References
- Andr\’{e}s, J., L{\’o}pez-Salido, J. D., & Nelson, E. (2004). Tobin’s imperfect asset substitution in optimizing general equilibrium. Journal of Money, Credit and Banking, 36, 665–690.
- Avino, D., & Nneji, O. (2014). Are CDS spreads predictable? An analysis of linear and non-linear forecasting models. International Review of Financial Analysis, 34, 262–274.
- Bekiros, S. (2014). Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets. North American Journal of Economics and Finance, 29, 336–348.
- Bekiros, S. D. (2014a). Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets. International Review of Financial Analysis, 33, 58–69.
- Bekiros, S. D. (2014b). Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics. Journal of Banking and Finance, 39, 117–134.
- Bernanke, B. S., & Reinhart, V. R. (2004). Conducting monetary policy at very low short-term interest rates. American Economic Review, 94, 85–90.
- Bernanke, B. S., Reinhart, V. R., & Sack, B. P. (2004). Monetary policy alternatives at the zero bound: An empirical assessment. Brookings Papers on Economic Activity, 35, 1–100.
- Bowman, D., Cai, F., Davies, S., & Kamin, S. (2015). Quantitative easing and bank lending: Evidence from Japan. Journal of International Money and Finance, 57, 15–30.
- Brunner, K., & Meltzer, A. H. (1973). Mr. Hicks and the “Monetarists”. Economica, 40, 44–59.
- Chen, S. W. (2013). Long memory and regime switching properties of current account deficits in the US. Economic Modelling, 35, 78–87.
- Chen, S. W., & Lin, S. M. (2014). Non-linear dynamics in international resource markets: Evidence from regime switching approach. Research in International Business and Finance, 30, 233–247.
- Clouse, J., Henderson, D., Orphanides, A., Small, D. H., & Tinsley, P. A. (2003). Monetary policy when the nominal short-term interest rate is zero. The B.E. Journal of Macroeconomics, 3, 1–65.
- Cunado, J., & de Gracia, F. P. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics, 42, 365–377.
- D’Amico, S., & King, T. B. (2013). Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. Journal of Financial Economics, 108, 425–448.
- Doan, T., Litterman, R., & Sims, C. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3, 1–100.
- Eggertsson, G. B., & Woodford, M. (2003). The zero bound on interest rates and optimal monetary policy. Brookings Papers on Economic Activity, 34, 139–233.
- Fujiwara, I. (2006). Evaluating monetary policy when nominal interest rates are almost zero. Journal of the Japanese and International Economies, 20, 434–453.
- Girardin, E., & Moussa, Z. (2011). Quantitative easing works: Lessons from the unique experience in Japan 2001–2006. Journal of International Financial Markets, Institutions and Money, 21, 461–495.
- Giuliodori, D., & Rodriguez, A. (2015). Analysis of the stainless steel market in the EU, China and US using co-integration and VECM. Resources Policy, 44, 12–24.
- Glick, R., & Leduc, S. (2012). Central bank announcements of asset purchases and the impact on global financial and commodity markets. Journal of International Money and Finance, 31, 2078–2101.
- Goss\’{e}, J. B., & Serranito, F. (2014). Long-run determinants of current accounts in OECD countries: Lessons for intra-European imbalances. Economic Modelling, 38, 451–462.
- Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357–384.
- Hancock, D., & Passmore, W. (2011). Did the Federal Reserve’s MBS purchase program lower mortgage rates? Journal of Monetary Economics, 58, 498–514.
- Hicks, J. R. (1937). Mr. Keynes and the “Classics”; A suggested interpretation. Econometrica, 5, 147–159.
- Hoesli, M., & Oikarinen, E. (2012). Are REITs real estate? Evidence from international sector level data. Journal of International Money and Finance, 31, 1823–1850.
- Honda, Y. (2014). The effectiveness of nontraditional monetary policy: The case of Japan. Japanese Economic Review, 65, 1–23.
- Hou, Y., & Li, S. (2014). The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. International Review of Economics and Finance, 33, 319–337.
- Iwata, S., & Wu, S. (2006). Estimating monetary policy effects when interest rates are close to zero. Journal of Monetary Economics, 53, 1395–1408.
- Jiang, Y., & Fang, X. (2015). Bull, bear or any other states in US stock market? Economic Modelling, 44, 54–58.
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59, 1551–1580.
- Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press.
- Kalantzis, F. G., & Milonas, N. T. (2013). Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany. Energy Economics, 36, 454–463.
- Kandrac, J. (2013). Have Federal Reserve MBS purchases affected market functioning? Economics Letters, 121, 188–191.
- Kandrac, J., & Schlusche, B. (2013). Flow effects of large-scale asset purchases. Economics Letters, 121, 330–335.
- Kaufmann, S. (2015). K-state switching models with time-varying transition distributions–Does loan growth signal stronger effects of variables on inflation? Journal of Econometrics, 187, 82–94.
- Kim, H. (2012). VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored. Journal of Macroeconomics, 34, 223–238.
- Kim, T. H., & Mizen, P. (2010). Estimating monetary reaction functions at near zero interest rates. Economics Letters, 106, 57–60.
- Kim, D., Roh, T. Y., Min, B. K., & Byun, S. J. (2014). Time-varying expected momentum profits. Journal of Banking and Finance, 49, 191–215.
- Klein, A. C. (2013). Time-variations in herding behavior: Evidence from a Markov switching SUR model. Journal of International Financial Markets, Institutions and Money, 26, 291–304.
- Kocaaslan, O. K. (2013). The causal link between energy and output growth: Evidence from Markov switching Granger causality. Energy Policy, 63, 1196–1206.
- Krugman, P. R. (1998). It’s Baaack: Japan’s slump and the return of the liquidity trap. Brookings Papers on Economic Activity, 2, 137–205.
- Litterman, R. B. (1986). Forecasting with Bayesian vector autoregressions–Five years of experience. Journal of Business and Economic Statistics, 4, 25–38.
- Martins, L. F., & Gabriel, V. J. (2014). Modelling long run comovements in equity markets: A flexible approach. Journal of Banking and Finance, 47, 288–295.
- Menezes, R., Dion{\’{\i}}sio, A., & Hassani, H. (2012). On the globalization of stock markets: An application of vector error correction model, mutual information and singular spectrum analysis to the G7 countries. The Quarterly Review of Economics and Finance, 52, 369–384.
- Moore, B. (2014). Monetary policy regimes and inflation in the new-Keynesian model. Journal of Macroeconomics, 40, 323–337.
- Neely, C. J. (2015). Unconventional monetary policy had large international effects. Journal of Banking and Finance, 52, 101–111.
- Okina, K., & Shiratsuka, S. (2004). Policy commitment and expectation formation: Japan’s experience under zero interest rates. North American Journal of Economics and Finance, 15, 75–100.
- Olmo, J., & Sanso-Navarro, M. (2015). Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S. Economic Modelling, 48, 155–166.
- Pan, Q., & Li, Y. (2013). Testing volatility persistence on Markov switching stochastic volatility models. Economic Modelling, 35, 45–50.
- Sargent, T. J. (1982). The ends of four big inflations. In R. E. Hall (Ed.), Inflation: Causes and effects. Chicago: University of Chicago Press.
- Schenkelberg, H., & Watzka, S. (2013). Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan. Journal of International Money and Finance, 33, 327–357.
- Svensson, L. E. O. (2001). The zero bound in an open economy: A foolproof way of escaping from a liquidity trap. Monetary and Economic Studies, 19, 277–322.
- Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1, 15–29.
- Wang, Y., & Wu, C. (2013). Are crude oil spot and futures prices cointegrated? Not always! Economic Modelling, 33, 641–650.
- Wang, A. T., Yang, S. Y., & Yang, N. T. (2013). Information transmission between sovereign debt CDS and other financial factors–The case of Latin America. North American Journal of Economics and Finance, 26, 586–601.
- Wang, X., Zheng, T., & Zhu, Y. (2014). Money-output Granger causal dynamics in China. Economic Modelling, 43, 192–200.
- Woodford, M. (2003). Interest rates and prices: Foundations of a theory of monetary policy. Princeton, NJ: Princeton University Press.
- Zheng, T., & Zuo, H. (2013). Reexamining the time-varying volatility spillover effects: A Markov switching causality approach. North American Journal of Economics and Finance, 26, 643–662.