Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

Current account, exchange rate dynamics and the predictability: the experience of Malaysia and Singapore

“…Specifically, the variable (ca-ca * ) is the difference in the share of the cumulative current accounts relative to GDP. Cushman et al (1996) note that the level (cumulative) bilateral account between domestic and foreign countries (in our case, Japan) should be used if the variable is nonstationary (stationary). All the data are seasonally unadjusted series.…”

“…Bilateral current accounts in level form for Singapore and Malaysia are sourced from IMF. We follow Cushman et al (1996) in constructing the cumulative accounts (ca-ca * ). Specifically, the variable (ca-ca * ) is the difference in the share of the cumulative current accounts relative to GDP.…”

Joint modeling of cointegration and conditional heteroscedasticity with applications

“…Baillie and Pecchenino (1991) also concluded with no cointegration in a dollar-pound model using the Johansen technique (Johansen (1988)). However, Taylor (1992, 1993) reported the presence of the cointegrating vectors using the Johansen technique, while Cushman et al (1996) also concluded the existence of co-integrating vectors in the exchange rates of several OECD countries.…”

Macroeconomic Factors and Pakistani Equity Market”

“…Moreover this paper employs different set of macroeconomic variables as compared with Hussain and Mahmood (2001) to find the causal relationship between macroeconomic activity and stock prices. The current paper provides interpretations of multiple cointegrating relationships in a system of equations (unlike the single cointegrating vector models of Baillie and Bollerslev (1989), Hafer and Jansen (1991), Diebold, Gardeazabel, and Yilmaz (1994), Engsted and Tanggaard (1994), Harris, McInish, and Schoesmith (1995), Mukherjee and Naka (1995), Chinn and Frankel (1995), Lo, Fund, and Morse (1995), Cushman and Lee (1996), and Dutton and Strauss (1997), Nishat andSaghir (1991), andHussain andMahmood (2001)). Also, we demonstrate the effects of macro-economic factors on the Pakistani stock market by constructing the impulse responses as well as variance decompositions.…”