Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
Papers published on a yearly basis
Papers
More filters
TL;DR: In this article, the impact of biomass energy consumption, fossil fuel energy consumption and economic growth on CO2 emissions in the transportation sector of the USA was investigated using the Spectral Breitung-Candelon causality test.
209 citations
TL;DR: In this paper, the authors employ cointegration, generalized impulse response analysis, and stability tests to study the dynamics of Turkish bilateral trade between Turkey and its nine trading partners, in addition to aggregate trade balance data.
Abstract: Purpose – The purpose of this paper is to study empirically the dynamics of Turkish bilateral trade between Turkey and her nine trading partners, in addition to aggregate trade balance data.Design/methodology/approach – The paper employs cointegration, generalized impulse response analysis, and stability tests.Findings – The empirical results suggest non‐existence of the J‐curve effect at disaggregate and aggregate levels. However, Marshall‐Lerner condition holds for the aggregate data along with some of the trading partners. With regard to the stability of trade balance equations, the findings are mixed.Practical implications – Conclusions drawn from this study could be useful for the policy makers of governments and practitioners in international trade organizations.Originality/value – This paper extends the existing literature by providing initial evidence at disaggregate data in the case of Turkey. Moreover, for the first time disaggregate and aggregate data are utilized in the same analysis.
209 citations
TL;DR: In this paper, the impacts of GDP, trade structure, exchange rate and FDI (foreign direct investment) inflows on China's carbon emissions from 1982 to 2016 and verifies the validity of EKC (Environmental Kuznets Curve) hypothesis for China.
209 citations
TL;DR: In this paper, the authors investigated the short and long-run behavior of major emerging Central European (Poland, Czech Republic, Hungary, Slovakia) and developed (Germany, US) stock markets and assessed the impact of the EMU on stock market linkages.
209 citations
TL;DR: This paper examined the price discovery performance of futures markets for storable and non-storable commodities in the long run, allowing for the compounding factor of stochastic interest rates and showed that asset storability does not affect the existence of cointegration between cash and futures prices and the usefulness of future markets in predicting future cash prices.
Abstract: This article examines the price discovery performance of futures markets for storable and nonstorable commodities in the long run, allowing for the compounding factor of stochastic interest rates. The evidence shows that asset storability does not affect the existence of cointegration between cash and futures prices and the usefulness of future markets in predicting future cash prices. However, it may affect the magnitude of bias of futures markets’ estimates (or predictions) for future cash prices. These findings have several important implications for commodity production decision making, commodity hedging, and commodity price forecasting. 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:279–300, 2001
209 citations