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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 article, the extent of integration, causality among spatial locations, and relative importance of spatial locations in price formation are examined for Ugandan maize market performance in the years following agricultural market liberalization in the early 1990's.
Abstract: "Using weekly price data for two sub-periods, this paper analyzes how Ugandan maize market performed in the years following agricultural market liberalization in the early 1990's. For each time period, the extent of integration, causality among spatial locations, and relative importance of spatial locations in price formation are examined. The extent of integration, defined as a set of markets that shares common long-run price information, and the causal relationships among markets have been tested within Johansen's cointegration framework. The relative importance of each market locations is examined by estimating the common trend coefficients with a dynamic vector moving average model. Results indicate that, while there has been an overall improvement in spatial price responsiveness, the northern districts, which have been in a state of insurgency since 1986, continue to lack integration with major consumption markets in the central region. Causality test results show that compared to the 1993-1994-time period, representing the early years of liberalization, interdependence among markets has increased. Estimates of the common integrating trend suggest that public policies, such as price stabilization, can have desired impacts by targeting a small number of locations. These results are consistent with recently conducted household and market surveys in the country." Author's Abstract

117 citations

Journal ArticleDOI
TL;DR: In this paper, the empirical validity of PPP as a long-run equilibrium relationship in a sample of thirteen "high-inflation" countries using quarterly data over the modern floating period and recently developed techniques of cointegration and error-correction model.

117 citations

Journal ArticleDOI
TL;DR: In this paper, the causal relationship analysis between Gross Domestic Product, Energy Intensity and CO2 emissions in Greece from 1977 to 2007, by means of Johansen cointegration tests and Granger-causality tests based on a multivariate Vector Error Correction Modeling.

117 citations

Journal ArticleDOI
TL;DR: The authors examined the relationship between stock prices and exchange rates in Canada and found that stock prices do not have great influence on exchange rates either in the long run or in the short run.
Abstract: This paper examines the relationship between stock prices and exchange rates in Canada. Although there have been many empirical studies, there is neither a theoretical nor an empirical consensus on the relationship between the two variables. This paper uses the monthly Toronto Stock Exchange 300 Index and the monthly bilateral exchange rates of the Canadian dollar to the U.S. dollar for the period from 1973:1 to 1996:12. It is found that two financial variables are cointegrated by the EngleGranger two-step cointegration test. The results show that stock prices do not have great influence on exchange rates either in the long run or in the short run. However, domestic currency devaluation has a significant positive effect on stock prices in the long run but has an insignificant negative effect on stock prices in the short run. In other words, depreciation of the Canadian dollar increases the competitiveness of export markets, thus increases share prices of firms in the long run. Therefore, it can be said that there is one-way interaction from exchange rates to stock prices in the long run but insignificant interaction between exchange rates and stock prices in the short run in the case of Canada.

117 citations

Journal ArticleDOI
TL;DR: In this article, the determinants of loans to non-financial corporations in the euro area are modeled using the Johansen (1992) methodology and three cointegrating relationships are interpreted as the long-run loan demand, investment and loan supply equations.
Abstract: We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means of a Vector Error Correction Model (VECM). We perform a number of specification tests, which suggest that developments in loans to non-financial corporations in the euro area can be reasonably explained by the model. We then use the estimated model to analyse the impact of permanent and temporary shocks to the policy rate on bank lending to nonfinancial corporations.

116 citations


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