In recent years a large literature has emerged considering the relationship between financial and macroeconomic variables. The present article extends this research via consideration of threshold adjustment in the relationship between stock prices and economic activity in the UK. The results...

Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric...

The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the...

In previous research it has been shown that while the Dickey--Fuller unit root test exhibits oversizing in the presence of GARCH, this is reduced via the application of White's heteroscedasticity-consistent covariance matrix (HCCM). These findings provide the motivation for the present study. It...