This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Ulf G. Erlandsson (Lund University).This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo...

Vector error correction models (VECM) have become a standard tool in empirical economics for analysing nonstationary time series data because they combine two key concepts in economics: equilibrium and dynamic adjustment in one single model. The current standard VECM procedure is restricted to...

This paper aims to re-examine the impact of non-renewable energy consumption on economic growth in South Africa using disaggregated data over the period from 1970 to 2020. The study uses a non-linear ARDL model based to examine this linkage. In addition, the study uses disaggregated levels of...

This paper presents a novel test of cointegration that is robust to general forms of weak dependence in the innovation sequences and is simple to implement. In contrast to existing procedures, this is achieved without applying corrections to the test statistic for removing the effect of serial...

Policies related to the level of government spending are considered one of the most important economic issues, and aspects that drew particular attention of its impact on economic growth. This paper aims to determine the size of the government of Sudan, which is reflecting positively on the...

This study examined the impact of monetary policy on economic growth in Nigeria. The secondary data used include the Money supply, economic growth, Credit to the private sector, Interest rate and Exchange rate. The Vector Error Correction model (VECM) was adopted as the estimation technique of...

This article highlights the importance of statistical tests on the trend coefficient in cointegrating regressions when the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics constructed using integrated and modified ordinary...

Participants in the maritime industry place much interest in the Forward Freight Agreements (FFA/FFAs), being an indispensable tool for hedging shipping freight risk. Our paper innovates by directly comparing the FFA predictions with their actual future settlement prices as well as by examining...

The New Keynesian Phillips Curve (NKPC) specifies a relationship between inflation and a forcing variable and the current period’s expectation of future inflation. Most empirical estimates of the NKPC, typically based on Generalized Method of Moments (GMM) estimation, have found a significant...

This paper develops an international oligopoly model where foreign and domestic firms simultaneously choose their pricing strategies under the assumption of non-zero conjectural variations. The model captures the links between domestic and foreign producers’ prices and establishes a...