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Stock and Flows in the Countegration Context

Author

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  • Micha³ Majsterek

    (Faculty of Economics and Sociology, University of Lodz)

Abstract

The paper describes relationships between stocks and flows in the context of cointegration analysis. Long-run and medium-term equilibrium relationships between stocks and flows are considered where stocks are described as cumulative flows. Polynomial cointegration is described as a tool for the analysis of equilibrium relationships and adjustment mechanisms for stocks and flows.

Suggested Citation

  • Micha³ Majsterek, 2018. "Stock and Flows in the Countegration Context," Lodz Economics Working Papers 3/2018, University of Lodz, Faculty of Economics and Sociology.
    • Handle: RePEc:ann:wpaper:3/2018
    as

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    File URL: http://dspace.uni.lodz.pl:8080/xmlui/handle/11089/24749
    File Function: First version, 2018
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    References listed on IDEAS

    as
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    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    7. Blangiewicz, Maria & Charemza, Wojciech W, 1990. "Cointegration in Small Samples: Empirical Percentiles, Drifting Moments and Customized Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(3), pages 303-315, August.
    8. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679.
    9. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(2), pages 188-202, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stocks; flows; equilibrium; cointegration;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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