In this paper threshold autoregressive and momentum threshold autoregressive cointegration models are used to investigate buffer stock behavior of German M3 money demand during the period from 1975:1 to 1997:4. These cointegration techniques allow to model deviations of actual money demand from...

In this paper we provide an estimate of the likelihood of conflict between the federal government and the Bundesbank for the 1989–1998 period. We rely on a novel proxy for the impact of public communication by Bundesbank officials on the probability of conflict, in addition to interest rate,...

Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of...

In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...

This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the...

We use the momentum threshold autoregressive (MTAR) approach to test for speculative bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these agricultural commodities, we use real crude oil prices and real exchange rates. Our empirical results support the...

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over...