We study the transmission of monetary policy shocks using daily consumption, corporate sales and employment series. We find that the economy responds at both short and long lags that are variable in economically significant ways. Consumption reacts in one week, reaches a local trough in one...

This paper investigates the inflation hedging capability of listed real estate (LRE) companies from 1990 to 2021 in four economies: the US, the UK, Australia, and Japan. By using a Markov switching vector error correction model (MS-VECM), we identify that the short-term hedging ability moves...

This paper presents a short discussion on the lag phenomenon. Lag-length selection is an important issue since all inferences in VAR models depend on the correct model specification. In contemporary econometric modelling, impulse response functions (IRFs) are used to describe the lagged...

This study aims to revisit the relationship between oil prices and Islamic finance over the last two decades for developed and emerging countries. Specifically, we assess this relationship during turbulent times, considering the effect of recent healthcare shock and oil price shock caused by the...

This working paper is written by Gaofeng Han (Hong Kong Institute for Monetary and Financial Research) and Alfred Wong (Hong Kong Institute for Monetary and Financial Research).This paper studies the relationship between carbon emissions, energy consumption and economic activity in Hong Kong. We...

This paper examines the supply of U.S. LTO from both a theoretical and empirical point of view. The theory model combines endogenous rig activity and stylized reservoir pressure mechanics with the classic Hotelling model for exhaustible resource extraction. The empirical section presents a...