In statistical modelling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered. Quite often, the testing procedure requires independence in a sequence of recursive standardized prediction errors,...

Several recent studies document significant share returns at the time when strategic alliances are announced to the stock market. However, the earlier evidence is focused on equally weighted portfolio returns and/or individual partner returns. A value-weighted portfolio approach is used here to...

In this article, we employ an Evolutionary Neural Network to forecast exchange rates returns for the Japanese Yen and the British Pound against the US dollar. This method combines genetic programming and neural network methodologies. Empirical results show the existence of a short-term weak...

This study finds that the nominal exchange rate in Estonia is positively associated with the expected exchange rate and negatively influenced by real M1, the foreign interest rate, the expected inflation rate, and the relevant price. The coefficient of the government deficit spending/GDP ratio...

The purpose of this article is to investigate the determinants of interest rate swap spreads in Japan. Four determinants of swap spreads  --  TED spread, corporate bond spread, interest rate and the slope of yield curve  --  are chosen. The swap spreads of 2 years...

The purpose of this letter is to estimate the US social discount rate, the appropriate discount rate for public capital budgets. There are two methods. One assumes that public investment displaces private consumption, and the discount rate is labelled the social rate of time preference (SRTP)....

Theory predicts that, if stock and stock index futures markets operate efficiently, price movements in these markets should follow a first-order vector error correction model in which the error correction term represents the basis, and in which there are no regimes. However, following Brooks and...

This article investigates the dependence of G10 countries' equity markets on the US market, particularly when the US experiences upturns or downturns in the market. If indeed the dependence is high in the downturn market, then investors will not benefit from international diversification when it...

Portes and Rey (2005) use a static gravity model to analyse bilateral gross cross-border equity flows. Applying a dynamic gravity model reveals three additional insights. First, distance continues to exert a significant, negative effect on international asset transactions. Second, although the...

This note tests for the presence of a stable long-run relationship between the price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the gold market and the inflationary regime have been subjected to structural change over time, a novel unit root...