The subway is one of the major passenger transport systems in Seoul, Korea. Over the last 30 years, the subway system has interacted with urban land use. This study aims to describe the subway system evolution and reveal the causal relations with land rent and population distributions in conjunction with the evolution of the subway system. Extensive and rapid expansion of subway networks have i...

A trivariate vector autoregression time series process, based on a present-value land price model, is used to decompose Iowa farmland prices into fundamental and non-fundamental components. A recent study, by Falk and Lee (1998), found that non-fundamental shocks are an important source of volatility in farmland prices and it was interpreted that these price movements were due to fads not specu...

Available online 1 February 2011

In this paper, we develop an effective approach to model linear non-Gaussian causal relationships among a composite set of major US macroeconomic factors. The proposed approach first models the linear relationships of the factors using the Vector Autoregression (VAR) model, then the casual relationships are discovered using the linear non-Gaussian Structural Equation Modeling (SEM) method. One ...

It is well known that many countries around the world depend on the US as their major trade partner. As a result, if something does happen to US economy it surely will affect the economy of all these countries. In this study, we investigate the relationship between the US and four Asian emerging stock markets namely Hong Kong, India, South Korea and Malaysia using monthly data between 1996 and ...

We report evidence that the relation between the nancial sector share, private savings and growth in the United States 1948 1996 is characterized by several regime shifts. The nding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence may be interpreted as support for a hypothesis that the relation between nancial development and growth evol...

This paper investigates directional relationships, regime variances, transition probabilities and expected regime durations for a system of economic and financial risk variables in the U.S. markets. The system is based on monthly data, and encompasses credit, and market risks and economic activity variables. The methodology is based on the Markov-Switching cointegrated VAR model and their impul...

This thesis uses a literature review to describe the latest progress in the models used to describe interest rate term structure (TS). The thesis emphasises macroeconomic variables and models, as these elements have become an essential part of TS modelling in the 21 st century. Although this type of literature review has not been conducted before, the rapid development of numerous kinds of mode...

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads t...

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a FactorAugmented Vector Autoregression and the term structure is derived using parameter restrictions implied by...