We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles....

This study examines the long-run interest rate pass through of the federal funds rate to the prime rate and whether there is asymmetric adjustment in the prime rate using the Enders-Siklos (2001) momentum threshold autoregressive model over the period February 1987 to October 2005. Once...

This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey–Fuller (RADF) test to examine the possibility of Evans’ (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real...

We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles....

This paper examines a class of interest rate rules, studied in Evans and Honkapohja (2003, 2006), that respond to public expectations and to lagged variables. Their work is extended by considering varying levels of commitment that correspond to varying degrees of response to lagged output. Under...