Cointegration

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

Household Debt Sustainability: What Explains Household Non-Performing Loans? An Empirical Analysis

Abstract: Sound household financial conditions are relevant for both financial and monetary stability. Therefore, we analyse household financial fragility in a sample of euro area countries with the aim to shed some light on the nature of the large debt increase accumulated in recent years. We focus on household arrears on payment obligations, which are one of the most direct measures of financial stress of the sector. The probability of falling into arrears is derived from a life-cycle type of model and is investigated empirically using a cross-section and time series approach. We analyse cointegration and model arrears within an errorcorrection framework. The results suggest that the financial conditions of households might become more vulnerable to adverse shocks in their income and wealth.

International Stock Market Efficiency and Integration: A Study of Eighteen Nations

Abstract: This study examines the relationships among stock prices in eighteen national stock markets by using unit root and cointegration tests for the period 1961--92 All the markets were analyzed individually and collectively in regions to test for market efficiency The results from unit root tests suggest that the world equity markets are weak-form efficient The cointegration test results show that there are only a small number of significant cointegrating vectors over the last three decades However, the number of significant cointegrating vectors increases after the October 1987 stock market crash, a result that is consistent with the contagion effect

Export Growth and Economic Growth: An Application of Cointegration and Error-Correction Modeling

Abstract: Most recent studies that have used time-series data to investigate the causality between a country's export growth and its economic growth have failed to provide uniform support for the export-led growth hypothesis' These studies have used the Granger or Sims procedure in order to investigate the possibility of dual causal relationship between export growth and economic growth (measured by output growth) For example, Chow, who adopted the Sims procedure and investigated the causal pattem between export growth and growth in manufactured output, found dual causality in the cases of Brazil, Hong Kong, Israel, Korea, Singapore, and Taiwan; one-way causality from export growth to output growth in the case ofMexico; and no causality in the results for Argentina2 By contrast, Jung and Marshall, who used the Granger concept of causality, found statistical evidence supporting the export-led growth hypothesis in only 4 out of 37 countries3 Jung and Marshall's findings received further support by Bahmani-Oskooee et al, who employed the Granger concept of causality combined with Akaike's Final Prediction Error (FPE) criterion and concluded that "we find some support in favor of the export-led growth hypothesis, though the evidence is at most inconclusive in evaluating competing hypotheses"4 Darrats and Hsiao6 are other studies that have used time-series data and rejected the export-led growth hypothesis for most LDCs in their sample There are three major shortcomings associated with all the time-series studies just mentioned First, none ofthe studies have checked for the cointegrating properties of the time series involved Standard Granger or Sims tests are only valid if the original time