Researchers focus more on the relationship between research output and economic growth. The study of such a relationship is not only of theoretical interest, but it can also influence specific policies to improve the quality, and probably the quantity of research output. This paper has studied...

Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...

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 investigates the effect of oil rents on agriculture value added in oil producing Middle Eastern and North African (MENA) countries. Annual data from 1970 to 2011, panel cointegration tests by Pedroni (1999), long ran panel causality tests by Canning and Pedroni (2008), and two-step...

This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear Granger causality tests. We use annual South African data on real exports and real gross domestic product from 1911-2011. The linear Granger causality result shows no evidence of...

The relationship between oil and the price level has always garnered attention from policy makers and role players in the market. Periods of high oil price volatility is thought to have negative repercussions for domestic price levels in an oil importing country. Research in the past has shown...

The aim of this paper is to investigate the causal relationship between agricultural prices in South Africa and global oil prices. A nonlinear Granger causality test based on moment conditions, introduced by Nishiyama et al (2011) is employed and we find that there is indeed a causal...

This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...