members of the ECB Monetary Policy Committee (in particular, Tuomas Saarenheimo who acted as discussant) for a number of interesting suggestions. We are also grateful to K. Juselius for a helpful discussion. The opinions expressed herein are those of the authors and do not necessarily represent those of the European Central Bank, the Banco de España or the Eurosystem. Fax +49 69 1344 6000 Telex...

Many studies have estimated the aggregate import demand function for Pakistan by using non-stationary data. Their findings suffer from the so-called ‘spurious regression’ problem. This study attempts to estimate the aggregate import demand function for Pakistan by employing Johansen and Juselius cointegration technique on the annual data for the period 1975-2005. Our results show that there is ...

This research uses multivariate cointegration analysis to assess the degree . of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypo...

This paper investigates the existence of trade-off relationship between unemployment and inflation in the Jordanian economy between 1984 and 2011. Each of Granger-causality test is adopted to check relationship between variables and the direction of causation. Since these techniques are sensitive to stationary, integration and co-integration of the variables ADF and PP tests is applied to test ...

This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short run dynamic causal relationships by using Toda and Yamam...

BACKGROUND Arthroscopic partial meniscectomy is one of the most common orthopedic procedures, yet rigorous evidence of its efficacy is lacking. METHODS We conducted a multicenter, randomized, double-blind, sham-controlled trial in 146 patients 35 to 65 years of age who had knee symptoms consistent with a degenerative medial meniscus tear and no knee osteoarthritis. Patients were randomly assi...

Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines bullion, metal, energy commodity prices through Granger causality Johansen–Juselius cointegration tests. test results show bidirectional between returns for gold, silver, aluminum, lead, nickel, zinc. Johansen shows that are long-run equilibrium pa...

A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and practical issues, which suggests an alternative framework is needed. The contribution of this study is...

This paper investigates the determinants of private investment in Senegal over the period of 1970-2000. It first tests the variables for unit root using two, relatively, new tests namely the Dickey-Fuller generalised least square de-trending test proposed by Elliot et al. (1996) and the Ng-Perron test following Ng and Perron (2001). The long run private investment equation is derived using the ...

The objective of this study is to test the relationship between short-term nominal interest rate and inflation in the context of the Indian financial market. To achieve this objective we perform Augmented Dickey-Fuller unit root test to check for stationarity and thereafter we test for co-integration using the Engle-Granger method and further corroborate the findings of this test with the Johan...