The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

This paper attempts to study to what extent Tunisian industrial exports have been resilient during the COVID-19 pandemic. For this purpose, we tested for structural breaks using the Bai-Perron test and monthly data on industrial exports from January 2014 to December 2022. Using the...

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization...

The introduction of Bitcoin as a distributed peer-to-peer digital cash in 2008 and its first recorded real transaction in 2010 served the function of a medium of exchange, transforming the financial landscape by offering a decentralized, peer-to-peer alternative to conventional monetary systems....

This study models volatility in the daily Nigeria Stock Exchange 30 index from Jan- uary 30, 2012 to August 31, 2020, comparing the Modified Iterated Cumulative Sums of Squares (MICSS) and the traditional cumulative sum of squares (CUSUMSQ) ap- proaches. Findings reveal that integrating...

The present study examines the relationship between FDI inflows and export performance in Bangladesh by considering the issue of structural breaks utilizing annual time-series data from 1972 to 2019. In the study, unit root tests were conducted without (ADF test and PP test) and with (ZA test...

This paper investigates the consistency of asymmetric interest rate past-trough (IRPT) using a nonlinear autoregressive distributed lag framework. Superior to the previous studies, this study exploits the historical profile of Indonesia to enrich the analysis. Asian Financial Crisis (AFC) which...

Environmental issues and global warming continue to drive researchers to investigate the validity of hypotheses regarding the environment. The environmental Kuznets curve (EKC) is the most popular hypothesis in the environmental economics, prompting researchers to propose a new hypothesis based...

Reducing income inequality is one of the goals under the Sustainable Development Goals. This study examines the intricate relationship between financial development, policy uncertainty, inflation, and income inequality. Panel data for African countries covering the period 2000-2022 were used in...

This paper analyzes possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time-invariant and the shocks are identified through non-Gaussianity. To check for possible time-variation in the impulse responses, we propose...

This paper revisits the effects of financial market openness and stock market returns on economic development in the Gulf Cooperation Council countries over the period 1993-2022. We performed the panel stationarity test advanced that accommodates the presence of multiple structural breaks and...

This study explores the stationary property of electricity consumption for Hunan province in China over the period January 2013 to April 2023. Our analysis uses the panel stationarity tests, which take into account the factor structure and structural breaks. The results indicate supportive...

In this study, we present a comprehensive analysis to examine the resilience of tourism in Vietnam since the Doi Moi period. Using an augmented Solow framework, data from 1986 to 2020, and the ARDL approach, we estimate the long-run and short-run effects, whilst accounting for model-specific...

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from...

The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

Post Keynesian Economics has shifted away and even renegade from Keynes' original research program, i.e., the Unemployment Equilibrium thesis, endogenous money and liquidity preference determination of interest rate in which money and uncertainty play a fundamental part. This paper attempts to...

The study examines the impact of the COVID-19 pandemic and other global events on the global stock market, focusing on 16 countries of the world using quarterly data ranging from 1919Q1 to 2020Q2. While selected sample countries in Europe have at least ten break dates under the period of...

This study develops a comprehensive econometric framework for assessing market efficiency in sustainability indices through rolling fractional integration analysis. We employ four fractional integration estimators (Andrews-Guggenberger, Robinson GSE, GPH, and FELW) with formal statistical...

Dispensing with the customary courteous diplomatic language, much of the 47th President's rhetoric concerning the other NATO Allies echoes the valid US criticism that many of them freeride on the US protective defence umbrella without contributing their fair share to the costs of NATO's...

There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined...