This article is distinct in its application of the logit transformation to the poverty ratio for the purpose of empirically examining whether the financial sector helps improve standards of living for low-income people. We propose the term financial permeation to describe how financial networks...

In this paper, we use the cross-correlation function developed by Cheung and Ng (1996) to investigate the dynamic linkages among G7 countries in the mean and volatility of stock prices from June 2, 2003, through July 31, 2010. In particular, we examined the impact of the American financial...

This article tests for the random walk hypothesis in the four Chinese stock markets of Shanghai "A," Shanghai "B," Shenzhen "A," and Shenzhen "B" and explores the impact of the market liberalization that occurred in 2001 on the efficiency of these markets. Empirical results show that the market...

This study uses nonstationary time series approach to test the sustainability of the current account deficits in China over the period from 1982 to 2009. Our empirical results suggest that, despite the cointegrating relationship between imports and exports in China, the intertemporal external...

This study uses a long-run Structural Vector Autoregressive (SVAR) approach to identify the sources of real exchange rate fluctuations in the euro. The empirical results indicate that real shocks play a dominant role in explaining the real exchange rate fluctuations in the euro. This implies...

This article examines the performance of three multivariate conditional volatility models with respect to crude oil spot and futures returns: the Dynamic Conditional Correlation (DCC) model, Asymmetric Dynamic Conditional Correlation (A-DCC) model and Diagonal Baba-Engle-Kraft-Kroner (Diagonal...

This article examines the dynamic relationship between two key European short-term interest rates, the Eonia rate (EON) and the 3-month Euribor rate (ER3). Applying a threshold cointegration method developed by Hansen and Seo (2002) to monthly data over the period 1999 to 2011, we confirm that...

In this article, we investigate the dependence structure among international stock markets, with particular emphasis on developed and emerging stock markets, as proxied for by major country-level exchanges. Specifically, we adopt the copula model for the presented analysis and find that an...

We investigate the dynamic dependence structure between specific currencies (the GBP, the EUR and the JPY) and gold. The primary findings are as follows. First, the lower and upper conditional dependences between the currencies and gold were weaker during the financial turmoil period than in the...

This article aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally over the last few years. We estimate the long-run equilibrium relationship between multi-commodity futures and spot prices and then test for weak-form market...