This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...

In this paper, we analyse the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigate the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data...

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

This paper aims to investigate the extent of hedging and diversification opportunities available for an Australian investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the Australia-US exchange rate of daily data from 2011 to...

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and...

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...

One proxy of price rationing of credit is an aggregation of information on interest rates, while loan officer survey data measures quantity rationing of credit, meaning some borrowers are denied loans. The latter Granger causes real GDP but the former does not. The loan officer survey is a...

This paper explores the long-run effects of inflation on the dynamics of private sector bank credit and economic growth in Mexico over the period 1969 - 2011. With an ARDL-type model, the statistical results suggest that the availability of private sector bank credit in the economy exerts a...

We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macro-economy and the role of house prices in the monetary policy transmission, across euro area countries. A novel set of identification...