The stock market impact of German reunification: international evidence

This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links. The analysis also revealed that the most significant individual events occur in August 1990.

Programming Identification Criteria in Simultaneous Equation Models

Examining the identification problem in the case of a linear econometric model can be a tedious task. The rank and order conditions are commonly used in identification for simultaneous equations models. The order condition of identifiability is an easy condition to compute, though maybe difficult to remember. The application of the rank condition, due to its complicated definition and its computational demands, is time consuming and contains a high risk for errors. Furthermore, possible miscalculations could lead to wrong identification results, which cannot be revealed by other indications. Thus, a safe way to test identification criteria is to make use of computer software. Specialized econometric software can off-load some of the requested computations but the procedure of formation and verification of the identification criteria are still up to the user. In our identification study we use the program editor of a free computer algebra system, Xcas. We present a routine that tests various identification conditions and classifies the equations under study as A >, A >, A > and A >, in just one entry