Abstract: A bivariate vector-autoregression (VAR) model is used to test causal relations between the current account and the capital account in four emerging market economies. The results show that ...

This paper investigates the daily volatility spillovers between crude oil prices and equity indexes in several developed markets. We find that the price and index series exhibit nonlinear dependencies ...

This is a preview. Log in through your library . Abstract Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a vector autoregression (VAR) ...