Through this paper, we seek to shed light on the divergence between expected and observed returns. Empirical theory attributes this divergence to macroeconomic fundamental shocks. We try, via an ECM model, to study the existence of co-integration relations between macroeconomic volatility and...

Explaining exchange rates has long been an important but vexing issue in international economics and nance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...

This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE). We employed a nonlinear version of the Hsiao¢s (1979) linear causality technique in order to test...

Factor proportions trade theory focuses on wage adjustments to product prices and factor endowments estimated directly for the first time in the present paper with a structural vector auto regression. Yearly data cover the US wage, labor force, fixed capital assets, and relative prices of...

Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...

This paper clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced VAR specifications can be explained by a small, but important, low frequency co-movement between hours worked and...