The purpose of this paper is to investigate whether rational bubbles exist in the G-7 stock markets during the period from January 1980 to July 2008 using the threshold cointegration approach with asymmetric adjustments advanced by Enders and Siklos (2001). The results of threshold cointegration...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...