Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal...

This paper estimates Spatial Bayesian Vector Autoregressive (SBVAR) models, based on the First-Order Spatial Contiguity and the Random Walk Averaging priors, for six metropolitan areas of South Africa, using monthly data over the period of 1993:07 to 2005:06. We then forecast one- to...

The paper develops a Bayesian vector autoregressive (BVAR) model of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate forecasts...

We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...

Money demand specifications exhibits instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible timevarying cointegration methodology to estimate the money demand function. We find evidence that the time-varying...

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...

This paper investigates whether changes in monetary transmission mechanism respond to variations in asset prices. We distinguish between bull and bear markets and employ a TVP- VAR approach with stochastic volatility to assess the evolution of the monetary policy in relation to housing and stock...

This study applies the bootstrap panel causality test proposed by Kónya (2006), which accounts for both dependency and heterogeneity across countries, to test the causal link between population growth and economic growth in 21 countries over the period of 1870-2013. With regards to the...