Irfan Ahmed, PhD

ABSTRACT This study investigates extensively the integration of various segments of financial markets (i.e. money market, lending and deposit market, exchange rate market, and capital market) both domestically and internationally. Cointegration approach is employed in the study to find out long term relationship among the variables. Data are on a monthly interval for the period spreads over 2001 to 2010. The results show no evidence of cointegration between money market and exchange rate market and between capital market and exchange rate market of Pakistan. On the other hand, international financial markets integration is also investigated and the findings revealed that domestic money market rates of Pakistan and USA are not cointegrated. Whereas, an evidence of cointegration between capital markets of Pakistan and USA is found in this study. Keywords:  Financial Integration; Money Market; Capital Market; Exchange Rate Market; Cointegration. Author: Irfan Ahmed Journal of...

Engle-Granger 2 step, and 1 step, estimation procedures Cointegration in Single Equations: Cointegration -   evidence of long-run or equilibrium relationships With cointegration the residuals from a regression are stationary. Tested informally and formally for cointegration                 Formal Tests include   (1) Cointegrating Regression Durbin Watson (CRDW) test   (2) Cointegrating Regression Dickey Fuller (CRDF) test     Summary of Lecture                 (1) Introduce Granger Representation Theorem.                                 - relates cointegration to Error Correction Models            ...