Katarina Juselius, ProfessorPicture of staff member


University of Copenhagen

Department of Economics

Øster Farimasgade 5, Building 26

DK-1353 Copenhagen K, Denmark


Phone:     +45 35323068   Fax: +45 35323000

E-mail:    katarina.juselius@econ.ku.dk

www:     http://www.econ.ku.dk/

Most of my articles and papers are downloadable from http://ideas.repec.org/e/pju54.html



  1.  Biographic information

  2. Research interests

  3. Longer research visits

  4. Research projects

  5. Editorial duties, research assessments, etc.

  6. The CVAR book, data uploads, summer schools

  7. Work in progress

  8. Selected publications

  9. Teaching and supervising PhD

  10. Recent invitations


Biographic information: Katarina Juselius



MSe in Business Administration,  Swedish School of Economics, Helsinki, 1970,

Lic.Econ.Sc. in Econometrics,  Swedish School of Economics, Helsinki, 1979,

PhD in Econometrics,  Swedish School of Economics, Helsinki,  1983.



Director of the Research Institute of the Swedish School of Economics, Helsinki. 1978 - 1985.

Assistant Professor, University of Copenhagen, Economics Department,  1986 - 1987.

Associate Professor, University of Copenhagen, Economics Department,   1987 -1996,

Professor, University of Copenhagen, Economics Department,   1997-


Main research interest: Cointegrated VAR  (CVAR) models for I(1) and I(2) processes.



Special research topics:

  1. General inference in the I(2) model.

  2. Imbedding Imperfect Knowledge Economics (IKE) in the I(2) model

  3. Implications of IKE for macroeconomic modeling

  4. Determination of real exchange rate and its implication on the macro economy

  5. Common trends analysis in the CVAR model. Estimation and inference.

  6. Wage-, price, and unemployment dynamics

  7. The determination of nominal growth.

  8. Empirical analysis of high and low frequency data

  9. The econometrics of hyper inflation  and explosive roots.

  10. Bridging theory models and empirical evidence.

  11. Foreign aid and its impact on the macroeconomy.

  12. Cointegration analysis of climate change.


Longer Research Visits


  1. The Economics and Statistics Department at London School of Economics (1979),

  2. The Institute of Economics at the University of Aarhus (1981),

  3. The Economics Department at the University of California, San Diego (1985),

  4. The Economics Department at the University of California, San Diego (1989-90),

  5. The Swedish School of Economics, Helsinki, Finland (1990-1991),

  6. The Department of Statistics in the Faculties of Economics and Commerce, The Australian National University, Canberra, (1991),

  7. The Economics Department, Bond University, Gold Coast, Australia (1993-4,

  8. European University Institute, Florence, Italy (1996-2001),

  9. European Central Bank (2001)

    Research projects (K. Juselius main responsible)

1987-1990:     Statistical methods in economics and their application to models in the financial sector in Denmark.

1989-1991:     Development of the multivariate cointegration model.

1990-1992:     Monetary disequilibrium. An econometric model analysis of monetary phenomena in the Nordic countries.

1997-1998:     Macroeconomic transmission mechanisms in the Nordic countries. Empirical applications and econometric methods.

1999-2002:     Macroeconomic transmission mechanisms in Europe. Empirical applications and econometric methods.

2003-2005:     Imperfect Knowledge, Structural Change, the PPP puzzle, the Long Swings Puzzle and the Exchange Rate Disconnect Puzzle

Editorial activities, memberships, etc.

1983-1985    Associate editor of the Journal of Forecasting.

1985-1990    Associate editor of the International Journal of Forecasting.

1993-1998    Associate editor of Journal of Business and Economics Statistics

2003-            Associate editor of the Journal of Economic Methodology

2007             Guest editor of special issue in Economics–The Open-Access, Open-Assessment E-Journal


Member of research councils and committees:

Member of the EuroCore and the Forward Look committee, 2006,

Chair person of the EuroCore and Forward Look, 2007

Member of the Danish Social Sciences Research Council, 1995-98

Assessor of 6 research proposals for the UK Economic Research Council

Member of organization and planning committee for a Dahlem conference on ‘Mathematics and Social Entities’ in Berlin, 2008.


Assessment committees:

Member of an evaluation committee for a Chair in econometrics:

European University Institute,

University of Skøvde,

University of Norway.



Ranked nr 8 among the most cited economists in the world in 1990-2000

Journal paper 2007-4 ranked 3rd most downloaded in Economics–The Open-Access, Open-Assessment E-Journal




The Cointegrated VAR model: Methodology and Applications

The Cointegrated VAR Model Download data, codes and computer output here

I have organized Summer Schools in the methodology and applications of the cointegrated VAR model in 2003, 2004, 2005, 2006,  2008 and 2009 based on this book.  Approximately 230 people have participated until now. You can find a description of the course here. The summer school in August 2011 has been cancelled due to illness. The school in  2012 is presently running. You can find a preliminary description here.

The lecture notes and other materials can be downloaded here.

I have given various courses on the cointegrated VAR model, for example:

PhD courses at the European University Institute, Florence

PhD courses at the Scuola Superiore in Pisa

A PhD course in Cape Town, South Africa, May 2008-03-02

A training course for central bankers, Cambridge, September 2009

A PhD course in Colombia January 2010

Examples of exams in my regular teaching: Exam 2002 + Solutions, Exam 2003 Solutions Exam 2004  Solutions,  Exam 2005 Solutions Exam 2006 Exam 2006 with solution,  Appenix 2006.



Working papers and work in progress



Real Exchange Rate Persistence: the Case of the Swiss franc - US dollar rate (with Katrin Assenmacher)

"Testing the rational expectations hypothesis against the imperfect knowledge hypothesis: A Scenario Analysis". Preprint, The Department of Economics, University of Copenhagen.


Long Swings in Currency Markets: Imperfect Knowledge and I(2) Trends. (with Roman Frydman, Michael Goldberg, and Søren Johansen. Discussion Paper, University of Copenhagen


"A a resolution of the purchasing power parity puzzle: Imperfect knowledge and long swings" with R. Frydman, M. Goldberg and S. Johansen. Under revision.

"Glacial cycles: exogenous orbital changes vs. endogenous climate dynamics" with R. Kaufman. Climate of the Past, Discussion Papers; Göttingen : Copernicus Gesellschaft mbH, p. 585-626. 42 p. Under review for Climate of the Past.


"Is Beauty Mistaken for Truth?" A blog contribution to the web-page http://causesofthecrisis.blogspot.com/.


"Controlling inflation in a vector autoregressive model with application to US data". Discussion Paper at the Economics Department, University of Copenhagen. (with Søren Johansen).

"Unit roots and the demand for cigarettes in Turkey: Pitfalls and possibilities". Discussion Paper  at the Economics Department, University of Copenhagen.


An EMU-page containing essays discussing the economic advantages and disadvantages of Denmark adopting the Euro.






BLICATIONS from 1990-


Most of my articles and papers are downloadable from



2013 The Long-run Impact of Foreign Aid in 36 African Countries: Insights from Multivariate Time Series Analysis, with N.F. Møller and F. Tarp 

An Invariance Property of the Common Trends under Linear Transformations of the Data,  with S. Johansen, Department of Economics, University of Copenhagen, Discussion papers; 10-30, 13 p. Forthcoming Journal of Econometrics.

Balance sheet recessions and time-varying coefficients in a Phillips curve relationship: An application to Finnish data
. In (eds.) N. Haldrup, M. Meitz, and P. Saikkonen, Essays in Nonlinear Time Series Econometrics: Festschrift in Honour of Timo Teräsvirta. Oxford University Press. (with Mikael Juselius)

New economic thinking at the INET/IKE Centre in Copenhagen”.
Jubilæumsskrift, De Økonomiske Råd. 1962-2012

Testing Hypotheses About Glacial Cycles Against the Observational Record (with Robert Kaufmann). Paleoceanography, 28, 1-11

Haavelmo's Probability Approach and the Cointegrated VAR, forthcoming Econometric Theory
2012 Imperfect Knowledge, Asset Price Swings and Structural Slumps: A Cointegrated VAR Analysis of Their Interdependence, (eds. E. Phelps and R. Frydman),  Rethinking Expectations: The Way Forward for Macroeconomics, Princeton University Press, Princeton.

The Long-run Impact of Foreign Aid in 36 African Countries: Insights from Multivariate Time Series Analysis,
with N.F. Møller and F. Tarp, doi: 10.1111/obes.12012 

Experiments,  Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated VAR (with Kevin Hoover), Submitted to Econometric Theory
2011 Testing the Purchasing Power Parity Hypothesis: A Cointegrated VAR Analysis for I(2) Data,  The Finnish Statistical Society, Helsinki, Finland.

On the role of theory and evidence in macroeconomics”, in Hands, W. & Davis, J. (eds.). The Elgar Companion to Recent Economic Methodology. Edward Elgar Publishing, p. 27.



2010  "Conversation with Søren Johansen and Katarina Juselius" a Chapter in J.B. Rosser, R.P.F.  Holt, and D. Colander (eds.) European Economics at a Crossroad, Edward Elgar, Cheltenham, UK.

"The Financial Crisis and the Systemic Failure of the Academics Profession"  R. Kolb (ed.), Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future, from Hoboken, NJ: John Wiley & Sons, Inc. (with D. Colander, A. H. Armin, M. Goldberg, A. Kirman, T. Lux, B. Sloth)

 "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate, Forthcoming in Journal of Econometrics, (with S. Johansen, R. Frydman, M. Goldberg),

"Time to reject the privileging of economic theory over empirical evidence? A Reply to Lawson", Forthcoming Cambridge Journal of Economics.

2009  "Special Issue on Using Econometrics for Assessing Economic Models-An Introduction", Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-28.  

"Balassa-Samuelson and Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership." Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-4.  (with J. Ordonez)

"Does it matter how to measure aggregates? : The case of monetary transmission mechanisms in the Euro area"  in J. Castle and N. Shephard: The Methodology and Practise of Econometrics : A Festschrift in Honour of David Hendry. Oxford University Press, s. 367-387 (with A. Beyer).

 "The Long Swings Puzzle: : What the Data  Tell When Allowed to Speak Freely" In K. Patterson and T. C. Mills (eds.): The Palgrave  Handbook of Empirical Econometrics. Macmillan, s. 367-384.

"The Financial Crisis and the Systemic Failure of the Academics Profession" with D. Colander, A. H. Armin, M. Goldberg, A. Kirman, T. Lux, B. Sloth. Critical Review 21.

"Mathematics, Methods, and Modern Economics" with D. Colander, H. Föllmer, A. H. Armin, A. Kirman, T. Lux, B. Sloth. The Real-World Economics Review.

2008  "Allowing the data to speak freely: The macroeconometrics of the cointegrated vector autoregression. American Economic Review 98, pp. 251-55. (with K. Hoover and S. Johansen)    
2007  "International parity conditions: A joint modelling approach" in Amalia Morales-Zumaquero (ed.), International Macro-economics: Recent Developments, Nova Science Publishers (with Ronald McDonald).

"Taking a DSGE Model to the Data Meaningfully." Economics–The Open-Access, Open-Assessment E-Journal 2007, No. 2007-4 (with Massimo Franchi)

2006 Extracting information from the data: A European view on empirical macro’,  in D. Colander (ed.) "Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model ", Cambridge University Press. (with Søren Johansen)

"The cointegrated VAR model: Econometric Methodology and Empirical Applications" Oxford University Press. 457 pp.

2005  ‘The effect of joining the EMS. Monetary transmission mechanisms in Spain.’ Journal of International Money and Finance, 24, pp 509-531 (with Juan Toro).    
2004 International parity relationships between the USA and Japan, 'Japan and the World Economy' 16. 1. pp.17-34 (with Ronald McDonald)    
2001  'European integration and monetary transmission mechanisms: The case of Italy' Journal of Applied Econometrics' 16: 341-358.    
2000 Explaining Cointegration Analysis. Part 2’, The Energy Journal, 22:1, 1-52. (with David Hendry)    
1999 Explaining Cointegration Analysis. Part 1The Energy Journal, 21:1, 1-42. (with David Hendry )

‘Price convergence in the long run and the medium run. An I(2) analysis of six price indices’, in (ed.) R. Engle and H. White, Cointegration, Causality, and Forecasting’ Festschrift in Honour of Clive W.J. Granger, Oxford University Press.

‘Models and Relations in Economics and Econometrics’, Journal of Economic Methodology 6:2, 259-290.

1998 ‘Changing monetary transmission mechanisms within the EU’, Empirical Economics, 23, 455-481.

‘A structured VAR under changing monetary policy’, Journal of Business and Economics Statistics. 6, 400-412. 1998

1996 ‘An Empirical Analysis of the Changing role of German Bundesbank after 1983’, Oxford Bulletin of Economics and Statistics, 58, pp.791-817.    
1995  "Domestic and Foreign Effects on Prices in an Open Economy. The Case of Denmark". Reprinted in Ericsson and J.S. Irons (eds.) Testing Exogeneity. Advanced texts in Econometrics, Oxford University Press.

 "Do the purchasing power parity and the uncovered interest rate parity hold in the long run? - An Application of likelihood Inference in a Multivariate Time Series Model." Journal of Econometrics 69.

1994 "Identification of the Long-Run and Short-Run Structure. An Application to the ISLM Model." Journal of Econometrics 63, pp.7-36. (with Søren Johansen)    
1992  "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK". Journal of Econometrics 53, 211-244. (with Soren Johansen)    
1990  "The full information maximum likelihood procedure for inference on cointegration - with applications". Oxford Bulletin of Statistics and Economics, vol. 52, 2. pp 169-211. (with Søren Johansen)    

PhD: supervision and assessment


Previous and present PhD students:

Henrik Hansen

Hans Christian Kongsted

Lisbeth La Cour

Jonathan Rubin

Kim Lind

Clara Jørgensen

Christin Kyrme Tuxen

Niels Framroze Møller

Andreas Noack Jensen (present)

Morten Nyboe Tabor (present)

Member of Ph.D. committees:

3 x European University Institute,

Jaume I University, Spain,

University of Oslo,

University of Lund,

University of Skøvde.


Invited talks 2007-2010

Invited speaker at a conference in Rotterdam, 2007

Keynote speaker at the African Economteric Society Meeting in 2007, Cape Town,

Invited speaker at a conference in honour of Prof. David Hendry, Oxford University, August 2007

Invited speaker at a climate conference in Rom, September 2007

Invited speaker at the AEA meeting in New Orleans, January 2008

Invited seminar speaker in Madrid University, February 2008

Keynote speaker at a conference at the University of Glasgow, February 2008

Invited seminar speaker at the University of Nurnberg, February 2008

Invited speaker at a conference in Cambridge, Mars 2008

Invited speaker at a conference in honour of prof. Hashem Pesaran in Frankfurt,

Invited to the Dahlem conference in Berlin, December 20008

Presented paper in the Climate Change conference in Copenhagen in March 2009.

Invited speaker at a Central Bank Workshop in Cambridge in September 2009

Invited speaker at the University of Rome, La Sapienza, December 2009

Invited to give a talk at the INET conference on 'New Economic Thinking' , Cambridge, April 2010

Invited speaker at the conference "Toward an alternative macroeconomic analysis of microfoundations, finance-real economy dynamics and crises" in Budapest, September 2010 .

Invited speaker at the Eurostat conference “Modern tools for business cycle analysis: lessons from the global economic crisis”, September 2010.

Invited speaker at the 40th Anniversary of Edmund Phelps volume on Microeconomic Foundations of Employment and Inflation Theory, Colombia University, November, 2010

Invited seminar speaker University of Lund, Sweden, February, 2011

Invited keynote speaker University of Istanbul, March, 2011

Invited seminar speaker, University of New Hampshire, April 2011

Invited keynote speaker, the Nordic Econometrics Meeting in Sandbjerg, Denmark, May 2011

Invited seminar speaker at the Danish Institute of International Studies: The financial crisis and the failure of academic economics, Copenhagen, June 2011.

Invited speaker at the University of Copenhagen, Economics Department Symposium: The recent financial and economic crisis: A challenge for modern finance and macro-economic theory, August 2011

Invited keynote speaker at The Puffendorf Institute for Advanced Studies, Lund University: The Future of the Global Economy, “Challenges for Macroeconomic Theory”, September 2011

Invited speaker at the Danish Institute of International Studies: The Future of Global Economic Governance, “Reforming the Monetary System”, September 2011

Invited speaker at the European University Institute, Florence, Italy: New Developments in Time Series Econometrics, September 2011

Invited speaker at the UNU-Wider Research Institute, Helsinki, Finland: Foreign Aid: Research and Communication, October 2011

Invited speaker at Oxford University, Institute of New Economic Thinking: The launch conference, October 2011

Invited speaker  at the University of Oslo, Norway: The Haavelmo Centennial Symposium, December 2011.