Intertemporal stationarity tests of the variance-covariance matrix of monthly returns on seven international equity indices are conducted over the most recent period. Pairwise covariances are then decomposed into their component statistics for further examination of the source(s) of stationarity...

Previous studies on the relationship between government expenditure and economic growth have, invariably, aggregated periods of strong and weak GDP growth and reported a single government expenditure response coefficient estimate. We argue that traditional test specifications of this...

We examine co-movements of nine Asian equity markets with both the US and Japan with special interest in distinguishing co-movements during periods of positive returns from those during periods of negative returns. A discrete asymmetric piecewise linear conditional mean returns specification is...

A new test specification of Wagner's Law of Public Expenditure has been formulated. The aim is to disentangle the effects of accelerating and decelerating economic growth on growth in government expenditure. Two alternative proxies for the state of the economy are experimented with. The first...

Using a model that accommodates asymmetric adjustments of output growth to changes in growth of government spending, the effects of aggregate and disaggregate government spending variables on output growth are examined. Both cross-section and panel regression estimations are conducted....