This paper investigates the relationship between money, prices, output, and the exchange rate in Bangladesh during the 1974-92 period. Several interesting conclusions can be derived from the paper. First, the inflationary process in Bangladesh cannot be explained exclusively by the monetarist or...

Tests for the existence of covered interest arbitrage opportunity are complicated by the existence of market incompleteness and the lack of synchronous trading data in foreign exchange markets. The acquisition and use of synchronous data resolves some problems but does not address the issue of...

This paper examines the short-run adjustment process in the demand for money in the UK and in Germany with a view, particularly, to exploring the consequences of the different experiences of financial innovation in the two countries. Our hypothesis was that interest rate relativities might play...

Exponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency...

This paper examines the hedging effectiveness of the FTSE-100 stock index futures contract over the period 1984-92. Previous studies have examined this issue using ex post hedge ratios, resulting in an overestimation of hedging performance. This study utilizes ex ante hedge ratios which are...

Long-run data for the USA is used to examine whether the inflation adjustment of the government budget deficit as proposed by Eisner and Pieper makes a difference in assessing the impact of fiscal policy on economic growth. Using Vector Autoregressions (VAR) it is found that both the inflation...

This paper examines whether test results characterizing per capita output as either trend or difference stationary are sensitive to whether output is valued in domestic currency terms, or in some international numeraire, such as the Summers-Heston international dollar. Using the conventional ADF...

This study investigates the impact of international trade on the 'in-house' transaction sector of US manufacturing industries over the period 1985-89. Higher import (export) intensity is found to have a strongly (weakly) negative effect on the relative size of the sector. The need for...

A bond portfolio model with interest rate swaps is developed to carry out the mean-variance analysis. It is found that interest rate swaps can be used to reallocate non-marketable bonds in the portfolio by swapping out the non-traded fixed-rate bonds into LIBOR-based floating rate notes. The...

The main objective of this short paper is to measure the impact of increases in total, federal and state government expenditures on private investment in the USA. For this purpose a framework based on a variable elasticity approach is used and tested. The results obtained conclusively support...