In this paper, we employ the Geweke (1982) decomposition method to examine the Granger causality between finance and growth in West Africa. Our sample contains twelve ECOWAS member countries (Economic Community of West African States) and we distinguish two subsamples: seven WAEMU countries...

This investigation puts the interest rate pass-through mechanism from policy to deposit rates in the EMU under closer scrutiny. By using the newly developed nonlinear ARDL framework of Shin et al. (2011), we are able to estimate asymmetric long-run as well as short-run coefficients. Previous...

The current decade was marked by the worst economic and financial crisis since the Great Depression, many economies experiencing a severe contraction of output in late 2008 and early 2009. But, was this evolution of the activity only the result of the domestic factors or a certain form of...

In this paper, we consider efficient estimation of coefficients of interest in seemingly unrelated regressions (SUR) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we derive the necessary and sufficient condition for the...

According to market heterogeneity hypothesis, financial markets are characterized by the presence of heterogeneity of participants with different sensibilities to different time scales. Although Wavelet based Value at Risk is able to represent dealing frequencies of market participants, it...

I analyse the "spurious regression problem" from the Classical Regression Model (CRM) point of view. Simulations show that the autocorrelation corrections suggested by the CRM, e.g., feasible generalised least squares, solve the problem. Estimators are unbiased, consistent, efficient and deliver...