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Trenkler, Carsten ; Weber, Enzo

Codependence and Cointegration

Monograph

Trenkler, Carsten and Weber, Enzo (2009) Codependence and Cointegration. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 437, Discussion Paper.

DOI to cite this document: 10.5283/epub.9852


Abstract

We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common ...

We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but
adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common feature are checked by LR and GMM-type tests. Alongside, we provide corrected maximum codependence orders and discuss identification. The concept is applied to US and European interest rate data, examining the capability of the Fed and ECB to control overnight money market rates.



Involved Institutions


Details

Item typeMonograph (Discussion Paper)
Series of the University of RegensburgRegensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Volume437
Date21 October 2009
Date of publication21 Oct 2009 14:01
InstitutionsBusiness, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject NetworkImmobilien- und Kapitalmärkte
Identification Number
ValueType
RePEc:bay:rdwiwi:9852RePEc Handle
Classification
NotationType
C32Journal of Economics Literature Classification
E52Journal of Economics Literature Classification
KeywordsVAR, serial correlation common features, codependence, cointegration
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedNo, this document will not be refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-98527
Item ID9852

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