This valuable text provides a comprehensive introduction to VAR modelling and how it can
be applied. In particular, the author focuses on the properties of the Cointegrated VAR …

Causal relationships in econometrics are typically based on the concept of predictability and
are established by testing Granger causality. Such relationships are susceptible to change …

This study analyzes the question whether gold provides the ability of hedging against
inflation from a new perspective. Using data for four major economies, namely the USA, the …

This study takes into account two previously neglected issues in its analysis of the
relationship between oil prices and effective dollar exchange rates, namely, nonlinear …

This article investigates the relationship between global liquidity and commodity and food
prices applying a global cointegrated vector-autoregressive model. We use different …

Although the link between oil prices and dollar exchange rates has been frequently
analyzed, a clear distinction between prices and nominal exchange rate dynamics and a …

The paper provides a general framework for investigating the effects of permanent changes
in the variance of the errors of an autoregressive process on unit root tests. Such a …

The presence of a bubble in the US housing market prior to the 2007 subprime mortgage
financial crisis is investigated. This is done by looking into the relationship between house …

This study analyzes the interest rate pass-through (IRPT) from money market rates to various
loan rates for up to 12 countries of the European Monetary Union (EMU) between 2003 and …

Many key macroeconomic and financial variables are characterized by permanent changes
in unconditional volatility. In this paper we analyse vector autoregressions with non …