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Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates
16 references·5 citing·31 second hop
Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates (1999)Beyond the purchasing power parity: testi…Some Recent Developments in a Concept of Causality (2010)Some Recent Developments in a…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Some recent development in a concept of causality (1988)Some recent development in a …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…Comparing alternative tests of causality in temporal systems (1983)Comparing alternative tests o…Autoregressive modelling and money-income causality detection (1981)Autoregressive modelling and …Testing for causality (1980)Testing for causalityOn the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Fitting autoregressive models for prediction (1969)Fitting autoregressive models…The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic (2021)The nexus between the exchang…Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies (2006)Rational speculative bubbles …Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan (2005)Testing for long-run PPP in a…Purchasing power parity and the impact of the East Asian currency crisis (2004)Purchasing power parity and t…Purchasing power parity: Granger causality tests for the yen–dollar exchange rate (2002)Purchasing power parity: Gran…Statistical analysis of cointegration vectors (1988)THE POWER OF COINTEGRATION TESTS (1992)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Cross-Sectional versus Longitudinal Survey Research: Concepts, Findings, and Guidelines (2008)Testing for Granger non-causality in heterogeneous panels (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Bounds testing approaches to the analysis of level relationships (2001)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Taking Time Seriously (2008)Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (2001)Estimation of Panel Vector Autoregression in Stata (2016)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1980Testing for causality1,747 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 1990Purchasing Power Parity in the Long Run808 cited
  • 2010Some Recent Developments in a Concept of Causality790 cited
  • 1981Autoregressive modelling and money-income causality detection710 cited
  • 1983Comparing alternative tests of causality in temporal systems

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631 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • Cited by

    • 2005Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan46 cited
    • 2021The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic33 cited
    • 2004Purchasing power parity and the impact of the East Asian currency crisis31 cited
    • 2002Purchasing power parity: Granger causality tests for the yen–dollar exchange rate31 cited
    • 2006Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies13 cited