- Agenor, P.-R. and M.P. Taylor (1993) “The Causality Between Official and Parallel Exchange Rates in Developing Countries.†Applied Financial Economics 3, 255–266.
Paper not yet in RePEc: Add citation now
Ahmad, J. and S. Harnhirun (1996) “Cointegration and Causality Between Exports and Economic Growth: Evidence from the ASEAN Countries.†The Canadian Journal of Economics 29, S413–38.
Akdogan, H. (1995) The Integration of International Capital Markets: Theory and Empirical Evidence. Hants, England: Edward Elgar Publishing Limited.
Alexakis, P. and N. Apergis (1994) “The Feldstein-Horioka Puzzle and Exchange Rate Regimes: Evidence From Cointegration Tests.†Journal of Policy Modeling 16, 459–472.
- Alexander, C. and J. Wyeth (1994) “Cointegration and Market Integration: An Application to the Indonesian Rice Market.†The Journal of Development Studies 30, 303–308.
Paper not yet in RePEc: Add citation now
Alse, J. and M. Bahmani-Oskooee (1992) “Are the Twin Deficits Really Related? A Comment.†Contemporary Policy Issues 10, 108–111.
Amano, R.A. and S. van Norden (1995) “Terms of Trade and Real Exchange Rates: The Canadian Evidence.†Journal of International Money and Finance 14, 83–104.
Bahmani-Oskoee, M. and S. Payesteh (1993) “Budget Deficits and the Value of the Dollar: An Application of Cointegration and Error-Correction Modeling.†Journal of Macroeconomics 15, 661–677.
Baillie, R.T. and D.D. Selover (1987) “Cointegration and Models of Exchange Rate Determination.†International Journal of Forecasting 3, 43–51.
Baillie, R.T. and T. Bollerslev (1989) “Common Stochastic Trends in a System of Exchange Rates.†The Journal of Finance 44, 167–181.
Baillie, R.T. and T. Bollerslev (1994) “The Long Memory of the Forward Premium.†Journal of International Money and Finance 13, 565–571.
Bakshi, G.S. and A. Naka (1997) “Unbiasedness of the Forward Exchange Rates.†The Financial Review 32, 145–162.
Barkoulas, J. and C.F. Baum (1997) “A Re-Examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency.†Applied Financial Economics 7, 635–643.
- Ben-Zion, U., J.J. Choi, and S. Hauser (1996) “The Price Linkages Between Country Funds and National Stock Markets: Evidence from Cointegration and Causality Tests of Germany, Japan and UK Funds.†Journal of Business Finance & Accounting 23, 1005–1018.
Paper not yet in RePEc: Add citation now
- Bhar, R. (1995) “Do Australian Spot Foreign Exchange Rates Till Show Evidence of Cointegration?†Accounting and Finance 35, 197–205.
Paper not yet in RePEc: Add citation now
Biswas, B., G. Tribedy, and P. Saunders (1992) “Further Analysis of the Twin Deficits.†Contemporary Policy Issues 10, 104–107.
Booth G.G. and M. Chowdhury (1991) “Long-Run Dynamics of Black and Official Exchange Rates.†Journal of International Money and Finance 10, 392–405.
Booth, G.G. and Y. Tse (1995) “Long Memory in Interest Rate Futures Markets: A Fractional Cointegration Analysis.†Journal of Futures Market 15, 573–584.
Boswijk, H.P. (1996) “Testing Identifiability of Cointegrating Vectors.†Journal of Business & Economic Statistics 14, 153–160.
- Boucher, J.L. (1991) “The US Current Account: A Long and Short Run Empirical Perspective.†Southern Economic Journal 58, 93–111.
Paper not yet in RePEc: Add citation now
- Byers, J.D. and D.A. Peel (1992) “Evidence on the Stochastic Structure of Exchange Rates in the Inter-War Period.†Applied Financial Economics 2, 99–103.
Paper not yet in RePEc: Add citation now
Caporale, G.M. and N. Pittis (1998) “Cointegration and Predictability of Asset Prices.†Journal of International Money and Finance 17, 441–453.
Caporale, G.M. and S. Kalyvitis (1996) “Interest Rate Convergence, Capital Controls, Risk Premia and Foreign Exchange Market Efficiency in the EMS.†Journal of Macroeconomics 18, 693–714.
Chan, K.C., B.E. Gup, and M.-S. Pan (1992) “An Empirical Analysis of Stock Prices in Major Asian Markets and the United States.†Financial Review 27, 289–307.
Chan, K.C., B.E. Gup, and M.-S. Pan (1997) “International Stock Market Efficiency and Integration: A Study of Eighteen Nations.†Journal of Business Finance and Accounting 24, 803–813.
- Chatrath, A., M. Chaudhry, and R. Kamath (1995) “Linkages in the Eurocurrency Deposit Rate Market: Nominal Versus Real Rates.†American Business Review 13, 18–25.
Paper not yet in RePEc: Add citation now
Chatrath, A., S. Ramachander, and F. Song (1997) “International Linkages in Bank Lending and Borrowing Markets: Evidence from Six Industrialized Countries.†Applied Financial Economics 7, 403–411.
Cheung, Y.-W. and K.S. Lai (1993) “Long-Run Purchasing Power Parity During the Recent Float.†Journal of International Economics 34, 181–192.
Chinn, M.D. and J.A. Frankel (1995) “Who Drives Real Interest Rates Around the Pacific Rim: The USA or Japan?†Journal of International Money and Finance 14, 801–821.
- Choudhry, T. (1994) “Stochastic Trends and Stock Prices: An International Inquiry.†Applied Financial Economics 4, 383–390.
Paper not yet in RePEc: Add citation now
Chung, P.J. and D.J. Liu (1994) “Common Stochastic Trends in Pacific Rim Stock Markets.†Quarterly Review of Economics and Finance 34, 241–259.
- Clare, A.D., M. Maras, and S.H. Thomas (1995) “The Integration and Efficiency of International Bond Markets.†Journal of Business Finance & Accounting 22, 313–322.
Paper not yet in RePEc: Add citation now
Copeland, L.S. (1991) “Cointegration Tests with Daily Exchange Rate Data.†Oxford Bulletin of Economics and Statistics 53, 185–198.
Corbae, D., K.-G. Lim, and S. Ouliaris (1992) “On Cointegration and Tests of Forward Market Unbiasedness.†The Review of Economics and Statistics 74, 728–732.
- Corhay, A., A.T. Rad, and J.P. Urbain (1995) “Long Run Behavior of Pacific-Basin Stock Prices.†Applied Financial Economics 5, 11–18.
Paper not yet in RePEc: Add citation now
Dahl, C. and M. Yucel (1991) “Testing Alternative Hypotheses of Oil Producer Behavior.†The Energy Journal 12, 117–138.
Davidson, J. (1998) “Structural Relations, Cointegration and Identification: Some Simple Results and Their Application.†Journal of Econometrics 87, 87–113.
DeLoach, S.B. (1997) “Do Relative Prices of Non-Traded Goods Determine Long-Run Real Exchange Rates?†The Canadian Journal of Economics 30, 891–909.
Deyak, T.A., W.C. Sawyer, and R.L. Sprinkle, (1993) “The Adjustment of Canadian Import Demand to Changes in Income, Prices, and Exchange Rates.†The Canadian Journal of Economics 26, 890–900.
Diebold, F.X., J. Gardeazabal, and K. Yilmaz (1994) “On Cointegration and Exchange Rate Dynamics.†The Journal of Finance 49, 727–735.
Dooley, M.P., P. Isard, and M.P. Taylor (1995) “Exchange Rates, Country-Specific Shocks, and Gold.†Applied Financial Economics 5, 121–129.
- Dutt, S.D. and D. Ghosh, (1996) “Purchasing Power Parity Doctrine: An Unrestricted Cointegration Test.†Studies in Economics and Finance 16, 22–45.
Paper not yet in RePEc: Add citation now
Dwyer, G.P., Jr. and M.S. Wallace (1992) “Cointegration and Market Efficiency.†Journal of International Money and Finance 11, 318–327.
Engel, C. (1996) “A Note on Cointegration and International Capital Market Efficiency.†Journal of International Money and Finance 15, 657–660.
- Engle, R.F. and C.W.J Granger (1987) “Cointegration and Error Correction: Representation, Estimation and Testing.†Econometrica 55, 251–276.
Paper not yet in RePEc: Add citation now
Flynn, N.A. and J.L. Boucher (1993) “Tests of Long-Run Purchasing Power Parity Using Alternative Methodologies.†Journal of Macroeconomics 15, 109–122.
Francis, B.B. and L.L. Leachman (1998) “Superexogeneity and the Dynamic Linkages among International Equity Markets.†Journal of International Money and Finance 17, 475–492.
Franses, P. and N. Haldrup (1994) “The Effects of Additive Outliers on Tests for Unit Roots and Cointegration.†Journal of Business & Economic Statistics 12, 471–478.
Fung, H.-G. and S.C. Isberg (1992a) “The International Transmission of Eurodollar and US Interest Rates: A Cointegration Analysis.†Journal of Banking and Finance 16, 757–769.
- Fung, H.-G. and S.C. Isberg (1992b) “A Cointegration Analysis of the Asian Dollar and Eurodollar Interest Rate Transmission.†Asia Pacific Journal of Management 9, 167–177.
Paper not yet in RePEc: Add citation now
Fung, H.-G. and W.-C. Lo (1995) “An Empirical Examination of the Ex ante International Interest Rate Transmission.†The Financial Review 30, 175–195.
Gonzalo, J. and T.-H. Lee (1998) “Pitfalls in Testing for Long Run Relationships.†Journal of Econometrics 86, 129–154.
- Granger, C.W.J. (1986) “Developments in the Study of Cointegrated Variables.†Oxford Bulletin of Economics and Statistics 48, 213–228.
Paper not yet in RePEc: Add citation now
Granger, C.W.J. (1991) “Some Recent Generalizations of Cointegration and the Analysis of Long-Run Relationships.†In R.F. Engle and C.W.J. Granger (eds.), Long-Run Economic Relationships: Readings in Cointegration. New York: Oxford University Press, pp. 277–287.
Granger, C.W.J. and P. Newbold (1974) “Spurious Regression in Econometrics.†Journal of Econometrics 2, 111–120.
- Granger, C.W.J. and T.-H. Lee (1989) “Multicointegration.†Advances in Econometrics 8, 71–84.
Paper not yet in RePEc: Add citation now
Hafer, R.W. and A.M. Kutan (1994) “A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS.†Economic Inquiry 32, 684–695.
Hakkio, C.S. and M. Rush (1989) “Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets.†Journal of International Money and Finance 8, 75–88.
- Henriques, I. and P. Sadorsky, (1996) “Export-Led Growth or Growth-Driven Exports? The Canadian Case.†The Canadian Journal of Economics 29, 540–542.
Paper not yet in RePEc: Add citation now
Hsiao, C. (1997) “Cointegration and Dynamic Simultaneous Equations Model.†Econometrica 65, 647–670.
Hylleberg, S. and G.E. Mizon, (1989) “Cointegration and Error Correction Mechanisms.†The Economic Journal 99, 113–125.
- Johansen, S. (1988) “Statistical Analysis of Cointegrating Vectors.†Journal of Economic Dynamics and Control 12, 231–254.
Paper not yet in RePEc: Add citation now
Johansen, S. (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.†Econometrica 59, 1551–1580.
Johansen, S. and K. Juselius (1990) “Maximum Likelihood Estimation and Inference on Cointegrationâ€â€with Applications to the Demand for Money.†Oxford Bulletin of Economics and Statistics 52, 169–210.
Kanas, A. (1997) “The Monetary Exchange Rate Model Within the ERM: Cointegration Tests and Implications Concerning the German Dominance Hypothesis.†Applied Financial Economics 7, 587–598.
- Karfakis, C.I. and A. Parikh (1994) “Exchange Rate Convergence and Market Efficiency.†Applied Financial Economics 4, 93–98.
Paper not yet in RePEc: Add citation now
Kasa, K. (1992) “Common Stochastic Trends in International Stock Markets.†Journal of Monetary Economics 29, 95–124.
Katsimbris, G.M. and S.M. Miller (1993) “Interest Rate Linkages Within the European Monetary System: Further Analysis.†Journal of Money, Credit & Banking 25, 771–779.
- Katsimbris, G.M. and S.M. Miller (1995) “Monetary Policies of Developed Countries.†Journal of Economics Studies 22, 44–58.
Paper not yet in RePEc: Add citation now
- Lajaunie, J.P. and A. Naka (1992) “Is the Tokyo Spot Foreign Exchange Market Consistent with the Efficient Market Hypothesis?†Review of Financial Economics 2, 68–74.
Paper not yet in RePEc: Add citation now
- Lajaunie, J.P. and A. Naka (1997) “Re-Examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates.†Journal of Business Finance & Accounting 24, 363–374.
Paper not yet in RePEc: Add citation now
Lajaunie, J.P., B.L. McManis, and A. Naka (1996) “Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests.†Financial Review 31, 553–564.
- Layton, A.P. and A. Tan (1992) “Multivariate Cointegration Testing of the Efficiency of Australias Spot FOREX Market.†Accounting and Finance 32, 63–70.
Paper not yet in RePEc: Add citation now
Lin, A. and P.E. Swanson (1993) “Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies.†Journal of Banking and Finance 17, 609–628.
Lin, A. and P.E. Swanson (1997) “The US Dollar in Global Money Markets: A Multivariate Cointegration Analysis.†Quarterly Review of Economics and Finance 37, 139–150.
Liu, P.C. and G.S. Maddala (1992) “Rationality of Survey Data and Tests for Market Efficiency in the Foreign Exchange Markets.†Journal of International Money and Finance 11, 366–381.
Mahdavi, S. and A. Sohrabian (1993) “The Exchange Value of the Dollar and the US Trade Balance: An Empirical Investigation Based on Cointegration and Granger Causality Tests.†Quarterly Review of Economics and Finance 33, 343–358.
- Masih, A.M.M. and R. Masih (1995) “Investigating the Robustness of Tests of the Market Efficiency Hypothesis: Contributions from Cointegration Techniques on the Canadian Floating Dollar.†Applied Financial Economics 5, 139–150.
Paper not yet in RePEc: Add citation now
Miller, S.M. and F.S. Russek (1989) “Are the Twin Deficits Really Related?†Contemporary Policy Issues 7, 91–115.
Miller, S.M. and F.S. Russek (1992) “Are the Twin Deficits Really Related? Further Comments.†Contemporary Policy Issues 10, 112–113.
Narin, D. (1992) “Is the Export-led Growth Hypothesis Valid for Industrialized Countries?†The Review of Economics and Statistics 74, 678–688.
Nelson, C.R. and H. Kang (1984) “Pitfalls in the Use of Time as an Explanatory Variable in Regression.†Journal of Business & Economic Statistics 2, 73–82.
- Parker, J.C. and M.O. Parker (1991) “Exchange Rate Forecasting.†The Journal of Business Forecasting Methods & Systems 10, 19–27.
Paper not yet in RePEc: Add citation now
Pippenger, M.K. (1993) “Cointegration Tests of Purchasing Power Parity: The Case of Swiss Exchange Rates.†Journal of International Money and Finance 12, 46–61.
- Pomponio, X.Z. (1996) “A Causality Analysis of Growth and Export Performance.†Atlantic Economic Journal 24, 168–176.
Paper not yet in RePEc: Add citation now
Sauer, D.G. (1994) “Measuring Economic Markets for Imported Crude Oil.†The Energy Journal 15, 107–123.
Sedgley, N. and J. Smith (1994) “An Analysis of UK Imports Using Multivariate Cointegration.†Oxford Bulletin of Economics and Statistics 56, 135–150.
Sephton, P.S. and H.K. Larsen (1991) “Tests of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests.†Journal of International Money and Finance 10, 561–570.
Serletis, A. (1992) “Export Growth and Canadian Economic Development.†Journal of Development Economics 38, 133–145.
Taylor, M.P. and I. Tonks (1989) “The Internationalization of Stock Markets and the Abolition of U.K. Exchange Control.†The Review of Economics and Statistics 71, 332–336.
Throop, A.W. (1993) “A Generalized Uncovered Interest Parity Model of Exchange Rates.†Economic Review-Federal Reserve Bank of San Francisco (2), 3–16.
Throop, A.W. (1994) “International Financial Market Integration and Linkages of National Interest Rates.†Economic Review-Federal Reserve Bank of San Francisco (3), 3–18.
- Tse, Y., T.-H. Lee, and G.G. Booth (1996) “The International Transmission of Information in Eurodollar Futures Markets.†Journal of International Money and Finance 15, 447–465.
Paper not yet in RePEc: Add citation now
Urbain, J.-P. (1995) “Partial versus Full System Modelling of Cointegrated Systems: An Empirical Illustration.†Journal of Econometrics 69, 177–210.
- Vamvoukas, G.A. (1997) “Have Large Budget Deficits Caused Increasing Trade Deficits? Evidence from a Developing Country.†Atlantic Economic Journal 25, 80–90.
Paper not yet in RePEc: Add citation now
Wickens, M.R. (1996) “Interpreting Cointegrating Vectors and Common Stochastic Trends.†Journal of Econometrics 74, 255–271.
- Zhou, S. (1995) “The Response of Real Exchange Rates to Various Economic Shocks.†Southern Economic Journal 61, 936–954.
Paper not yet in RePEc: Add citation now
Zhou, S. and S. Mahdavi (1996) “Simple vs. Generalized Interest Rate and Purchasing Power Parity Models of Exchange Rates.†Quarterly Review of Economics and Finance 36, 197–218.