We use weekly data on returns and range-based volatility over 2005-2017 to examine the degree of interconnectedness in financial markets of eleven MENA and four Western economies using the methodology proposed by Diebold and Yilmaz (2009, 2012, 2014). Our findings suggest (a) similar patterns of...

This study examines the sustainability along with the structural stability of the U.S. federal budget deficit over the post World War II period. Allowing for an endogenously determined structural break in 1982:1, tests of unit roots based on Perron's [<CitationRef CitationID="CR20">1997</CitationRef>] methodology suggest a stationary and...</citationref>

The response of the current account to monetary and fiscal shocks and real oil price shocks are examined using quarterly data for the United Kingdom over the flexible exchange rate period. We find statistical support for the existence of long-run asymmetries in the current account response to...

Purpose – The purpose of this paper is to study the potential loss of competitiveness due to higher oil prices through the monetary channel in a group of six oil producing countries. Design/methodology/approach – A dynamic time series methodology, Dynamic Simultaneous Equations, is applied...

Purpose – The aim of this paper is to prove the validity of Wagner's hypothesis. Design/methodology/approach – The paper examines the validity of Wagner's hypothesis with annual data for Turkey over 1950-2005 period. Findings – The empirical results using the ARDL bounds tests of...

The paper examines the long-run relation and short-run dynamics between electricity prices and three fossil fuel prices - coal, natural gas and crude oil - using annual data for the U.S. for 1960-2007. The results suggest (1) a stable long-run relation between real prices for electricity and...