REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY

DOI10.1017/S1365100597004057MaRDI QIDQ4233484zbMATH OpenOpenAlexFDO

Authors Pierre L. Siklos, Clive W. J. Granger

Publication date 22 April 1999

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100597004057

zbMATH Keywords

economic time seriesregime-sensitive cointegration

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Financial integration in emerging economies: an application of threshold cointegration
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• Regime-sensitive cointegration: the relationship between gold and silver
• Research in finance.
• Testing uncovered interest rate parity and term structure using multivariate threshold cointegration
• Inference on segmented cointegration
• Aggregate consumption spending, the stock market and asymmetric error correction
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• Uncovered interest rate parity and the expectations hypothesis of the term structure: empirical results for the US and Europe
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
• The joint tests of the parity conditions: evidence from a small open economy
• Currency swaps and long-term covered interest parity

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