This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...

The persistence of macroeconomic shocks is one of the most investigated issues in empirical economics. Given the importance of industrial production, a highly seasonal variable with possible breaks, as measure of output in econometric models, in this study, we investigate the persistence...

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....

In this paper, the convergence of income per capita across U.S. metropolitan statistical areas (metros) are examined over the period between 1969 and 2011. We initiate the analysis with multivariate tests for stability, and the existence of unit roots. The analysis is complemented by the use of...

The convergence of air pollutants is a major concern for policy makers since all the countries pursue the goal of allocating the emissions equally internationally in the future. Hence the examination of the existence of convergence is important for the climate change protection of the earth. In...

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 causality between oil price and economic uncertainty in India. In order to test for this relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy-related economic uncertainty index as well as the...

This paper presents an analysis of ethanol-gasoline price ratio in Brazil from 2000 to 2012. Since 2008 Brazilian Government has artificially frozen gasoline prices while prices of ethanol to the consumer were still liberated. Considering that annual inflation in Brazil is around 5% per year and...

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...

This paper investigates the in-sample predictability of debt ceiling and government shutdown for real stock returns in the U.S, using rolling window Granger non-causality estimation. Causal links often evolve over time so the use of the bootstrap rolling window approach will account for...