This paper focuses on testing possible linkages among international gold and ASEAN emerging markets based on daily data from July 28, 2000 to March 31, 2009. The Granger causality test and the Johansen cointegration technique were applied to examine possible short-run associations and the...

The usual Wald test for the Granger non-causality in cointegrated vector autoregressive (VAR) processes is known to have the asymptotically non-standard distribution. There have been proposed a few alternative (inefficient) methods which give the asymptotically standard distribution. However,...

In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the submatrix of cointegration. In this paper,...

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...

In the context of measuring the effects of structural policy, the analysis of the relation of economic growth and inflation is essential for the economy of the Republic of Serbia. The high inflation rate has caused for years macroeconomic instability in the Serbian economy. Consequently, the...

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...