This paper analyses the asymmetric price transmission and non-linear adjustment at the farm and retail levels in the Iran’s mutton market. We applied a multivariate threshold error correction mechanism for monthly price data. We tested the non-linear adjustment using sup-LR, sup-LM and...

This paper examines whether the efficiency market hypothesis for the Greek sovereign debt holds. As in Blanco et al. (2005) we test the theoretical equivalence of credit default swap (CDS) and spreads that dictates a cointegration relationship between the two. The main innovation of the present...

This paper investigates whether unobserved asymmetries can account for irregularities in the Fisher effect for the exclusive case of South Africa. This objective is attained by investigating unit roots within a threshold auto-regressive (TAR) models and estimating a threshold vector error...