The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although...

In this paper we investigate the relationship between crude oil and gasoline prices and also examine the effect of oil price uncertainty on gasoline prices. The empirical model is based on a structural vector autoregression that is modifiÂ…ed to accommodate multivariate GARCH-in-Mean errors,...

This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature...

The current mainstream approach to monetary policy is based on the New Keynesian model and is expressed in terms of a short-term nominal interest, such as the federal funds rate in the United States. It ignores the role of leverage and also downplays the role of money in basic monetary theory...

In this paper we build on recent work by Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) and investigate the relationship between oil price uncertainty and the level of economic activity, using quarterly Canadian data over the period from 1974:1 to 2010:1. In doing...

We estimate a bivariate GARCH-in-Mean VAR with a BEKK variance speciÂ…fication, to investigate whether oil price volatility affects real economic activity. We use the same data set of thirty seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a...

Tests are made for (deterministic) chaos on weekly data (from 01/13/87 to 06/02/93) for the spot-month futures exchange rate between the Australian dollar and the U.S. dollar. The Nychka, Ellner, Gallant and McCaffrey nonparametric test for positivity of the maximum Lyapunov exponent is used and...

This special issue of <italic>Econometric Reviews</italic> honors William A. Barnett's exceptional contributions in the field of economics. It follows and complements a recent <italic>Journal of Econometrics</italic> special issue also in honor of William A. Barnett, Internally Consistent Modeling, Aggregation, Inference, and...