The paper examines the relationship between energy consumption and economic growth for South Africa for the period 1971-2009. Most studies examining this relationship do assume that it remains constant through the years; however the reality might be different since many factors can affect the...

The main purpose of this paper is to investigate the causal relationship between knowledge (research output) and economic growth in US over 1981 to 2011. To overcome the issues of ignoring possible instability and hence, falsely assuming a constant relationship through the years, we use...

This paper examines the existence of long memory in daily stock market returns from Brazil, Russia, India, China, and South Africa (BRICS) countries and also attempts to shed light on the efficacy of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models in predicting stock...

This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear Granger causality tests. We use annual South African data on real exports and real gross domestic product from 1911-2011. The linear Granger causality result shows no evidence of...

This paper investigates the in-sample predictability of debt ceiling and government shutdown for real stock returns in the U.S, using rolling window Granger non-causality estimation. Causal links often evolve over time so the use of the bootstrap rolling window approach will account for...

The causal link between tourism receipts and GDP has recently become a major focus in the tourism economics literature. Results obtained in recent studies about the causal link appear to be sensitive with respect to the countries analysed, sample period and methodology employed. Considering the...

This paper analyzes the so-called “ripple” effect of house prices in five major metropolitan areas of South Africa, namely, Cape Town, Durban Unicity, Greater Johannesburg, Port Elizabeth/Uitenhage and Pretoria, based on available quarterly data covering the period of 1966:Q1 to 2010:Q1....

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 study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...

We test the inertial properties of South African inflation in a Markov-Switching autoregressive fractionally integrated moving average model. This allows us to test for long memory and study the persistence of inflation in multiple regimes. We show that inflation is more volatile and persistent...