The value of a country's currency is often considered as the most important price in the
economy. Exchange‐rate changes can significantly affect the profitability of exporters, the …

This overview describes the concepts of cointegration and exogeneity, focusing on
analytical structure, statistical inference, and implications for policy analysis. Examples help …

This paper presents evidence concerning the number of common stochastic trends in the
equity markets of the US, Japan, England, Germany, and Canada. Monthly and quarterly …

A generalized notion of cointegration, called fractional cointegration, is introduced to
examine the long-run purchasing power parity (PPP) hypothesis. By allowing deviations …

Impulse response or dynamic multiplier analysis of vector autoregressive systems with
cointegrated variables is considered. The asymptotic distribution of the responses estimated …

This paper examines the relevance of long-run purchasing power parity (PPP), which allows
for measurement errors, during the recent floating exchange rate period. Previous empirical …

We examine the impact of environmental diplomacy on a country's carbon emission level.
Specifically, we test if the signing of environmental treaties yielded positive responses in CO …

The notions of causality and non-causality play a key role in studying the predictive
properties of multivariate. time series models. Nonetheless, as pointed out in Reimers …

This paper analyses the tourism-led growth hypothesis for the four countries of the
MERCOSUR regional trade block. By applying nonlinear techniques, we explore whether …

Spurious regression have performed a vital role in the construction of contemporary time
series econometrics and have developed many tools employed in applied macroeconomics …