decouple the two-country macro dynamics of country averages and country differences such that the cointegration analysis can be …

combining (i) a VAR based cointegration analysis with (ii) a graph-theoretic search for instantaneous causal relations and (iii … correction model. We find that the long-run properties of the system are characterized by four cointegration relations and one … to monetary policy shocks. -- Exchange Rates ; Monetary Policy ; Cointegration ; Structural VAR ; Model Selection …

(1990) and Johansen (1991) cointegration technique, this paper examines the long-run validity of the monetary exchange rate …

particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected … of cointegration tests in particular applied settings and provides information on the potential sources of size … distortion in these tests. Three case studies are presented. The first is the literature on cointegration and prediction of …

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …