Journal ArticleEconomic Inquiry · September 12, 2005
Using multicointegration methodology, we develop criteria for testing sustainability of fiscal budgeting processes across all states of nature. Criteria are derived from the optimal control literature where levels and rates of change of a system of variabl ...
Full textOpen AccessCite
Journal ArticleApplied Economics · January 1, 2002
This paper uses cointegration and multicointegration analysis to explore the issue of twin deficits for the USA in the post-World War II period. The results suggest that prior to 1974 the systems of fiscal and foreign sector variables exhibit multicointegr ...
Full textCite
Journal ArticleJournal of Macroeconomics · January 1, 2000
Using the multicointegration framework suggested by Granger and Lee (1989, 1990) and developed in Engsted, Gonzalo and Haldrup (1997) and Haldrup (1997) this study explores the long-run relationship between components of the U.S. current account during two ...
Full textCite
Journal ArticleJournal of International Money and Finance · June 1, 1998
In this article, we combine the Johansen procedure for cointegration testing with tests of weak exogeneity and invariance in order to ascertain whether a system of equity markets is characterized by superexogeneity. Superexogeneity is rejected for the syst ...
Full textOpen AccessCite
Journal ArticleEconomic Record · January 1, 1998
This paper employs cointegration and multicointegration analysis to explore the issue of external solvency in the small open economy of Australia. Results indicate that in the fixed exchange-rate era exports and imports are multicointegrated while in the m ...
Full textCite
Journal ArticleApplied Economics · January 1, 1996
This paper derives major theoretical constructs which underlie Richardian equivalence, and using multicointegration methodology, empirically tests whether they bear out. Results indicate that government spending and revenues are cointegrated. However, the ...
Full textCite
Journal ArticleInternational Review of Applied Economics · January 1, 1996
This paper models the volatility of national stock market returns of the G-7 countries using ARCH and GARCH modeling techniques. Then, via the use of vector autoregression analysis, the international transmission of volatility among the countries is explor ...
Full textCite
Journal ArticleJournal of Macroeconomics · January 1, 1995
This paper examines the long-run relation between two systems of equity markets in the post Bretton Woods era. In particular, we examine whether central bank intervention as prescribed by the Plaza and Louvre Accords impacted the long-run relationships cha ...
Full textCite
Journal ArticleOpen Economies Review · June 1, 1991
Historically investigations of the international mobility of capital have studied rates of return on similar assets denominated in different currencies. Recently, however, efforts directed at ascertaining the degree of international capital mobility have e ...
Full textCite
