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Cointegration

About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.


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Journal ArticleDOI
TL;DR: In this paper, the authors examined cointegration and Granger causality among global oil prices, precious metal (Gold, Platinum and Silver) prices and Indian Rupee-US Dollar exchange rate using daily data spanning from 2nd January 2009 to 30th December 2011.

151 citations

Posted Content
TL;DR: This paper used time-series analysis to evaluate the most common explanations given for the trends in wage inequality and showed that the only variable that consistently shares the same long-run trend with our wage-inequality series is the durablegoods trade deficit as a percentage of GDP.
Abstract: Changes in wage inequality have long been a concern of labor economists and public policymakers. When the wage premium for college graduates fell during the first half of the 1970's, many researchers blamed the decline on the increase in the relative supply of college graduates. When the college wage premium increased dramatically during the 1980's, researchers offered a variety of explanations, such as skill-biased technological change and the internationalization of the U.S. economy. In this paper, we use time-series analysis to evaluate the most common explanations given for the trends in wage inequality. Using cointegration techniques, we evaluate the link between the trends in the candidate explanatory variables and wage inequality. We show that the only variable that consistently shares the same long-run trend with our wage-inequality series is the durablegoods trade deficit as a percentage of GDP. This variable not only follows the same trend as wage inequality during most of the 1980's, but also for the period from 1949 to 1979. No other single explanation shows the same long-run consistency. I. An Analysis of Trends in Wage Inequality

150 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examined the relationship between economic growth and tourism development in seven Mediterranean countries using a multivariate model with tourism real receipts per capita and the number of international tourist arrivals per capita, real effective exchange rate, and real GDP per capita.
Abstract: This paper examines the relationship between economic growth and tourism development in seven Mediterranean countries. The purpose is to investigate empirically the long-run relationship between economic growth and tourism development in a multivariate model with tourism real receipts per capita, the number of international tourist arrivals per capita, real effective exchange rate, and real GDP per capita using the new heterogeneous panel cointegration technique. In pursuit of this objective, the tests of panel cointegration and fully modified ordinary least squares (FMOLS) are conducted, using panel data. The data used in this study are annual, covering the period 1980–2007.

150 citations

Journal ArticleDOI
15 Aug 2017-Energy
TL;DR: In this paper, the effects of urbanization on energy intensity for 10 Asian countries by employing annual data from 1990 to 2014 was examined, where the authors employed energy intensity as a dependent variable and GDP per capita, urbanization, and ruralization as regressors within the relevant models.

150 citations

Journal ArticleDOI
TL;DR: In this article, the authors investigated the relationship between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India.
Abstract: This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.

150 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023757
20221,583
2021645
2020755
2019752
2018720