Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...

This study investigates the presence (or lack thereof) of nonlinear dynamics and nonstationarity in international art market prices using quarterly data for the period 1990–2011. We first test whether art market price indices follow stochastic trends or whether they are stationary by means of...

This paper investigates the claim made by Kehoe and Prescott (2002) that Switzerland and New Zealand experienced 'great depressions' in the last two decades. We question the appropriateness of the measure used by Kehoe and Prescott (GDP per working-age person) and propose a more accurate measure...

This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income...

This paper examines the relationships between the aggregate R&D activities of the EU and the US using multivariate Granger-causality tests. Our estimation results indicate that the EU reacts positively to increases in R&D productivity in the US. On the other hand, R&D activity in the EU is a...

This article presents evidence in favour of time-varying Markov regime-Switching (MS) properties in all shares stock returns in the USA. The model specifications include the US Institute for Supply Management's (ISM) manufacturing and Nonmanufacturing Business Activity Index (NMBAI) in the...

In this paper, we examine the macroeconomic impact of the high oil price era between 2003 and mid-2008 on the Swiss economy. Using a medium-scale disequilibrium macroeconometric model, we focus not only on the effects of oil prices on the real GDP growth but also on their effects on demand-side...