This study presents a model capturing sources of Iranian aggregate labour productivity using annual time series data from 1960 to 2002. Labour productivity in this model is determined by real net capital stock, information technology and telecommunications (ITT) and trade openness. Empirical...

The paper examines the impact of several stock market price indices and macroeconomic variables on the Thai stock market, using a GARCH-M model and monthly data (1988M1-2004M12). We find that (a) changes in returns in Singapore, Malaysia and Indonesia before the 1997 crisis, and changes in...

This paper examines whether or not unleaded petrol prices (at Australia's 18 wholesale distribution terminals) respond asymmetrically to changes in the exchange rate and the Singapore petrol prices (known as MOPS95). It is found that the exchange rate is the most significant source of asymmetric...

We propose an alternative approach to examine the nonlinear (asymmetric) behaviour of interest rates which can be both size and sign dependent. Compared to other widely used approaches, our model performs quite well based on two model selection criteria.

There is an ongoing controversy over whether banks’ mortgage rates rise more readily than they fall due to their asymmetric responses to changes in the cash rate. This paper examines the dynamic interplay between the cash rate and the variable mortgage rate using monthly data in the post-1989...

We present a new approach to evaluate the full extent of price stickiness in credit card interest rates by modifying the existing asymmetric models so that they can be adopted for testing both the amount and adjustment asymmetries as well as the lagged dynamic inertia. Consistent with similar...

This article examines the dynamic relationship between the Reserve Bank of Australia's (RBA's) cash rate and the variable interest rate for lending to small businesses. The relationship is evaluated via an asymmetric GARCH model using monthly data spanning from August 1990 to October 2012. Our...

Purpose – The purpose of this paper is to investigate the efficiency and productivity growth of the Iranian banking industry between 2003 and 2008, encompassing pre- and post-2005-reform years. Design/methodology/approach – The study uses a new decomposition of the Hicks-Moorsteen total...

This paper examines the impact of improvements in productivity on prices, output, the real wage rate and the balance of payments. Within the context of the model used in this paper, an improvement in productivity can take two alternative forms: (1) a cost saving for a given output and (2) an...