This paper uses both linear and nonlinear causality tests to examine the causal relationships between changes in commodity prices and U.S. inflation. Prior to the Great Moderation, there is evidence that changes in commodity price indices linearly lead inflation. The stability of the causal...

There is a widespread belief that the US subprime mortgage crisis has escalated into a full-blown current global financial crisis and that many economies throughout the world have been hit by it. Using a test of financial market stability, this article shows the varying degree of impact...

Recent empirical evidence of nonlinearities in the time series behaviour of exchange rates suggests that a linear model of the exchange rate may yield invalid inference when used to assess the effectiveness of central bank intervention. Using a double threshold GARCH model of the Japanese yen-US...

The U.S. fiscal cliff has sparked renewed interest on the issue of fiscal sustainability. Using a time-varying parameter model with a longer data set (1916-2011), there is evidence that the response of primary surplus-income ratio to debt-GDP ratio shows (1) substantial variation over time, (2)...