The Enders and Siklos asymmetric cointegration test is employed to examine the long-run asymmetric equilibrium relationships between the Chinese Shanghai and Shenzhen stock markets. Three samples are adopted, which are the whole sample (October 1992 to September 2002); the first subsample before...

This study explores the implications of the expectations hypothesis by examining the implied term premium, in conjunction with an explicit description of processes generating both inflation and short-term real interest rates., It models inflation and short-term real interest rates using a...

This paper applies the Kalman filter technique to look at the relationship among real interest rates, inflation, and the term structure of interest rate under the expectations hypothesis. Using quarterly data from 1960:1 to 1991:1 for inflation, three month nominal short term interest rates and...

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in Middle East and North Africa (MENA) countries during a black swan period that is characterized by rarity and devastating impacts. Our study is carried out using the daily data...

This article examines the Credit Default Swap (CDS) spread index for three sectors, banking, financial services and insurance, in the short and long run. In the long run, the results show that the index of the insurance sector which sells the long term CDS contracts has the highest adjustment,...

This study analyses the patent trends and volatilities for the top 12 foreign patenting countries in the US market from 1975 to 1997. Japan is ranked first in terms of foreign patents registered in the USA, followed by Germany. Patent registrations from each of these countries have increased...

The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia, particularly the five founding ASEAN member countries (ASEAN-5), have experienced substantial...

Hong Kong and Singapore are two of the most important and fastest growing markets for tourists to Australia. The purpose of this paper is to investigate movements in the long-run demand for tourist travel by these two origin countries for Australia. Some of the leading macroeconomic variables...

Previous tests of the long-run neutrality hypothesis have generally relied on annual time series data. This paper analyses the long-run neutrality of money in Australia using different sources of intra-year data, which permits an examination of the effects of seasonality and the robustness of...

Rapid economic growth in South-East and East Asia has seen a surge in tourist arrivals from this region to Australia in the 1990s, prior to the currency crisis in late 1997. The purpose of the paper is to use Autoregressive Integrated Moving Average (ARIMA) models to explain the nonstationary...