Abstract. Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and do not exhibit a learning process towards rationality....

This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in conditional variances and time varying...

We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by...

We contribute to the literature by studying of economic policy uncertainty (EPU) for major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specification. We find that (i) an increase in EPU affect...