This paper examines the forecasting ability of the dividend-price ratio for international stock market returns. Hitherto, existing research has only considered this issue in sample and in a linear framework. Hence, this paper provides the first systematic study of non-linear forecasting within...

We estimate a Bayesian structural vector autoregression that allows for time-varying parameters and stochastic volatility in the errors to account for the effects of various aggregate shocks on the real price of oil. We employ US quarterly data from 1948:Q1 to 2011:Q2. We find that aggregate...

We analyse the causality between past trading volume and index returns in the Pacific Basin countries. OLS results indicate no causal link between volume and returns. However, the quantile regression method reveals strong nonlinear causality: positive for high return quantiles and negative for...

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...

We investigate the dynamic relationship between the U.S. dollar exchange rate and its fundamentals across different exchange rate regimes using data from the late 1800s or early 1900s for six countries. For these countries there is evidence of a long-run relation between the exchange rate and...