This paper aims to investigate the links between exchange rate pass-through (ERPT) and monetary policy. We examine the degree of ERPT to consumer prices for 11 emerging markets (6 inflation targeters and 5 non-inflation targeters) using both multivariate cointegrated VAR (CVAR) and impulse responses derived from the vector error correction model (VECM). Results of cointegration analyses suggest...

This paper examines stationarity and cointegration of health expenditure and GDP, for a sample of 21 OECD countries using data for the period 1960-1997, by applying a test battery that allows robust inference to be made on the stationarity and cointegration issue. Trend stationarity and no-cointegration are tested using new country-by-country and panel tests, not previously applied in this sett...

The structure of the package apt and the implementation of models for asymmetric price transmission (APT) are explained in this note. This type of economic analysis is typically time series analysis with the steps of unit root test, cointegration test, and finally error correction model. APT studies have evolved with several distinct stages: pre-cointegration, linear cointegration, nonlinear th...

In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured i...

In this paper we investigate the merits of artiicial neural networks in forecasting foreign exchange rates. From previous research it is known that it is hard to beat the random walk model using structural exchange rate models. In this paper we show that by using a suitable multivariate speciication a structural model can be derived that beats the random walk. By introducing a new method for mu...

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic c...

Cointegration has different theoretical implications for forecasting. Several empirical studies have compared the out of sample forecasting performance of cointegrted VECMs against unrestricted VARs in levels and in differences. The results of these studies have been generally mixed and inconclusive. This paper provides a comprehensive review over the subject, and also examines the effects...

The error correction model is generally thought to be isomorphic to integrated data and the modeling of cointegrated processes, and as such, is considered inappropriate for stationary data. Given that many political time series are not integrated, analysts are unable to take advantages of the error correction model’s ability to capture both long and short-term dynamics in a single statistical m...