This paper measures the accuracy of using regional cycles to identify national business cycle turning points in the U.S. with the Markov Switching Panel (MSP) model. Based on the MSP model, it is determined that regional cycles are highly capable of identifying national business cycle turning...

This paper investigates the long-run neutrality of money using quarterly data of South Korea and Taiwan and the methodology of King and Watson (1997) particular attention is given to the integration and cointegration properties of the variables. Empirical evidence provides considerable support...

This paper measures the accuracy of using regional cycles to identify national business cycle turning points in the U.S. with the Markov Switching Panel (MSP) model. Based on the MSP model, it is determined that regional cycles are highly capable of identifying national business cycle turning...

Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of stock prices. The results convincingly support the view that the stock prices in the OECD countries are characterized by a two-regime...

We assess the validity of the Export-led Growth (ELG) and the Growth-driven Export (GDE) hypotheses in Taiwan by testing for Granger causality using the vector error correction model (VECM) and the bounds testing methodology developed by Pesaran {\it et al.} (PSS, 2001). The empirical results...

This paper explores the linear and non-linear causal relationship between stock price and trading volume in China. The empirical results substantiate that there is a long-run level equilibrium relationship between the stock price and trading volume in China. The results from the linear causality...

Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of stock prices. The results convincingly support the view that the stock prices in the OECD countries are characterized by a two-regime...

This paper investigates the long-run neutrality of money using quarterly data of South Korea and Taiwan and the methodology of King and Watson (1997) particular attention is given to the integration and cointegration properties of the variables. Empirical evidence provides considerable support...

This paper revisits the random walk hypothesis for ten Pacific Basin foreign exchange markets. The results suggest that the null hypothesis of random walk is rejected based on the Lo-MacKinlay variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined...

Using 16 OECD stock price indices data, this paper revisits the random walk hypothesis by inspecting the degree of persistence of stock prices. We adopt two recently developed econometric procedures, due to Hansen (1999) and Romano and Wolf (2001), in order to estimate 95% confidence intervals...