The foreign exchange market efficiency hypothesis is empirically examined for three major currencies, over the volatile 1980s. The recently available null of cointegration procedure is applied to test for the stationarity of the series under consideration and also for the cointegration status...

This letter illustrates that Granger causality tests tend to be sensitive to irrelevant lag polynomials and could lead to wrong inference of non-causality. In view of the little insight one gets from economic theory about short-run dynamics, it suggests exclusion restrictions prior to causality...

This study examines determinants of bank failures in the US over the 1963-91 period. The results indicate that the bank failure rate is an increasing function of the degree of federal deposit insurance coverage, increased competition in financial services, and the real cost of deposits, and a...

This study, employs an extended EGARCH-M model and finds further support for the hypothesis that both inflation and deflation increase uncertainty about price movements.

Cigarette consumption by US women is investigated. The dependent variable is discrete and censored at zero. The Gaussian hurdle model and negative binomial hurdle model are used to accommodate zero observations in the sample. Elasticities derived from the two models are extremely close.

This note adds to the literature on price elasticity of demand for attendance at sports league fixtures using a cross-section study of English Rugby League for 1994/95. A price elasticity of demand of -0.57 we found. Impacts on attendance of live televising of matches by BSkyB are identified and...

The Johansen approach to estimating long-run cointegration vectors is used with the Penn World Tables data to estimate returns to scale. Thus, this approach has the advantages of including a measure of capital, it overcomes the simultaneity problems associated with the single-equation Verdoorn...

This paper tests the hypothesis that changes in the federal budget deficit impact the term structure of interest rates in Italy. The results suggest that budget deficits increase the yield spread between long term government bonds and the three month Treasury bill. The implication is that budget...

This note provides evidence that there were long long-run benefits for a UK investor from diversifying in the equity markets of the US during the pre-October 1987 crash period. For the post-crash period, these benefits are reduced. These results are based on two distinct cointegration tests, and...

This paper examines whether ex post uncovered interest differential between the US and the UK reflects the degrees of capital mobility over the time period 1973-92 by using GMM, GARCH and Kalman filter methods. The empirical results, however, do not support the hypothesis that the magnitude of...