The successful conduct of monetary policy relies on accurately characterising inflation's data generating properties. Monetary policy errors that allow inflation to transition to a high inflation regime that is very ...

The aim of this paper is to identify bubbles in oil prices by using the ‘‘exponential fitting’’ methodology proposed by Watanabe et al. (2007) [28,29].Weuse the daily US dollar closing crude oil prices of West Texas ...

Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional mean of the returns distribution. This study employs in contrast a non-parametric causality-inquantiles test ...

This article applies a bootstrap rolling-window causality test to assess the causal relationship between economic policy uncertainty (EPU) and stock returns in China and India. Empirical literature examining causality ...

This study investigates the asymmetric and time-varying causalities between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. ...

We test for a unit root in de-trended GDP in a two-state Markov switching specification using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP specification is preferred over the ...

This paper investigates the role of permanent and transitory shocks, within the framework of common cycles and common trends, in explaining stock and oil prices. We perform a multivariate variance decomposition analysis ...

In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when ...

We use a nonparametric causality-in-quantiles test to compare the predictive ability of the consumption-wealth ratio (cay) and the Markov Switching version (cayMS) for excess and real stock and housing returns and their ...

This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and ...