In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset...

Nonlinear behavior of unemployment is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. This paper tests for hysteresis of unemployment for 29 OECD countries through the use of a new nonlinear panel unit root test developed by Ucar and Omay...

This paper investigates the stationarity properties of international inflation rates by bootstrapping two stationarity tests with covariates in Jansson (2004). When the asymptotic critical values are used, the two powerful tests are found to reject the null hypothesis less in the presence of a...

This study adopts the data of house prices and trading volume in the overall UK housing market and in the housing markets in the 10 major regions in the UK to estimate the ripple effect in the trading activities in the housing markets. First, this study details why the ripple effect occurs in...

Previous studies have discovered the defensive characteristics of housing prices, which is also known as downward price rigidity. This paper discusses whether this feature would result in an asymmetric relationship between housing prices and monetary policy. This paper first uses the loss...