Inflation-indexed bonds, such as the UK's indexed-linked gilts and Canada's real return bonds, are hailed by economists for reducing inflation risk to both borrowers and lenders. However, we find that fixed-rate bonds have an advantage over inflation-indexed bonds by providing borrowers with a...

A number of methods have been suggested to improve forecasts for data sets subject to structural breaks. This article explains why one such procedure, the spline function technique, may not be a natural candidate. An example is given where data that appeared to be well forecast using spline...

The net migration patterns of four age groups are analysed using National Health Service Central Register (NHSCR) inter-county migration data for the periods 1987/88 and 1990/91. Age is shown to have an important bearing upon the relative importance of various determinants of migration. The...

This paper tests the frequently cited hypothesis that money is more productive in a developing economy relative to a developed economy. Output elasticity of money is estimated for 20 countries over the 1977-92 sample period. These countries represent various stages of economic development. Two...

Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show...

An alternative procedure to that of Lo is proposed for assessing whether there is significant evidence of persistence in time series. The technique estimates the Hurst exponent itself, and significance testing is based on an application of bootstrapping using surrogate data. The method is...

Autoregressive Conditional Heteroscedasticity (ARCH) effects have been hypothesized to be caused by variations in the rate of information flow. Further, Nelson (1990, 1992) argues that ARCH effects and persistence in conditional variances should vary across sampling frequencies. However, these...

This is a study of abnormal patterns of returns associated with several trend-chasing technical signals commonly found in newspapers, finance magazines and technical analysts' reports in the Hong Kong stock market. With event-study methodology, it finds significantly positive (or negative)...

The purpose is to document the significance of non-linearity in the conditional mean and variance of the long-run annual UK GDP growth rate. In particular, an examination is made of asymmetry in conditional variance with respect to past shocks which implies that the conditional variance is...

A simulation of the response of teaching labour inputs to a variety of course characteristics results in scale elasticities which are greater than one in the ceteris paribus case, but which are sensitive to course characteristics. Support is given to Nelson and Hevert (1992) who argue that cost...