The literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show...

The market microstructure approach has been applied to the three major puzzles of exchange rate economics: the forward bias puzzle, the excess volatility puzzle, and the exchange rate determination puzzle. It claims that the imbalances between ‘buyer-initiated and seller-initiated trades’ in...

In order to address practical questions in credit portfolio management it is necessary to link the cyclical or systematic components of firm credit risk with the firm’s own idiosyncratic credit risk as well as the systematic credit risk component of every other exposure in the portfolio. This...

This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated based on a large data set comprising of 246 quarterly series over the period 1980:01 to 2006:04. The results based on the impulse...

This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from...

This paper empirically examines the causal linkages between policy uncertainty and house prices in a panel of seven advanced countries including Canada, France, Germany, Italy, Spain, the UK and the US. We implement a bootstrap panel causality test on quarterly data from 2001Q1 to 2013Q1, which...

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...