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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. ...
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 ...