This study examines the asymmetry and adjustment to the long-run equilibrium for the TED spread formed as the difference between LIBOR and Treasury bill rates for three maturities. It also explores the adjustment each individual rate undergoes to move the spread to its equilibrium during...

Purpose – This paper seeks to assess the impact of monetary policy on house price inflation for the nine census divisions of the US economy. Design/methodology/approach – A factor-augmented VAR (FAVAR) model is estimated using a large data set comprising of 126 quarterly series over the...

This paper examines the long- and short-run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for three related agricultural products, namely corn, soybeans and sugar, and...

Past studies suggest that the Islamic finance system is only weakly linked or even decoupled from conventional markets. If this statement is true, then this system may provide a cushion against potential losses resulting from probable future financial crises. In this article, we make use of...

Unlike previous studies, this paper examines volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC) and pairs of these markets with the three global markets (S&P 500 index, Oil-WTI prices and MSCI-world), using the Multi-Chain Markov...

This paper studies the trade linkages between South Africa and the BRIC (Brazil, Russia, India and China) countries. We apply a global vector autoregressive model (global VAR) to investigate the degree of trade linkages and shock transmission between South Africa and the BRIC countries over the...

This paper proposes a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets – Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia. Our results support the presence of three market regimes (low, high and extreme...

Past studies have shown considerable differences between equity markets in conventional and Islamic financial systems, in terms of financial products and principles. Using a copula approach, this study shows that the global Islamic equity market index (represented by the Dow Jones Islamic Market...

The main goal of this paper is to formally establish the volatility-herding link in the developing stock markets of the oil-rich GCC countries by examining how market volatility affects herd behavior after controlling for global factors. Using a regime-switching, smooth transition regression...

This paper examines the impact of the monetary policy instrument, the repo rate, mainly on output gap and inflation rate in South Africa, over the period 1998– 2008. Use is made of a simple structural vector autoregressive (SVAR) framework in assessing the impulse response functions (IRFs) of...