This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings...

This paper investigates whether changes in the monetary transmission mechanism as captured by the interest rate respond to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and employ a TVP-VAR approach with stochastic volatility to...

In this paper we examine the real estate returns predictability employing US REITs and a set of possible predictors for the period January 1991 to September 2013. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter...

In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC)...

This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data estimation. Including nonlinearity and asymmetry finds...

The paper examines the long-run behavior of house prices by addressing the issue of price convergence or divergence across fifteen metropolitan cities in India. Using available city-level quarterly data covering the period 2007-2011 and applying the Im, Pesaran and Shin (2003) panel unit root...

The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...