We employ bivariate and multivariate nonlinear causality tests to document causality
from equity return dispersion to stock market volatility and excess returns, even after controlling
for the state of the economy. ...
Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then ...
Theory suggests that the effect of inequality on growth varies with the level of economic development, as captured by the ratio of human capital to physical capital. In particular, the effect is shown to be positive at ...
