Cointegration and nonlinear causality among ethanol-related prices: evidence from Brazil

Is OPEC a Cartel? Evidence from Cointegration and Causality Tests

The energy shocks of the 1970's had significant effects on the global economy. Were they engineered by an effective cartel of OPEC members acting to share the market by controlling output and influencing market prices? If OPEC was an effective cartel sharing the market among its members, there would be a long-run relationship between each member's individual production and total OPEC output. On...

Threshold cointegration and nonlinear adjustment between stock prices and dividends

According to several empirical studies, the linear present-value model fails to explain the behaviour of stock prices in the long run. We analyse the possible presence of threshold cointegration between real stock prices and dividends for the US market during the period from 1871:1 to 2004:6. According to our results, the null hypothesis of linear cointegration between stock prices and dividend...

Causality among sales, advertising and prices: new evidence from a multivariate cointegrated system

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or non-stationarity tests) is one of the first attempts at putting the salesmarketing mix analysis within a multiv...

Panel Causality Relationship Among FDI And Trade (Evidence From 16 Advanced Europe Countries)

Inflation and Money supply growth in Iran: Empirical Evidences from Cointegration and Causality