This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we...

The main purpose of this research paper is to explore and understand the nature of association and the possible existence of a short run and long run relationship between US Dollar, EURO, British Pound and Japanese Yen. To find out the relationship among currencies USD/INR, EUR/INR, GBP/INR and...

We examine the relationship between financial development and house prices in the Group of Seven (G7) countries over the period 1870 to 2016. We use parametric panel data models that incorporate interactive fixed effects and non-parametric models that allow us to examine non-linearities and the...

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

This paper has made an attempt to evaluate the combined impact of crude oil prices and exchange rate on the performance of Indian stock market. As the impact of dollar nominated oil prices on stock prices may not be quite relevant for Indian context. Therefore, in this study WTI Crude oil prices...

We introduce a new quadratic error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify the different sources of long-run nonlinearity, namely, quadratic nonlinearity, size asymmetry and sign...

This paper aims at examining the relationship between stock market prices (Nifty 50) India & macroeconomic variables (Exchange rate, Foreign Institutional Investment and Crude oil prices) for the period 2007-08 Q1 to 2017-18 Q3. In order to achieve the objectives of the study, the researchers...

Purpose: The present study is an attempt to investigate the co-integration relation between daily movement of the three MCX India Commodity indices viz. MCX Agri, MCX Energy and MCX Metals for the period Oct 1, 2014 to Sep 30, 2019. Design; The methodology employed for this purpose includes ARDL...

The rapid increase in the number of cases of COVID-19 and deaths caused by the pandemic has had a significant impact on the stock markets of developed countries. In this context, this study examines the effects of the pandemic on stock markets in G7 countries. To this end, the study employs the...