In this article, monthly data on 30-year fixed-rate conventional mortgage rate and 10-year constant maturity Treasury yield for the period from April, 1971 to December, 2003 is used to test for the integration of the mortgage market with the broader capital markets. The article uses a more general concept of fractional heteroscedastic cointegration. Furthermore, an asymmetric errorcorrection mo...

Under traditional cointegration tests, some eligible I(1) time series systems Xt, that are not cointegrated over a given time period, say (0, T1], sometimes test as cointegrated over sub-periods. That is, the system appears to have a stationary linear structure ξ′Xt for certain vector ξ in the period 0 < t ≤ T1. Understanding the dynamics between cointegration test power and restricted sample s...

The paper is dedicated to deriving a gaussian procedure to test for cointegration. We consider four alternative specifications, depending on the form adopted by the deterministic terms. We then define the test statistic and derive its asymptotic behaviour under both the null and the alternative hypotheses. We show that, under the null hypothesis, the test procedure follows a Standard-Normal dis...

the prime objective of the study is to identify the long-run and short-run relationship between indian stock price viz., bse sensex (hereafter named as bse) and gold price (gold) in india. the daily closing price data were collected for the period of ten years ranging from 1st april 2004 to 31st march 2014 with 2490 observations. the study employed two models: model one used gold as dependent v...

This paper investigates the important question of what relationship, if any, exists between economic infrastructure, gross fixed capital formation, and FDI inflows to Hungary during the 1995-2012 period. Although this question has great significance from an economic policy standpoint, there has been little to no empirical analysis undertaken so far in the case of transition economies such as Hu...