The paper investigates the role of fundamentals in the speculative episodes experienced by the Greek drachma during the 1990s, and examines whether the openness of the Greek economy has altered the role of fundamentals in the likelihood of a currency crisis. An interesting aspect of the...

This paper tests for asymmetries in the European Monetary System (EMS). The analysis indicates that any asymmetric movements between German and other EMS interest rates originating from changes in the US rate are temporary and tend to be eliminated during subsequent periods through offsetting...

This paper examines covered interest parity and speculative efficiency using cointegration techniques on a daily data set for Australian dollar/US dollar spot and forward rates and Australian and US interest rates. Cointegreation between the forward premium and the interest rate differential in...

Long run real money demand and velocity function for the narrow monetary aggregate M1 are tested by means of the cointegration approach developed by Johansen and Juselius (1990). The results support the existence of a systematic relationship between M1-velocity, the rate of interest and the...

Long run money demand functions for M1 and M3 are tested by means of the cointegration methodology developed by Johansen (1988). The results support the existence of an economically meaningful cointegrating vector for both measures of monetary aggregates. The rejection of a unit price elasticity...

This paper examines a link in the Australian monetary transmission mechanism based on the risk structure of certain interest rates. The bank-accepted bill and Treasury note rates cointegrate, and formal tests indicate that the risk premium was stationary after, but nonstationary before, the end...