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This thesis is concerned with the statistical modelling of long-run equilibrium relationships between economic variables. It comprises of four main chapters - each representing a standalone research paper. The connecting thread is the use of nonlinear cointegration models. More precisely: Chapter 2, Asymmetric price transmission in the US and German fuel markets: A quantile autoregression approach, proposes a new econometric model for asymmetric price transmissions using quantile regressions. Chapter 3, Are gold and silver cointegrated? New evidence from quantile cointegration, investigates the potentially nonlinear long-run relationship between gold and silver prices. Chapter 4, Testing for cointegration with SETAR adjustment in the presence of structural breaks, develops a new cointegration test with SETAR adjustment allowing for the presence of structural breaks in the equilibrium equation. Chapter 5, A Markov regime-switching model of crude oil market integration, revisits the globalization-regionalization hypothesis for the world crude oil using a Markov-switching vector error correction model. Diese Arbeit beschäftigt sich mit der statistischen Modellierung von langfristigen Gleichgewichtsbeziehungen ökonomischer Variablen. Die Arbeit besteht im Wesentlichen aus vier Kapiteln, die jeweils eine separate Forschungsarbeit enthalten. Dabei dient die Verwendung von nichtlinearen Kointegrationsmodellen als Bindeglied. Kapitel 2, „Asymmetric price transmission in the US and German fuel markets: A quantile autoregression approach“, diskutiert ein neues ökonometrisches Modell für asymmetrische Preistransmissionen. Kapitel 3, “Are gold and silver cointegrated? New evidence from quantile cointegration“, untersucht die möglicherweise nichtlineare Langfristbeziehung zwischen Gold- und Silberpreisen. Kapitel 4, „Testing for cointegration with SETAR adjustment in the presence of structural breaks“, entwickelt einen neuen Kointegrationstest mit SETAR Adjustierung und der Möglichkeit von Strukturbrüchen in der Gleichgewichtbeziehung. Kapitel 5, „A Markov regime-switching model of crude oil market integration“, untersucht die globalization-regionalization Hypothese für den globalen Rohölmarkt mittels eines Markov-switching Kointegrationsmodells.

This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting and the results differ from earlier work on nonparametric autoregression with stationarity. In addition, we develop a new bootstrap simulation scheme for the selection of a suitable bandwidth parameter involved in the kernel test as well as the choice of a simulated critical value. The finite-sample performance of the proposed test is assessed using one simulated example and one real data example., Comment: Published in at http://dx.doi.org/10.1214/09-AOS698 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992) is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker. Este trabalho investiga a transmissão de preços no mercado mundial de soja usando econometria de séries de tempo. O modelo teórico desenvolvido por Mundlack and Larson (1992) é baseado na Lei do Preço Único e supõe que os preços se equalizam ao longo de todos os mercados locais no longo prazo, permitindo-se desvios transitórios no curto prazo. O mercado internacional foi caracterizado através de três preços relevantes: Rotterdam, Argentina e Estados Unidos. O trabalho estima a elasticidade de transmissão desses preços aos preços no Brasil. Foram realizados testes de causalidade e de cointegração para verificar se há relação de longo prazo entre as variáveis. Foi também calculada a função de resposta a impulso e a decomposição da variância dos erros para avaliar a transmissão de preços internacionais aos preços brasileiros. Aplicou-se um teste de exogeneidade para verificar se as variáveis respondem a desvios de curto prazo em relação aos valores de equilíbrio. Os resultados confirmaram a validade da Lei do Preço Único no longo prazo. Em linha com vários trabalhos, este artigo mostrou que Brasil e Argentina podem ser vistos como tomadores de preços no mercado internacional, tendo em vista que a velocidade de ajuste de seus preços em resposta a choques é maior que a verificada para os preços dos Estados Unidos, que são formadores de preço.

In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.