In this paper, we propose a new augmented Dickey-Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The...

Labour productivity plays a significant role in economic growth, labour demand and employment situation of a particular economy. In this light, the presence of a structural break in productivity, and its unit root property, has important consequences for the overall economy and in major sectors...

In this article, we estimate money demand functions for a panel of eight transitional economies, using quarterly data for the period 1995:01 1995 to 2005:03. We find that real M1 and real M2 and their determinants, namely real income and short-term domestic interest rate, are cointegrated, both...

In this paper, we re-estimate the import and the export demand functions for Mauritius and South Africa using time series data. We use the bounds tests for cointegration and find evidence of a long-run relationship between import demand, income and prices for both countries. Our long run...

In this paper, we propose a simple extension to a Keynesian type macro model by augmenting it with energy consumption. We show the relationship between energy consumption and output in a macroeconomic setting and ask the question: Do permanent shocks dominate changes in energy consumption and...

This paper examines whether domestic or foreign net saving predominantly influences an economy's international borrowing and lending with reference to the experience of western European economies that have had sizable current account surpluses and deficits since the turn of the century. It...

Whether common stocks provide a hedge against inflation has been long debated. This paper focuses on this question by investigating the relationship between inflation and stock returns in the short term and medium term and under different inflationary regimes using the UK data. Empirical...

This paper examines the relationship between democracy and economic growth in 30 Sub-Saharan African countries. As our proxy for democracy we first use the democracy index constructed by Freedom House and then check the sensitivity of our findings using, as an alternative proxy for democracy,...

The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial...

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...