Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of...

This paper contributes to the recent literature in spatial econometrics that focuses on space-time data modeling implementing a multi-location time-series statistical framework to analyze a regional system. Therefore, taking as a point of departure the Global Vector Autoregression approach...

As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

This paper examines the causal links between productivity growth and two price series given by domestic inflation and the price of mineral products in Australia's mining sector for the period 1968/1969 to 1997/1998. The study also uses a stochastic translog cost frontier to generate improved...

This paper reinvestigates the energy consumption-GDP growth nexus in a panel error correction model using data on 20 net energy importers and exporters from 1971 to 2002. Among the energy exporters, there was bidirectional causality between economic growth and energy consumption in the developed...

In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...

This paper estimates the quarterly flow of migrants to the US working age population using data based on the Current Population Survey (CPS). The dynamic responses to immigration shocks are estimated in a vector autoregression. Immigration shocks, as well as technology shocks are identified...

This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is...

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non-financial U.S. company to this index. We find that there is a...