Topic
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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TL;DR: In this paper, two competing hypotheses, namely demand-following and supply-leading, were empirically tested using multivariate VAR models for Mainland China over the period 1987Q1 to 1999Q4.
Abstract: In this note two competing hypotheses are empirically tested, namely those of the demand-following and supply-leading, using multivariate VAR models for Mainland China over the period 1987Q1 to 1999Q4. Johansen cointegration results indicate that there exists one cointegrating vector among GDP, financial development and the degree of openness of three variables. The results from Granger causality tests based on multivariate error-correction models (ECM) suggest independence between financial development and economic growth. This empirical result supports neither the demand-following nor the supply-leading hypothesis for Mainland China.
108 citations
TL;DR: This article revisits the nexus between financial development and environmental degradation by incorporating economic growth, electricity consumption and economic globalization in the CO 2 emissions function for the period 1975Q I –2014Q IV in the United Arab Emirates and shows cointegration between the series.
Abstract: This article revisits the nexus between financial development and environmental degradation by incorporating economic growth, electricity consumption and economic globalization in the CO2 emissions function for the period 1975QI-2014QIV in the United Arab Emirates. We apply structural break and cointegration tests to examine unit root and cointegration between the variables. Further, the article also uses the Toda-Yamamoto causality test to investigate the causal relationship between the variables and tests the linkages of the robustness of causality by following the innovative accounting approach. Our empirical analysis shows cointegration between the series. Financial development increases CO2 emissions. Economic growth is positively linked with environmental degradation. Electricity consumption improves environmental quality. Economic globalization affects CO2 emissions negatively. The relationship between financial development and CO2 emissions is U-shaped and inverted N-shaped. Further, financial development leads to environmental degradation and environmental degradation in turn leads to financial development in the Granger sense.
108 citations
TL;DR: In this paper, a structural import demand equation and estimates it for a large number of countries, using recent time series techniques that address the problem of nonstationarity, were derived using Monte Carlo methods.
Abstract: This paper derives a structural import demand equation and estimates it for a large number of countries, using recent time series techniques that address the problem of nonstationarity. Because the statistical properties of the different estimators have been derived only asymptotically, econometric theory does not offer any guidance when it comes to comparing different estimators in small samples. Consequently, the paper derives the small-sample properties of both the ordinary-least-squares (OLS) and the fully-modified (FM) estimators using Monte Carlo methods. It is shown that FM dominates OLS for both the short- and long-run elasticities.
107 citations
TL;DR: In this article, a panel threshold cointegration approach was proposed to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009.
107 citations
TL;DR: This paper studied the relationship between stock prices and exchange rates in the Brazilian economy and found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach.
Abstract: This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the traditional approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies.
107 citations