This paper examines the short-run and long-run neutrality of money using methodology suggested by King and Watson (1997) on quarterly data from South Korea and Taiwan (King and Watson (1997), Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103). A body...

We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

This study analyses the effects of changes in government spending on aggregate economic activity and the way these effects are transmitted in case of Pakistan for the period 1971–2008. To analyse the transmission mechanism of government spending innovations, the Vector Autoregressive Model is...

Cet article examine le comportement des rendements des indices de cinq facteurs :trois blocs de marchés (AMERIQUE, EUROPE et ASIE) et deux marchés indépendants (JAPON et AUSTRALIE). Nous proposons d’analyser la transmission des perturbations financières et l’examen des liens entre les...

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Exchange rate plays an important role in transmitting pressures from the external shocks to the domestic economy. Development of inflation in the domestic economy is significantly determined by the ability of exchange rate to transmit external price related pressures to the domestic market....

Exchange rate plays an important role in transmitting pressures from the external shocks to the domestic economy. Development of inflation in the domestic economy is significantly determined by the ability of exchange rate to transmit external price related pressures to the domestic market....