This paper provides an empirical investigation of the wage, price and unemployment dynamics that have taken place in Spain during the last two decades. The aim of this paper is to shed light on the impact of the European economic integration on Spanish labour market and the convergence to a...

Using recently developed statistical tools for analyzing cointegrated I(2) data, this article models money, income, prices, and interest rates in Denmark. The final model describes the dynamic adjustment to short-run changes of the process, to deviations from long-run steady states, and to...

The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly underestimated its dimensions once it started to unfold. In our view, this lack of understanding is due to a misallocation of research efforts in...

The multivariate cointegration model in the autoregressive and the moving average form is discussed in terms of long run relations and common trends driving the system. The basic results needed for the cointegration analysis of processes integrated of order 2 are reviewed, and the notion of weak...

This paper examines the interrelations between purchasing power parity, uncovered interest parity, the term structure of interest rates and the Fisher real interest rate parity using cointegration analysis. Dynamic adjustment and feed-back effects are estimated jointly in a full system of...