Applying Johansen cointegration test to U.S. annual data constructed from the EU KLEMS database, the paper documents that the productivities of consumption-goods and equipmentgoods sector are cointegrated. It confirms further, using the non-linear cointegration test framework developed by Kapetanios et al. (2006), that the cointegrating relation is non-linear. The cointegration of sectoral prod...

A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for the cointegration vectors. Several methods for c...

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips,1999) for cointegration to long{run money demand functions using Canadian data from 1872 to 1997. If cointegration is found, recently proposed tests by Quintos (1997) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 ...

We build a prediction model for a set of Emerging Markets and the US market and we evaluate its ability to forecast equity risk premia. Our models include traditional global and local variables as the dividend yield or a credit spread and we include some variables that has been rarely been used as predictor of emerging equity returns: the implied volatility of the US market. We study the period...

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this paper is of significant contribution to existing studies since we compare results from different cointegr...

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal shortand long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean reversion is active only conditional on ce...

Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...