Trenkler, Carsten and Weber, Enzo (2013) Testing for codependence of cointegrated variables. APPLIED ECONOMICS, 45 (15). pp. 1953-1964. ISSN 0003-6846,
Full text not available from this repository. (Request a copy)Abstract
We analyse nonstationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed adjustment. We show which restrictions are implied for the Moving Average (MA) and Vector Error Correction Model (VECM) representations and put forward a Generalized Method of Moments (GMM) test. In addition, for cases where the constraints can be uniquely imposed on a VECM a likelihood ratio test is proposed. We apply the concept to US and European interest rate data, examining the capability of the Federal Reserve Bank (Fed) and European Central Bank (ECB) to control overnight money market rates.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | TIME-SERIES; FEDERAL-FUNDS; COMMON TRENDS; MODELS; CYCLES; serial correlation common features; codependence; cointegration; overnight interest rates; central banks |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 30 Apr 2020 06:23 |
| Last Modified: | 30 Apr 2020 06:23 |
| URI: | https://pred.uni-regensburg.de/id/eprint/17571 |
Actions (login required)
 |
View Item |
