Browsing Economic and Management Sciences by Author "El Montasser, Ghassen"

Browsing Economic and Management Sciences by Author "El Montasser, Ghassen"

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  • Are there multiple bubbles in the ethanol-gasoline price ratio of Brazil? 
    El Montasser, Ghassen; Gupta, Rangan; Martins, Andre Luis; Wanke, Peter (Elsevier, 2015-08)
    This paper tests for the existence of bubbles in the ethanol–gasoline price ratio in Brazil from 2000 to 2012 using right-tailed ADF tests. Results suggest the existence of two bubbles: one which has already burst (during ...
  • Causal link between oil price and uncertainty in India 
    El Montasser, Ghassen; Aggad, Kenza; Clark, Louise; Gupta, Rangan; Kemp, Shannon (Camera di Commercio, Industria, Artigianato e, 2015-06)
    This paper investigates the causality between oil price and economic uncertainty in India. In order to test for this relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility ...
  • Causality between US economic policy and equity market uncertainties : evidence from linear and nonlinear tests 
    Ajmi, Ahdi Noomen; Aye, Goodness Chioma; Balcilar, Mehmet; El Montasser, Ghassen; Gupta, Rangan (Elsevier, 2015-11)
    This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US using linear and nonlinear Granger causality tests. We use daily data on the newly developed ...
  • Research output and economic growth in G7 countries : new evidence from asymmetric panel causality testing 
    Hatemi-J, Abdulnasser; Ajmi, Ahdi Noomen; El Montasser, Ghassen; Inglesi-Lotz, Roula; Gupta, Rangan (Routledge, 2016)
    Recent studies have shown increasing interest on the relationship between research output and economic growth. The study of such a relationship is not only of theoretical interest, but it can also influence specific ...
  • The time-series linkages between US fiscal policy and asset prices 
    El Montasser, Ghassen; Gupta, Rangan; Jooste, Charl; Miller, Stephen M. (Sage, 2020-05)
    This article studies the interplay of fiscal policy and asset price returns of the United States in a time-varying parameter vector autoregressive (VAR) model. Using annual data from 1890 to 2013, we study the effects of ...