Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

Purpose – The purpose of this paper is to investigate the sources of the apparent episodic stationarity of the P/E ratio. Design/methodology/approach – The Stock–Watson procedure is used to decompose a VAR/VMA model into changes in structure and changes volatility. In theory, if the P/E...

While various economic models predict that openness to international trade accelerates productivity and promotes economic growth and convergence, the empirical evidence (mostly based on cross‐sectional data) has been mixed and inconclusive. This paper investigates the issue using annual data...