The purpose of this paper is to analyze the dynamics of crude oil prices of OPEC and non-OPEC countries using threshold cointegration. To capture the long run asymmetric price transmission mechanism, we develop an error correction model within a threshold cointegration and CGARCH errors...

The aim of the paper is to test the Marshall-Lerner-Robinson condition by using the unit-root test of Ng-Perron (2001) and cointegration test of Perron-Rodriguez (2001). These tests are based on procedures for removing the trend using the GLS, leading to remove no-stochastic components. By...

The aim of this paper is to determine stable long-run relationships between investment, trade balance and cash-flow variables using Sectorial level of Morocco economy, in addition to the direction of the causality between them. Such relations are deduced using Granger causality, Johansen...

The paper aims to examine the relationship, whether complementary or substitutive, between inward FDI and gross domestic investment in the six GCC countries using cointegration techniques and fully modified GMM estimation. Based on the panel data, the empirical evidence implies that in Qatar,...

Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show that even when we consider the cross-section...

In this paper the dynamic responses of labor markets to macroeconomic shocks in eight CEE countries are empirically analyzed in panel SVECM. Identification of shocks, interpreted as real wage, productivity, labor demand and supply shocks, is based on DSGE model with labor market explicitly...