In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...

In this paper, using the cash-in-advance model, we estimate Indonesia's money demand function for the period 1970–2005. We find the real M1 and real M2 are cointegrated with their determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates. The...

Analysts often use a single average or otherwise aggregated price series to represent several geographic or product markets even when disaggregate data are available. We hypothesize that such an approach may not be appropriate under some circumstances, such as when only long-term relationships...