The aim of this paper is to investigate the return and volatility linkages among the Moroccan stock market and that of the US and three European countries (France, Germany and UK) before and during the financial crisis. More specifically, we use stock returns in MASI, CAC, DAX, FTSE and NASDAQ...

Over the past decade, the gravity equation has emerged as the empirical workhorse in international trade to study the ex-post effects of trade policies on bilateral trade. In this paper we are concerned with the issue of how the econometric specification and the policy measurement choices can...

In this paper, the Singular Spectrum Analysis (SSA) is presented and applied in the US air traffic emplacements for the period Jan. 1954 – Sept. 2011. I decompose the US air traffic emplacements in trend, cycle, seasonal and noise components. In turn, I apply several spectral criteria in order...

In this paper I derive a test of Multicointegration of I (2) series that takes into account both structural breaks and threshold adjustment to steady state. I extend the I(2) –multicointegration test proposed by Berenguer-Rico and Carrion-i-Silvestre (2005), by relaxing the assumption of...

This paper employs a nonparametric test to investigate nonlinearity in the long-run equilibrium relationship between GCC stock markets returns. The results in the paper show strong evidence of bivariate and multivariate cointegration between five of GCC stock markets. However, Bahrain stock...

This paper investigates common cyclical features between crude oil market and stock markets in major oil exporting countries including Saudi Arabia, UAE, and Kuwait. The results of the paper indicate, at low oil prices (below $40 per oil barrel) Saudi and Abu-Dhabi markets share common cyclical...

This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private...

In this study, using Monte Carlo simulations, we evaluate three alternative methods for constructing confidence intervals for the population mean in the case of a stationary first order autoregressive process, AR(1), with parameter ф. Differentiating the three methodologies with respect to the...

This paper investigates the relationship between interbank funds and efficiencies for the commercial banks operating in Turkey between 2001 and 2006. Data Envelopment Analysis (DEA) is executed to find the efficiency scores of the banks for each year, and fixed effects panel data regression is...

This paper examines the size performance of Toda-Yamamoto test for Granger causality in case of trivariate integrated-cointegrated VAR systems and relatively small sample size. The standard asymptotic distribution theory and the residual-based bootstrap approach are applied. A variety of types...