We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace
tests for cointegration under the empirically relevant situation of near-integrated variables …

Relying on more recent data spanning September, 2000 to September, 2010, this paper
investigates the effects of macroeconomic variables on stock market returns by employing …

This article aims to examine the long and short run relationship between agricultural exports
and agriculture share of GDP. Links between series considered are assessed by co …

O presente artigo analisou o repasse cambial para os preços ao consumidor (IPCA) no
Brasil, no período entre 1999 e 2013, verificando através de diversas especificações …

Capital markets, specifically as stock markets, are institutions that actively play a role in the
development of an economy, an emerging economy and developed economy. This study …

Within the framework of the financial industry, when representing relationships between
assets, correlation is typically used. However, academics have long since questioned this …

This paper studies the relationship between the house price‐to‐income ratio (PIR) and
economic fundamentals, and investigates the long‐horizon forecastability of the PIR. We first …

Nominal interest rates are unlikely to be generated by unit-root processes. Using data on
short and long interest rates from eight developed and six emerging economies, we test the …

I suggest that market concentration at aggregate level has a significant structural impact on
the wage differential between white-collar and blue-collar workers. Both phenomena are …

Este trabalho apresenta novas especificações econométricas para as exportações
brasileiras no período 1995-2009 utilizando dados das Contas Trimestrais e permitindo não …