This paper examines the dynamic asymmetric relationship between changes in the Reserve Bank of Australia’s (RBA) cash rate and the interest rate for small business loans using monthly data (1990–2011). The results provide support for the rockets-and-feathers hypothesis with respect to both...

This paper examines the dynamic and switching effects of volatility spillovers arising from US stock market returns and GDP growth on those of Australia, Canada and the UK. For this purpose, we use quarterly data (1961q1--2013q1) and a constant probability Markov regime switching model. We found...

This paper employs all available annual time series data to endogenously determine the timing of structural breaks for 10 macroeconomic variables in the Australian economy. The ADF (Augmented Dickey and Fuller) test and the LP (Lumsdaine and Papell, 1997) test are used to examine the time series...

This paper selectively reviews various approaches of macroeconometric modelling and highlights some important lessons from more than half a century of model-building particularly in the context of Asian countries. Addressing several issues discussed in this paper can improve the use of...

The impact of natural disasters on the Australian equity market is examined. The data set employed consists of daily price and accumulation returns over the period 31 December 1982-1 January 2002 for the All Ordinaries Index (AOI) and a record of 42 severe storms, floods, cyclones, earthquakes...

This paper employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then...

This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...

This paper employs annual time series data (1960-2003) and the ZA (Zivot and Andrews, 1992) and the LP (Lumsdaine and Papell, 1997) approaches to determine endogenously the more likely time of major structural breaks in various macroeconomic variables of the Iranian economy. We have considered...

This paper identifies the major areas of research strengths and concentration across all Australian universities, as demonstrated by the number of PhDs and academic staff members (S) in ten broad fields of education using the average audited data (2001-2003). The ratio of PhD completions to S is...