 
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    ISSN: 1435-8921
    Keywords: Key words: Exchange rate ; cointegration ; VAR ; Greece ; JEL classification: C32 ; C51 ; C52 ; E52 ; F31.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The validity of the monetary approach to the Drachma/ECU exchange rate determination is investigated through cointegration, impulse response and variance decomposition analysis. The empirical results reported confirm recent findings that the monetary approach may be interpreted as a long-run equilibrium condition with highly complex short-run dynamics.
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