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Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

Neste estudo foram analisados 40 países para o período mais longo disponível no IFS, através do teste de cointegração de Johansen (1995) e Vetores de Correção de Erro (VEC) para explorar as evidências sobre a capacidade de hedge dos ativos acionários com relação à inflação. Além disso, incluiu-se um teste de cointegração com quebra estrutural a fim de testar a relação entre as séries que não cointegraram através do teste principal de Johansen (1995). Cabe ressaltar que, ao contrário dos artigos que analisam as variáveis em diferença, ao considerarmos as variáveis em nível, um equilibrio de longo prazo entre estas foi encontrado, e mesmo que o retorno ao equilíbrio seja lento, ele existe e, após um periodo suficientemente longo, ambas as variáveis retornarão ao equilíbrio de longo prazo. Além disso, o equilíbrio de longo prazo encontrado para a maioria dos países decorreu do teste sem a inclusão de quebra estrutural. Assim, a relação de longo prazo entre as variáveis permanece estável para 29 países, indicando que choques reais ou monetários, mesmo permanentes, não são capazes de afetar a dinâmica entre estas variáveis. / This study analyses 40 countries for the longest sample available at IFS, through the cointegration test of Johansen (1995) and Vector Error Correction Models (VECM), in order to explore the evidences concerning the stock assets capability of hedging inflation. Besides, this paper includes a cointegration test with structural break in order to test the long run relationship between the series of countries that did not cointegrate using the Johansen (1995) test. We can’t stress enough that, contrary to the other studies that use variables in difference, when we consider them in level a long run relationship arrises, and even though the return to equilibrium is slow, it exists and after a sufficiently long period, both variables will reach a long run equilibrium. Beyond that, a long run relationship was found for most countries before considering the existance of a structural break. Hence, the long run relationship remains stable for 29 countries, indicating that any real or monetary shocks, even those permanent, did not affect the long run dinamic between stock prices and goods prices.

Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson et al. (2001) in endlichen Stichproben. Die Simulationsergebnisse zeigen, dass unter den fünf untersuchten Panelkointegrationsteststatistiken die Panel-t Teststatistik von Pedroni (1995, 1999) die besten Eigenschaften in endlichen Stichproben besitzt. Der zweite Aufsatz präsentiert eine Korrektur des Beweises von Larsson et al. (2001) bezüglich der Endlichkeit der Momente der asymptotischen Trace-Statistik für den Fall, dass die Differenz zwischen der Anzahl der Variablen und der Anzahl der existierenden Kointegrationsbeziehungen eins ist. Im dritten Aufsatz wird ein neuer Likelihood-basierter Panelkointegrationstest vorgestellt, der die Existenz eines linearen Trends in dem datengenerierenden Prozess erlaubt. Dieser neue Test ist eine Erweiterung des Likelihood-Quotienten-Tests von Saikkonen und Lütkepohl (2000a) für trendbereinigte Daten auf die Paneldatenanalyse. Unter der Nullhypothese folgt die Panel-SL Teststatistik einer standardisierten Normalverteilung, wenn die Anzahl der Beobachtungen über die Zeit (T) und die Anzahl der Querschnitte (N) sequentiell gegen unendlich gehen. In einer Monte-Carlo-Studie werden die Eigenschaften des Panel-SL Tests in endlichen Stichproben untersucht. Der neue Test hat ein annehmbares empirisches Signifikanzniveau für wachsende T und N sowie eine hohe Güte in kleinen Stichproben. Der letzte Aufsatz der Dissertation analysiert die langfristige Geldnachfragefunktion in OECD Ländern mit Hilfe von Paneleinheitswurzel- und Panelkointegrationstests. Um eine mögliche Existenz einer stationären langfristigen Geldnachfragefunktion zu untersuchen, werden der Panel-SL Kointegrationstest und die Tests von Pedroni (1999) verwendet. Im Anschluss daran wird eine Paneldatenschätzung für die Geldnachfragefunktion mittels der dynamischen Kleinste-Quadrate-Methode von Mark und Sul (2003) durchgeführt. / This thesis is composed of four essays which contribute to the literature in panel cointegration methodology. The first essay compares the finite sample properties of the four residual-based panel cointegration tests of Pedroni (1995, 1999) and the likelihood-based panel cointegration test of Larsson et al. (2001). The simulation results indicate that the panel-t test statistic of Pedroni has the best finite sample properties among the five panel cointegration test statistics evaluated. The second essay presents a corrected version of the proof of Larsson et al. (2001) related to the finiteness of the moments of the asymptotic trace statistic. The proof is corrected for the case, in which the difference between the number of variables and the number of existing cointegrating relations is one. The third essay proposes a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio test of Saikkonen and Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. Under the null hypothesis, the panel SL test statistic is standard normally distributed as the number of time periods (T) and the number of cross-sections (N) tend to infinity sequentially. By means of a Monte Carlo study the finite sample properties of the test are investigated. The new test presents reasonable size with the increase in T and N, and has high power in small samples. The last essay of the thesis analyzes the long-run money demand relation among OECD countries by panel unit root and cointegration testing techniques. The panel SL cointegration test and the tests of Pedroni (1999) are used to detect the existence of a stationary long-run money demand relation. Moreover, the money demand function is estimated with the panel dynamic ordinary least squares method of Mark and Sul (2003).