In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from...

In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country's stock price series into sub-samples and investigate whether...

In this paper, we examine whether tourism predicts macroeconomic variables in Pacific Island countries (PICs), namely, Fiji, the Solomon Islands, PNG, Vanuatu, Samoa, and Tonga. We form seven panels of PICs — one full panel of six countries and six panels where, one-by-one, each country is...

In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm...

It has been well documented that the consensus forecast from surveys of professional forecasters shows a bias that varies over time. In this paper, we examine whether this bias may be due to forecasters having an asymmetric loss function. In contrast to previous research, we account for the time...

We propose and estimate a generalized Taylor rule for the monetary policy of the US Federal Reserve (Fed) to find out how the Fed funds rate is sensitive to changes in inflation and output gap variables in the post war period. We find that Fed's monetary policy has only reacted significantly to...

In this paper, we investigate whether or not the inflation rate of 17 Sub-Saharan African countries can be modelled as a stationary process. We achieve this goal through using univariate and panel stationarity tests for data over the period 1966 to 2002. We use the Kwiatkowski, Phillips, Schmidt...

In this paper we examine the relative importance of permanent and transitory shocks in explaining variations in income, consumption and investment at business cycle horizons for Australia. We use the common trend-common cycle restrictions to estimate a variance decomposition of shocks, and find...

In this paper, we test for Wagner's law for 15 Indian states. We consider nine panels of states based on geography and level of economic development. Using panel unit-root, panel-cointegration, and panel-Granger causality analysis, we unravel strong evidence of Wagner's law. However, we find...