This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...

This study¡¯s objective was to solve the problem of functionary mechanism between demographic structure transition and economic growth in China using cointegration and vector error correction model. The results are: (1) A long-term co-integration relationship exists among birth rate, infant...

This article empirically examines the impact of R&D and climate change on the Western Australian Agricultural sector using standard time series econometrics. Based on historical data for the period of 1977–2005, the empirical results show that both R&D and climate change matter for long-run...

This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...

We proceed to an impulse response analysis on the conditional correlations between three stock indices returns: the Nikkei, the FTSE 100 and the S&P 500. As a first step, we estimate an extension of the general asymmetric dynamic conditional correlation (GADCC) model proposed by Cappiello,...

In this paper the causality relationships between the inflationary process, experienced by the Turkish economy, and some main money supply measures have been tried to be investigated, and the direction of these relationships has also been aimed to be determined through the vector autoregression...

We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...