This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...

The present study empirically examines the importance of foreign portfolio investment (FPI) or hot money from certain investor(s) or country(s) on Malaysian economic performance. In methodology, the study uses vector error correction (VECM) model of FPI inflows from major investors such as the...

This paper examines the dynamic effects of government outlays on economic growth and the unemployment rate. Using vector autoregression and data from twenty OECD countries over three recent decades, we found: (1) positive shocks to government outlays slow down economic growth and raise the...

This paper examines the dynamic effects of government outlays on economic growth and the unemployment rate in the context of vector autoregression. We utilize data from 20 OECD countries over three recent decades. Our main conclusions are: (1) positive shocks to government outlays will slow down...

This study investigated the causal relationship between credit market development and economic growth for Ireland for the period 1978-2007 using a vector error correction model (VECM). The purpose of this study was to investigate the short-run and the long-run relationship between the examined...

We evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets from July 2003 to December 2012. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that...

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

This study investigates the dynamic linkages between oil prices and stock markets, also known as the oil price–stock price nexus. Within the framework of a VAR (vector autoregression) we examine dynamic interactions between daily Brent spot prices and several Lebanese stock prices. As...

This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on...

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...