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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.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors discuss the missing case of Iran and test the resource curse hypothesis using the updated time-series data over the extended period of 1965-2011, and find that the exploitation of natural resources negatively affects the competitiveness of other sectors and limits their ability to contribute to economic growth.

133 citations

Journal ArticleDOI
TL;DR: In this paper, a panel cointegration analysis is applied to quantify the effects of nuclear energy, energy consumption and income on CO2 emissions in 12 major nuclear generating countries, and the results show that nuclear energy tends to reduce CO 2 emissions.

133 citations

ReportDOI
TL;DR: In contrast to previous studies, which have used short-horizon data, the authors test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada.
Abstract: The hypothesis that interest rate differentials are unbiased predictors of future exchange rate movements has been almost universally rejected in empirical studies. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the U.S., Germany, Japan and Canada. The results of these longhorizon regressions are much more positive — the coefficients on interest differentials are of the correct sign, and most are closer to the predicted value of unity than to zero. We appeal to an econometric interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework.

133 citations

Journal ArticleDOI
TL;DR: In this article, the authors describe how economic theories can be tested from vector time series models using cointegration and the concept of co-integration in the modeling and testing procedure.
Abstract: Many economic theories give rise to restrictions between the future rational expectations of a set of variables. This paper describes how such theories can be tested from vector time series models. Particular attention is given to problems of nonstationarity and the use of the concept of cointegration in the modeling and testing procedure.

133 citations

Journal ArticleDOI
TL;DR: In this paper, the authors apply the panel seemingly unrelated regressions augmented Dickey-Fuller (Panel SURADF) test developed by Breuer et al. to investigate whether the hypothesis of energy consumption stationarity is supported in different regions and find that the impact of a reduction in energy consumption or a realignment policy is only temporary, and over time the series will revert back to the trend path.

133 citations


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