Browsing by Subject "Vector autoregression"
Now showing items 1-3 of 3
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Article
Cointegration and joint efficiency of international commodity markets
(1999)This paper investigates the semi-strong efficiency hypothesis in the international commodity markets of four industrialized countries, using vector autoregression (VAR) and cointegration techniques. Efficiency in these ...
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Article
Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies
(2002)This paper investigates the link between real stock price changes and economic growth. We develop a simple growth model, which presents the relationship between real stock prices and output. Evidence from the G-7 economies ...
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Article
Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited
(1999)The aim of this paper is twofold: First, it shows that: (a) sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved. ...