This study examines the validity of the Purchasing Power Parity (PPP) hypothesis to a developing country such as Papua New Guinea during the floating exchange rate regime. The empirical analysis was performed using recently developed Ng-Perron (2001) unit root tests which are more powerful than...

Forecast performance of artificial neural network models are investigated using Ashley et al . (1980) and the neural network nonlinearity test proposed by Lee et al . (1993) is employed to find possible existence of business cycle asymmetries in Canada, France, Japan, UK and USA real GDP growth...

This study tests for the presence of negative bubbles in the REIT markets over the period 1972:01 to 2004:05 using the momentum threshold autoregressive (MTAR) model. There is evidence of asymmetric adjustment towards the long-run equilibrium between REIT prices and dividends indicative of...

Empirical studies about currency crises use very different methods to identify in which moment these actually take place. This study carries out a broad review of these indicators; they are reproduced for a period of time and are sampled in several common countries. After that they are compared...

This study investigates the effects of monetary policy on consumption through the wealth channel. Based on a structural VAR framework it is found that endogenous changes in wealth, due to an increase in the short-term interest rate, have little impact on consumption. This result means that the...

In a recent paper, Collin-Dufresne and Goldstein (2002) show that the movements of the yield curve and of interest rate derivatives are mostly uncorrelated, advocating the presence of unspanned volatility. This letter shows that their results can be explained in the framework of a Gaussian HJM...

The population value of the R 2 is derived from the Mincer-Zarnowitz volatility forecast regression for a QGARCH(1,1). The study shows that the population R 2 exceeds that of the standard GARCH(1,1). This indicates that accounting for asymmetry in the conditional variance process can increase...

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov...

This paper investigates the extent to which the linkages between bank performance and governance structure affect deposits market competition and risk taking incentives when commercial banks compete with organizations with objectives different from profit maximization. These organizations...

Using the quantile regression approach it is shown for a sample of 57 developing countries that the relationship between central bank independence and inflation over the period 1975--98 is not robust. Only in the higher quantiles do we find a significant relationship between independence and...