In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

This paper presents some evidence that long-run modeling of real exchange rates should take into account both monetary and real factors. In particular, we show that long-run movements of the dollar-yen and dollar-mark real exchange rates are well described by a cointegrating relationship which...

This paper examines the structural linkages that may exist between the G7 national interest rates. Its aim is to exploit some new techniques in cointegration analysis to see to what extent conclusions can be drawn purely from the data without imposing any arbitrary identification conditions....

The tests of Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994a) are used to analyse the degree of dependence in the intertemporal structure of daily stock returns (defined as the first difference of the logarithm of stock prices, where the series being considered is...

This paper compares the ability of nonlinear and standard linear models to capture the dynamics of foreign exchanges rates in the presence of structural breaks. The analysis is conducted for three East Asian countries, namely Indonesia, South Korea and Thailand. It is shown that a Markov...

This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995,...

This study reviews recent developments in the analysis of non-stationary panels, focusing on empirical applications of panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in...