This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

The paper characterises domestic and foreign sources of volatility transmission for South African (SA) bonds, commodities, currencies, and equities. We introduce a small-open-economy extension of the volatility spillover model proposed by Diebold and Yilmaz (2012). Based on generalised variance...

We consider the issue of income distribution modeling in the context of poverty analysis impact based on computable general equilibrium micro-simulation models. The empirical distribution function (EDF) is by far the most commonly used estimator in practice. It is, however, not the only...

Actual property values are overwhelmingly employed as a dependent variable in hedonic pricing models. Yet, assessed property values are generally more readily available than actual sales values and have, in some studies, been used in lieu of market prices. In this study, we compare estimates of...

This study provides the first attempt to examine the ability of the price of fine wine to forecast the Gross Domestic Product (GDP) for the major developed countries. Considering the limitation of a linear Granger causality test in detecting nonlinear causal relationships, a nonlinear Granger...

In spite of the extensive research which has already been undertaken, the issue as to whether Purchasing Power Parity (PPP) empirically holds, continues to be strongly debated. Existing studies have been criticized for their reliance on unit root tests which are deemed to suffer from certain...

This paper estimates the import demand elasticity for China using three fully efficient cointegrating regressions and the autoregressive distributed lag (ARDL) method. This paper is the first to accommodate the perception of global risk in an investigation of the information transmission...

Researchers have suggested that the relationship between the emission of carbon dioxide per capita and the real gross domestic product per capita follows an inverted-U-shaped (so-called environmental Kuznets) curve. Studies have generally used polynomial regression (quadratic or cubic form) to...

This study develops and uses for forecast a small-scale macro-econometric model of the Nigerian economy. The effects of three policy scenarios built around the assumptions of the changes that the Central Bank of Nigeria is likely to make to the Monetary Policy Rate are proposed and analyzed....

This paper contributes to the literature on monetary policy responses in emerging economies to international financial crises. Such an issue is especially relevant for these countries insofar as they tend to be more unstable than developed countries. In addition, they suffer from larger...