Cointegration

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

The Weak Tie Between Natural Gas and Oil Prices

Abstract: Several recent studies establish that crude oil and natural gas prices are cointegrated. Yet at times in the past, and very powerfully in the last two years, many voices have noted that the two price series appear to have “decoupled”. We explore the apparent contradiction between these two views. We find that recognition of the statistical fact of cointegration needs to be tempered with two additional points. First, there is an enormous amount of unexplained volatility in natural gas prices at short horizons. Hence, any simple formulaic relationship between the prices will leave a large portion of the natural gas price unexplained. Second, the cointegrating relationship does not appear to be stable through time. The prices may be tied, but the relationship can shift dramatically over time. Therefore, although the two price series may be cointegrated, the confidence intervals for both short and long time horizons are large.

Investigating the Balassa‐Samuelson hypothesis in the transition: Do we understand what we see? A panel study

Abstract: This paper studies the Balassa-Samuelson (B-S) effect in the Czech Republic, Hungary, Poland, Slovakia and Slovenia. We use time series and panel cointegration techniques and show that the B-S effect works reasonably well in the transition economies under study during the period from 1991:Q1 to 2001:Q2. However, we find, that productivity growth does not fully translate into price increases because of the construction of the CPI indexes. We therefore argue that productivity growth will not hinder meeting the Maastricht criterion on inflation in the medium term. In addition, the observed appreciation of the CPI-deflated real exchange rate is found to be systematically higher compared with the real appreciation the B-S effect could justify, especially in the cases of the Czech Republic and Slovakia. This can be partly explained by the trend appreciation of the tradable price-based real exchange rate, increases in non-tradable prices due to price liberalization and demand-side pressures and the evolution of the nominal exchange rate determined by the nature of the exchange rate regime and the magnitude of capital inflows. JEL classification: E31, F31, O11, P17,

Income inequality‐economic growth and non‐linearity: a case of Pakistan

Abstract: Purpose – The purpose of this paper is to investigate the relationship between income inequality and economic growth, both in linear and non‐linear specifications.Design/methodology/approach – The paper has employed annual time series data over the period of 1971 up to 2005. Autoregressive distributed lag model (ARDL) bounds testing approach has been used for cointegration and error correction model for short run behavior. Unit root problem is handled by the use of augmented Dickey‐Fuller unit root test.Findings – The analysis findings are sharply contrasted to the significant association between income inequality and economic growth found in 1994 by Alesina and Roderick and by Persson and Tabellini. The empirical evidence provides support for the existence of Kuznets inverted‐U as well as inverted S‐shaped curve in Pakistan.Practical implications – This paper opens up new directions for policy‐making authorities to equalize income distribution in the case of a small transition economy like Pakistan.Origi...