The motivation behind this paper is to re-investigate the stability of the long-run money demand function (MDF) in a non-linear cointegrating framework for G-7 countries. Previous studies on non-linearity in the MDF are only related to the short-run dynamics and assume that long-run...

This paper applies the newly developed panel cointegrated technique [R. Larsson, J. Lyhagen, M. Lothgren, Likelihood-based cointegration tests in heterogeneous panels, Econom. J. 4 (1) (2001) 109–142] that allows for multiple cointegrated relationships to empirically re-examine the long-run...

This paper examines the effect of structural breaks on the spot–futures oil prices relationship. We explore the impact of structural breaks on four critical issues, including cointegrating relationships, market efficiency under the expectation hypothesis and the no arbitrage rule, causalities,...

This paper examines the lead-lag relationships and the dynamic linkages among four regional house price indices in Taiwan. We employ the Johansen cointegration technique, Toda and Yamamoto’s Granger causality test, the generalized impulse response approach, and variance decomposition analysis...

This paper examines the stock market integration between frontier and leading markets, focusing on the periods of pre and post global financial crisis. Using time-series analysis, the results mostly support leading markets can Granger-cause frontier markets. Frontier markets in different regions...

This article applies the Band-Threshold Autoregression (Band-TAR) model to investigate whether the law of one price (LOOP) holds in Taiwanese wholesale hog markets during the period from May 1987 through December 2003. We find evidence of a nonlinear mean reversion in deviations from the LOOP...

This study empirically re-investigated whether carbon dioxide (CO2) emissions series were stationary in 21 OECD countries during the 1960-2000 period. A suite of test statistics were employed, proposed by Sen (2003), with a model that simultaneously allows for a break within the context of...