The macroeconomic response to uncertainty for India is studied in a structural model that decomposes uncertainty into negative and positive contributions. The results show that uncertainty shocks reduce industrial production, lead to an exchange rate depreciation, lowers prices and increases...

In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock market, housing and economic policy uncertainty (EPU). Based on monthly data over the period 1987M1 to 2014M11, our findings reveal the following features. First, the transmission...

We emphasize the role of news-based economic policy and equity market uncertainty indices as robust drivers of oil price fluctuations. In that, we utilizea new hybrid nonparametric quantile causality methodology in order to investigate whether EPU and EMU uncertainty measures incorporate...

Commodity and asset prices have a well-documented effect on economic growth, manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth...

The literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show...

This paper presents a comprehensive literature review of the theoretical and empirical developments that have taken place over the last two decades in an attempt to address the exchange rate puzzles. Specifically, we discuss non-linear and Bayesian econometric techniques, Dynamic General...

Objective: This study provides information regarding trends in alcohol consumption at the household level in South Africa using two national income and expenditure surveys collected in 1995 and 2000. These two datasets, from 1995 and 2000, contain information on alcoholic beverage expenditures,...

The market microstructure approach has been applied to the three major puzzles of exchange rate economics: the forward bias puzzle, the excess volatility puzzle, and the exchange rate determination puzzle. It claims that the imbalances between ‘buyer-initiated and seller-initiated trades’ in...

This paper compares the forecasting ability of five alternative types of models in predicting four key macroeconomic variables, namely, per capita growth rate, the CPI inflation, the money market rate, and the growth rate of the nominal effective exchange rate for the South African economy....

This paper analyzes the production process of scientific outputs and its implications on the U.S. economy using variants of a disaggregated Marshallian Macroeconomic Model (MMM). Federal spending on scientific activities produces innovation which we measure using the number of patents awarded....