This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...

Empirical support for purchasing power parity is mixed with results dependent on the time frame and countries under examination, the methodology employed, attempts to control for aggregation bias in the data, and whether adjustments are made to account for productivity differences across...

The theoretical richness and variety of the new growth literature can make it difficult to capture the essence of growth models. With this paper, we wish to provide one possible integrating view of the nature of the growth generating processes. Revisiting the models that constitute the core of...

More than half of the assets in China's banking system are accounted for by four huge state-owned commercial banks. This paper examines the changing factors influencing these banks' lending behavior over the post-1994 period on a province-by-province basis. Determinants include the concentration...

A contract where the agent is compensated ex post only upon satisfactory performance, often called a no-cureno-pay contract, can arise as under several circumstances. In this paper, we model the problem of contractual choice as a principal-agent contract which is modified due to hidden...

We introduce social capital accumulation into a neoclassical model, showing how it differs from physical and human capital accumulation. We take the view that social capital is crucial to the enjoyment of socially provided goods and that it is mainly accumulated by means of participation to...

According to the U.S. Federal Trade Commission, identity theft constituted the number one consumer complaint in the United States in 2006. Using state-level data for the 50 states for 2005, we find, among other things, that the rate of reported identity theft per 100,000 population is directly...

This paper explores the association between the nominal/real exchange rate between the Australian dollar against the US dollar and gold prices, using daily data spanning the period 2000-2011. Through the Error Correction Model and the Generalized Autoregressive Heteroskedastic (GARCH) approach,...

This paper explores the association between the nominal/real exchange rate between the Australian dollar against the US dollar and gold prices, using daily data spanning the period 2000-2011. Through the Error Correction Model and the Generalized Autoregressive Heteroskedastic (GARCH) approach,...

International competitiveness is often regarded as crucial for the attainment of gains from trade, which may lead policy makers to subsidize exports. This view is based on confusion between the concepts of competitive and comparative advantage. The paper argues that when comparative advantage is...