Testing and Estimation of Structural Breaks in Fractional Cointegration

该项目的目的是开发和经验性地应用时变部分分式协整检验。如果将分数协整关系解释为长期稳定的均衡，可以假设这也会随着经济和政治条件的变化而变化。变化可能是协整向量随时间变化，但实际的均衡关系是稳定的，或者分数协整只在特定时间存在。一方面，Hassler和Breitung(2006)对分数次协整关系的检验与Davidson和Monticini(2010)的方法相结合，以允许在协整关系中出现突变。另一方面，使用基于似然比的方法来检验协整多变量时间序列系统中的协整向量中的多个结构突变，并进一步检验分数协整关系的发生是否受背景变量的驱动。为此，将协整残差模型化为马尔可夫切换过程，并利用这些理论方法检验了欧元区分式协整与市场整合之间的关系。通过将这些方法应用于股票和债券收益率之间的相关性(所谓的“向质量的逃逸”效应)，以及不同资产类别的波动性之间的依赖结构，以及对国际金融市场的波动性，考虑可以获得哪些经济知识。

The aim of the project is to develop and empirically apply tests for time-varying partial fractional cointegration. If one interprets a fractional cointegration relationship as a long-term stable equilibrium, it can be assumed that this also changes with changing economic and political conditions. The change can be that the cointegration vector changes over time, but the actual equilibrium relationship is stable, or that fractional cointegration is only present at specific times. Both have not been considered by the literature so far, so that the aim of this project is to develop methods that test for such temporal changes in the cointegration relationship and then allow them to be modeled and interpreted.On the one hand, the test for fractional cointegration by Hassler and Breitung (2006) is combined with approaches by Davidson and Monticini (2010) to allow for breaks in the cointegration relationship. On the other hand, a likelihood ratio-based approach is used which tests for multiple structural breaks in the cointegration vector in a cointegrated multivariate time series system.Furthermore, the aim of this project is to see whether the occurrence of fractional cointegration relationships is driven by a background variable. In order to do this the cointegration residuals are modeled as a Markov switching process.With the help of these theoretical methods, the relationship between fractional cointegration and market integration in the Eurozone is examined. It is considered which economic knowledge can be gained by applying these methods to the correlation between equity and bond yields (so-called “flight-to-quality” effects), as well as to dependency structures between the volatilities of different asset classes, and to international financial market volatilities .