In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...

The relationship between macroeconomic factors and stock market liquidity is known but not the same can be said of macroeconomic factors and VC market liquidity. This study investigates whether there is a cointegration between macroeconomic factors and VC market liquidity and examines how...

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

This study aims to uncover interdependencies between two distinctive but increasingly influential dimensions in contemporary finance, namely, Environmental, Social, and Governance (ESG) and Sharia guidelines. We examine the long-term association between ESG and Sharia indices, along with ESG and...

This paper analyzes the role of the nature of traded goods in the effect of the real exchange rate on the trade balance in West African Economy and Monetary Union countries. Empirically, the estimation of the parameters of a distributed lag autoregressive model using the technique of dynamic...

Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...

This paper identifies and estimates the relevant cycles in paleoclimate data of earth temperature, ice volume and CO2. Cyclical cointegration analysis is used to connect these cycles to the earth eccentricity and obliquity and to see that the earth surface temperature and ice volume are closely...

We extend the monitoring of structural breaks in classic cointegration proposed by Wagner and Wied (2017) to explicitly allow for fractional cointegration and breaks in these fractional relations with possible deterministic trends. To estimate the parameters we use a fully modified OLS estimator...