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Cointegration and exchange rate dynamics
16 references·6 citing·35 second hop
Cointegration and exchange rate dynamics (1997)Cointegration and exchange rate dynamicsSticky Prices and Disequilibrium Adjustment in a Rational Model of the Inflationary Process (2016)Sticky Prices and Disequilibr…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…OPEN-ECONOMY MACROECONOMICS (1996)OPEN-ECONOMY MACROECONOMICSImperfect Knowledge and Behaviour in the Foreign Exchange Market (1996)Imperfect Knowledge and Behav…A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994)A Residual-Based Test of the …Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…NBER Macroeconomics Annual 1990 (1992)NBER Macroeconomics Annual 19…Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Cointegration: how short is the long run? (1991)Cointegration: how short is t…Asymptotically Efficient Estimation of Cointegration Regressions (1991)Asymptotically Efficient Esti…Chartists, Fundamentalists, and Trading in the Foreign Exchange Market (1990)Chartists, Fundamentalists, a…Exchange Rate Dynamics and the Overshooting Hypothesis (La dynamique des taux de change et l'hypothese du surajustement) (La dinamica de los tipos de cambio y la hipotesis del ajuste excesivo) (1982)Exchange Rate Dynamics and th…Exchange-Rate Dynamics: An Empirical Investigation (1981)Exchange-Rate Dynamics: An Em…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test (2012)Some cautions on the use of n…Enflasyon ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama (1988-2007) (2011)Enflasyon ve Ekonomik Büyüme …Do fundamentals matter for the D-Mark/Euro–Dollar? A regime switching approach (2004)Do fundamentals matter for th…Convergence Rates to Purchasing Power Parity for Traded and Nontraded Goods (2004)Convergence Rates to Purchasi…Exchange rate determination and inflation in Southeast Asian countries (1998)Exchange rate determination a…Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange (1993)Bear squeezes, volatility spi…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Long memory processes and fractional integration in econometrics (1996)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)CO2 emissions and financial development in an emerging economy: An augmented VAR approach (2015)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)On the estimation and inference of a cointegrated regression in panel data (2004)Testing for Error Correction in Panel Data* (2007)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Testing for stationarity in heterogeneous panel data (2000)New Simple Tests for Panel Cointegration (2005)Unit Roots and Cointegration in Panels (2008)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Assessing Specification Errors in Stochastic Discount Factor Models (1997)CO2 emissions, electricity consumption and output in ASEAN (2010)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
this work references cited by second hop

References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1991Asymptotically Efficient Estimation of Cointegration Regressions1,263 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1992NBER Macroeconomics Annual 1990692 cited
  • 1991Cointegration: how short is the long run?564 cited
  • 1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration539 cited
  • 1996OPEN-ECONOMY MACROECONOMICS504 cited
  • 1990Chartists, Fundamentalists, and Trading in the Foreign Exchange Market347 cited
  • 1982Exchange Rate Dynamics and the Overshooting Hypothesis (La dynamique des taux de change et l'hypothese du surajustement) (La dinamica de los tipos de cambio y la hipotesis del ajuste excesivo)166 cited
  • 2016Sticky Prices and Disequilibrium Adjustment in a Rational Model of the Inflationary Process117 cited

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  • 1981Exchange-Rate Dynamics: An Empirical Investigation105 cited
  • 1996Imperfect Knowledge and Behaviour in the Foreign Exchange Market91 cited
  • Cited by

    • 1993Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange44 cited
    • 2004Do fundamentals matter for the D-Mark/Euro–Dollar? A regime switching approach32 cited
    • 1998Exchange rate determination and inflation in Southeast Asian countries30 cited
    • 2012Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test24 cited
    • 2011Enflasyon ve Ekonomik Büyüme İlişkisi: Türkiye Ekonomisi Üzerine Ekonometrik Bir Uygulama (1988-2007)17 cited
    • 2004Convergence Rates to Purchasing Power Parity for Traded and Nontraded Goods17 cited