This paper explores the possibility of developing generalized variances for price indexes by applying nonparametric scatterplot smoothers to time series of point variance estimates. The goal here is to formulate smoothed variances which are approximately unbiased, which provide acceptable confidence interval coverage, and which are more stable than the point variance estimates. Smoothing method...

This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive s...

This paper aims to investigate the short-term effects of economic sentiment on both direct and indirect investment markets in real estate sector. The analysis employs vector-autoregression, Granger causality, variance decomposition approaches using monthly returns Economic News Sentiment Index, Real Estate REITs Infrastructure Apartment Price Index. findings indicate that consumer sentiments ha...

This paper uses the smooth transition regression (STR) model to study the nonlinear relation between the consumer price index (CPI) and the composite index of Shanghai Stock Market in China from 1999 to 2011. The results show that there exists one way Granger causality relation from CPI to stock market in China; the internal relation between the CPI and stock market’s composite index appears as...

We propose a Bayesian stochastic search approach to selecting restrictions for Vector Autoregressive (VAR) models. For this purpose, we develop a Markov Chain Monte Carlo (MCMC) algorithm that visits high posterior probability restrictions on the elements of both the VAR regression coefficients and the error variance matrix. Numerical simulations show that stochastic search based on this algori...

Consumer search is analysed in a cross-sector study of six markets in the US, Germany and UK using online panel data. Two constructs are used to measure the search process: the consideration set and use of price comparison engines. The consideration sets range from 2.3 to 3.1 in the US, from 2.3 to 2.6 in Germany and from 2.6 to 3.2 in the UK, regardless of the use of price comparison engines. ...