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: This article examined short-term market reactions to target price revisions and long-term comovement of target and stock prices using a large database of analysts' target prices issued over the period 1997?1999.
Abstract: Using a large database of analysts' target prices issued over the period 1997?1999, we examine short-term market reactions to target price revisions and long-term comovement of target and stock prices. We find a significant market reaction to the information contained in analysts' target prices, both unconditionally and conditional on contemporaneously issued stock recommendation and earnings forecast revisions. Using a cointegration approach, we analyze the long-term behavior of market and target prices. We find that, on average, the one-year-ahead target price is 28 percent higher than the current market price.
309 citations
TL;DR: This article used a bootstrap approach to test for cointegration between house prices and income in a panel of 95 metro areas over 23 years, and showed that even these more powerful tests do not reject the hypothesis of no co-integration.
Abstract: The proposition that "housing prices can't continue to outpace growth in household income" (Wall Street Journal; July 25, 2002) is the received wisdom among many housing-market observers. More formally, many in the housing literature argue that house prices and income are cointegrated. In this paper, I show that the data do not support this view. Standard tests using 27 years of national-level data do not find evidence of cointegration. However, it is known that tests for cointegration have low power, especially in small samples. I use panel-data tests for cointegration that have been shown to be more powerful than their standard time-series counterparts to test for cointegration in a panel of 95 metro areas over 23 years. Using a bootstrap approach to allow for cross-correlations in city-level house-price shocks, I show that even these more powerful tests do not reject the hypothesis of no cointegration. Thus the error-correction specification for house prices and income commonly found in the literature may be inappropriate.
307 citations
TL;DR: In this article, the authors apply a recent advance in panel analysis to estimate the panel cointegration and panel vector error correction models for a set of 22 OECD countries using annual data covering the period 1960-2001.
307 citations
TL;DR: The authors used cointegration techniques and error-correction models to re-examine the link between real exchange rates and real interest rate differentials and concluded that there is little empirical evidence in support of a systematic relationship and this result is robust across exchange rates, time periods and measures of expected inflation.
307 citations
TL;DR: There is a need to strengthen innovation and transportation infrastructure to achieve environmental sustainability targets and the findings from a wavelet power spectrum reveal that there is a significant vulnerability in innovation, financial development, transportation infrastructure, and CO2 emissions at different time frames and frequencies.
306 citations