Developments in the study of cointegrated economic variables

By Clive W. J. Granger. 2001

1,949 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7ec27500d285a778be95df264993ed0001992029

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

The empirical relationship between energy futures prices and exchange rates (2000, background): “Granger 1986, 1988 also Ž .shows that co-integration implies that causality, in the Granger 1969 sense, must exist in at least one direction.”
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, positive): “For cofractional processes we suggest a modification of the model suggested by Granger (1986) for which the above results can be applied to give a representation theory.”
Foreign direct investment, pollution and economic growth: evidence from Malaysia (2009, background): “Granger (1986) and Engle and Granger (1987) suggest a test of causality to take into account the properties of cointegrated variables which can be expressed as an error correction model (ECM).”
Foreign Direct Investment and Stock Market Development: Ghana's Evidence (2008, neutral): “[7] GSE (1995), GSE Quarterly Report, March 1995, Accra; Ghana Stock Exchange [8] Granger, C.”
Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2009, positive): “Granger (1986) and Engle and Granger (1987) suggest that the validity of long-term equilibria between variables can be examined using cointegration techniques.”
Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period (2002, background): “run and error-correction channels of causation [see Granger (1986) , (1988)].”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, methodology): “, the discussion in Granger and Hatanaka (1964). The coherence is analogous to the square of the correlation between two series, taking values from zero (no relation) to one (perfect correlation).”