Summary In this paper, an Unobserved Components Model is used to decompose the balances of Ifo Business survey data into the cyclical, the seasonal and the irregular components, as well as the working day effect. The empirical results show that the total cycle consists of three subcycles with...

This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience of the ERM witnessed numerous realignments. We find that exchange rates follow a linear process over the period 1979-1987, consistent with the predictions of the realignment target zone model,...

Summary A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference series. (2) The relation between the reference series and the indicator should be statistically significant and stable...

Abstract We study a model where one target variable $Y$ is correlated with a vector $\textbf{X}:=(X_1,\dots,X_d)$ of predictor variables being potential causes of $Y$ . We describe a method that infers to what extent the statistical dependences between $\textbf{X}$ and $Y$ are due to the...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...

The size and power of the Wald, Edgeworth expansion corrected likelihood-ratio statistic (LRE), and bootstrap tests for Granger causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods and simple graphical techniques, the p-value plots, and power-size plots,...

Summary Interpreting Granger causality as economic causality implies that the underlying VAR model is a structural economic model. This is wrong in the case of simultaneity, and causal conclusions can be misleading. Nevertheless, the empirical relevance of this problem still needs to be...

Using a vector autoregressive analysis, this paper investigates the dynamic interactions among stock market returns from six Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates). The empirical investigation is conducted using weekly data...

This study measures the degree of financial integration between Egypt, Jordan, Lebanon, Tunisia, and Turkey on the one hand and the United States and United Kingdom on the other hand. Using cointegration, error correction, and Granger causality tests I find that only the Turkish equity market is...