This paper determines how mortgage rate and income shocks affect new and resale housing prices, housing starts, and housing sales in Canadas metropolitan areas. We assess the variance decompositions and impulse response results to mortgage rate and income shocks. An additional set of VARs is...

The economic integration among Euro members has important consequences for the factors driving asset pricing and asset trading within the financial markets. In particular, since the start of the Euro, cross-country equity index correlations in the region have showed upward trends and domestic...

This paper empirically estimates the responses of inflation and non-oil output growth from Arab Gulf Cooperation Council (AGCC) Countries to monetary policy shocks from the United States (US) in order to determine whether there is evidence to support the US dollar as the anchor for the proposed...

We estimate the amount of income and consumption smoothing (risk sharing) between OECD countries during the period 1970{2003 with a particular focus on EU and EMU countries. Income smoothing from international factor income has increased in the EU and, in particular, the EMU but not in the...

Using both panel and cross-sectional models for 28 industrialized countries observed from 2001–2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase in...

Knowing that the Gulf Cooperation Council (GCC) economies are dichotomous in nature, and growth in the non-oil sector is tributary to the oil sector, we document the extent of synchronization between crude oil prices and stock markets for each of the GCC markets and for the GCC as an economic...

We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide sector equity returns. We find the GCC-wide sector returns have asynchronous responses to global and regional shocks. Although the effects of these shocks differ in magnitude across individual...

We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries, 1992-2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero...

Purpose – This paper seeks to model the daily and weekly forecasting of the currency in circulation (CIC) for the State of Qatar. Design/methodology/approach – The paper employs linear forecasting models, the regression model and the seasonal ARIMA model to forecast the CIC for Qatar....