Over the counter (OTC) options involve both market and counterparty risk. Capital requirements are imposed on options to cover these risks and prevent systemic failures that may arise as a result of widespread defaults. This paper demonstrates that the default risk attached to these instruments...

The primary purpose of this paper is to explore the long-run association among growths in US housing starts, real consumer debt, real GDP and the long-term real interest rate. To carry out this exploratory work, Johansen and Juselius (1990) vector cointegration procedure is applied. Monthly data...

This paper provides an empirical analysis of cigarette consumption in Greece using the recent Johansen cointegration procedure for the period 1960-1990. Income and price elasticities for the long-run and short-run period are estimated. In addition the findings suggest that health warnings in...

Inspired by the work of Becker, economists have produced a voluminous literature on divorce. This is almost completely devoid of any reference to macroeconomic effects. The bulk of it examines the determinants of separation. This paper explores one such macroeconomic effect; the impact of...

Fractional cointegration in a trivariate model is used to test the long-run purchasing power parity hypothesis in four Asian newly industrialized economies. Critical values for the Geweke-Porter-Hudak tests based on Monte Carlo simulations are provided. Evidence of fractional cointegration...

This letter reappraises some recently reported tests for asymmetries in UK consumers' expenditure relative to trend. In particular, we consider the disaggregation of consumers' expenditure into broad categories of durable and non-durable goods and services, and according to 13 specific...

This paper attempts to re-evaluate the long-run relationship between government spending and revenues in Greece. The analysis is carried out for the period 1974 to 1991 by means of Johansen's multivariate cointegration technique and error correction vector autoregressive (ECVAR) modelling. The...

A crucial property of an electoral system is the manner in which it translates a vote distribution into a pattern of representation. Measures of this property are important in assessing the relative merits of differing electoral systems. Galeotti proposes one useful index (Galeotti, G., 1994, On...

GLS estimation with correction for autocorrelation is used to examine the performance of 72 UK Investment Trusts in four non-overlapping five-year samples, 1974 to 1993, using measures of 'timing', and 'selectivity'. Abnormal performance on both indicators is found to be weak, with very little...

The study examines the distributional properties of the Athens stock exchange and tests for persistence effects or anomalies found in the weekly redistributions of the market. The results indicate significant first- and second-order dependencies in the series as well as pronounced departures...