Journal ArticleDOI
International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France, and Germany, 1959 to 1985
William D. Lastrapes,Faik Koray +1 more
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In this article, the transmission of aggregate shocks between the USA and three major European economies under fixed and flexible exchange rate regimes, using time series techniques, was analyzed using vector autoregression models.About:
This article is published in Journal of International Money and Finance.The article was published on 1990-12-01. It has received 73 citations till now. The article focuses on the topics: Exchange rate & Cointegration.read more
Citations
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Cointegration: how short is the long run?
Craig S. Hakkio,Mark Rush +1 more
TL;DR: In this paper, the authors argue that cointegration is a long-run concept and hence requires long spans of data to give tests for co-integration much power rather than merely large numbers of observations.
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Stock market interdependencies: Evidence from the asian NIEs☆
TL;DR: In this paper, the authors investigated the interrelationship among the stock markets in four newly industrialized economies (NIEs) in Asia, Hong Kong, Singapore, and the United States.
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Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets
TL;DR: In this article, the authors investigated whether dynamics in key macroeconomic indicators like exchange rates, interest rates, industrial production and money supply in four Latin American countries significantly explain market returns.
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A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages
Abul M. M. Masih,Rumi Masih +1 more
TL;DR: In this paper, the authors examined the patterns of dynamic linkages among national stock prices of four Asian Newly Industrializing Countries stock markets - Taiwan, South Korea, Singapore and Hong Kong - in models incorporating the established markets of Japan, USA, UK and Germany.
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Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period
TL;DR: This article examined the patterns of dynamic linkages among national stock prices of six major international stock markets with particular reference to what impact the development of global markets (or the globalization phenomenon) had upon the leading stock markets, such as the US, Japan, and UK.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
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Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Book
Introduction to Statistical Time Series
TL;DR: In this paper, Fourier analysis is used to estimate the mean and autocorrelations of the Fourier spectral properties of a Fourier wavelet and the estimated spectrum of the wavelet.
Related Papers (5)
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more