In this paper we make use of several multivariate GARCH models (CCC-, DCC-, BEKK-, diagonal BEKK-, and VAR-GARCH) to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze...

Considering nonlinearities in the exchange rate pass-through to domesticprices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly...

In this article,we use the recently developed nonlinear autoregressive distributedlags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allowsus to simultaneously test the short-and long-run nonlinearities through positive and...

This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both the short- and the long-run efficiency using, in addition to linear cointegration...

We investigate the potential of structural changes and long memory (LM) properties in returns and volatility of the four major precious metal commodities traded on the COMEX markets (gold, silver, platinum and palladium). Broadly speaking, a random variable is said to exhibit long memory...

This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks and FIGARCH. By relying on a modified...

Nous proposons une étude empirique analysant le lien entre un régime monétaire et les pratiques monétaires informelles, tous deux se situant dans le cadre du système monétaire d'un pays, celui du "Currency Board" à Djibouti. Les résultats économétriques, de différents tests de...

In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare...

Les régimes de caisse d'émission et d'étalon-or sont souvent assimilés, étant considérés comme des règles monétaires contraignantes, dont les deux caractéristiques essentielles sont la crédibilité des autorités monétaires et l'existence d'un mécanisme d'ajustement automatique (non...