We examine the causal relationship between 12 UK regional house prices. Our data span from 1983:Q1 to 2012:Q4. The causal linkages both for the first differences and the levels are examined via Granger causality. The former allows us to examine short-run predictability while the latter the long-run. We relax the assumption of linearity and examine nonlinear pair-wise causality following Diks and Panchenko (2006) both for the levels and the first differences. We find that long-run causality among the regions is mainly linear while in the short-run is nonlinear. London's effect on the other regions is found to be mainly nonlinear in the short-run.
Using time-series data for 19 countries, we examine whether market connectedness (measured by market returns and volatility) increased over time because of the global financial crisis and the COVID-19 pandemic. Using a vector autoregression-based spillover index, we show that shock spillover varies over time and increases because of crises.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.