This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US using linear and nonlinear Granger causality tests. We use daily data on the newly developed indexes by Baker et al. (2013) covering 1985:01:01 to 2013:06:14....

This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...

From the CAC40 French stock index, we induce the implied market factor’s level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor’s...

We use time-series analysis to examine bank behavior with respect to credit supply employing both banking data and other financial variables for the Turkish economy over the 1990 – 2009 period. We provide a vector error-correction (VEC) model to test for multivariate cointegration and Granger...

Post-Keynesian theory of money endogeneity emphasizes the importance of bank loans causing money supply changes. Thus, the proponents of endogenous money supply assert banks create money by meeting money demands of economic agents. Money is said to originate as bank-created loans from deposits,...

We propose a model of decision making that captures reluctance to bet when the decision maker (DM) perceives that she lacks adequate in- formation or expertise about the underlying contingencies.

Abstract:This paper re-examines the effects of inflation and exchange rate uncertainty on real economic activity. The existent literatura has treated both issues as separate subject matters. It has emphasized either the issue of inflation uncertainty or exchange rate uncertainty on economic...

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution...

The increasing use of food commodities for biofuel production has substantial impact on prices and quantities of these and other food commodities. It is therefore likely that this trend also intensifies the competition for arable land. However, evidence for this hypothesis is generated by...

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme ?uctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution...