简介：

简介：在这篇论文，我们使用插件并且切基于的方法光谱在12亚洲人/美元的每日的汇率为长记忆性质测试的回归分析。结果根据插件方法证明与中国人民币的例外，所有系列可以有长记忆性质。在另一方面，结果基于Whittle方法证明那仅仅日本的日元和马来西亚ringgit可以有长记忆性质。它是著名的关于differencing参数的那推论，d，在在一个系列的结构的裂缝的存在必要可观的困难。因此，在亚洲给1997-1998的金融危机，为记忆性质的unravelling和在汇率系列的结构的裂缝的存在的进一步的测试被要求。

简介：

简介：Thispaperexaminestherelationshipbetweenstockmarket(KSE-100),moneymarket(M2and180daysT-billrate),andforeignexchangemarket(ER:PKR/USD)inPakistanbyusingmonthlydatacoveringtheperiodfrom2000:M1to2015:M12.Thestudyinvestigateslong-runequilibriumrelationshipbetweenthesethreefinancialmarketsbyemployingJohansenandJuselius[1]cointegrationtests.Long-runandshort-runcausalityrelationshipbetweenstockmarketandothermacroeconomicvariablesisalsoestablishedbyemployingvectorerrorcorrectionmodel(VECM)andpairwisegrangercausalitytests.Theresultsofmultivariatecointegrationtest(tracetest)indicateaonecointegratingvector,andthesignificantnormalizedcointegratingcoefficientsareevidentoflongrunequilibriumrelationshipbetweenalltheselectedvariables.NegativeandsignificantECT(-1)forallvariablesduringfullsampleperiodwitnessthepresenceoflong-runcausalityconnectionamongvariables,whileduringthemilitaryregimeanddemocraticregime,significantdifferenceoflong-runcausalconnectionsareidentifiedacrosstheregimes.Moreover,theresultsofgrangercausalitytestalsoindicatethattherearesignificantvariationsinthecausalityrelationshipamongvariablesacrosstheregimes.Therefore,itisessentialforforecasting,planningandpolicymakingtoconsidertheimportanceofpoliticalgovernancesystemwhileanalyzingthehistoricalcointegrationamongfinancialmarketandmakethenecessaryadjustmentsaccordingly.