In this study, we consider the hybrid nonlinear features of the Exponential Smooth Transition Autoregressive-Fractional Fourier Function (ESTAR-FFF) form unit root test. As is well known, when developing a unit root test ...

This study re-examines the validity of the purchasing power parity (PPP) hypothesis for 24 OECD countries. The econometric methodology implemented not only allows for asymmetric nonlinear mean reversion within a panel ...

Many recent studies have documented the heterogeneous effects of government-spending shocks on major macroeconomic variables, particularly on output. We delve deeper into the heterogeneous effects of fiscal policy innovations, ...

This paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real ...

Several attempts have been made in the literature to analyze the detrimental effects of terrorist activities on the stock market. However, in neither of these studies the effects of terrorist activities on stock returns ...