This paper presents the causal relationships between futures and spot prices of six metal and agriculture commodities in Chinese commodity market, using GC test, frequency domain approach proposed by Brietung and Candelon (2006) and Garbade–Silber (G–S) Model. Frequency domain approach...

This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel...

This study applies the Threshold Autoregressive (TAR) model proposed by Caner and Hansen (2001) to test the validity of long-run Purchasing Power Parity (PPP) of eight transition countries over the period January 1995 to October 2011. The empirical results indicate that PPP holds true for only...

This study implies the causality-in-variance test newly developed by Hafner and Herwartz (2006) to investigate the volatility spillovers between domestic equity and bond markets in the G7 and BRICS countries. The empirical result shows that there is ethier unidirectional or bidirectional...