Abstract: Non-stationary time series have been widely studied by economists over the past decades. One interesting feature of non-stationary vari- ables is that we can distinguish between long-run relations, that are stationary, and short-run adjustments towards these. These long-run relations are known as cointegrating relations and represent long-run equilibriums. Since mortality rates are non-stationary variables, the theory developed for economic variables can also be used to gain in- sights into the long-run relations that may exist between mortality rates for different causes of death. In this work, cointegration is de- veloped for cause-of-death mortality. We analyze the five main causes of death across four major countries, including USA, Japan, England & Wales and Australia. Our analysis identifies long-run equilibrium relationships between the five main causes of death, providing new insights into the dependence structure that exists between competing risks. We show how male and female mortality trends by cause have been similar, although these differ across countries.