I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We …nd and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The distributions depend of the number of right-hand side variables, the...

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

The paper consists of two parts devoted to the cause-effect dynamic models. In each part of the deterministic properties of the dynamic version of the model are presented. Thus, each of the considered dynamic models can be presented in the form of an equivalent for it the switching trend....

This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of...

There are two intriguing questions about the transition process undertaken by the Ukraine since its declaration of sovereignty in December 1991. (i) Why had one of the more prosperous republics of the former USSR in terms of economic development and population welfare been suffering of both a...

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...