This study investigates the relationship between stock price and earnings-per-share using Korean stock market data. The nonstationarity of the data has been managed. In particular, recently developed panel cointegration techniques are used, which are known to be more powerful than individual...

This study investigates whether interest rates and household lending caused housing price bubbles in Korea over the period of 1986 to 2003. Using a regime-switching model, we found evidence of the existence of housing price bubbles throughout the sample period, with the exception of 1998 when...

Determining whether a country's current account is "sustainable" is not an easy task, as the notion of sustainability is related to complex macroeconomic and political-economy issues, but it is critical. Whether or not one finds empirical support for sustainability is related to the econometric...

We reassess the degree of exchange rate co-movement between the Japanese yen and five emerging Asian currencies relative to the US dollar in the 2000s. It is often claimed that these currencies have been closely tied with the Japanese yen possibly due to active interactions of Japan and...

Using a regime-switching regression model, we find evidence of synchronization between the Swiss-franc exchange rates of floating East Asian currencies and the Swiss-franc–Japanese-yen exchange rate over the period 1999–2006. The volatility of Swiss-franc–East-Asian currencies’ exchange...

Using a three-regime threshold error-correction model, we investigate the nonlinear dynamics of the S&P 500 index and futures. First, using the SupLM statistic, we report estimates of two thresholds for the three-regime model to explain the nonlinear dynamics in arbitrage of the S&P 500 index...

This paper uses a model with time-varying coefficients in order to track changes in Feldstein-Horioka saving-retention coefficients over time. To the extent that such coefficients measure international capital mobility, the main empirical findings are as follows. First, the stability of the...

We find nonlinear mean reverting tendencies in Southeast Asian currencies by applying the newly developed nonlinear unit-root test by Park and Shintani (2005). First, with the US dollar as the numeraire currency, we find that 63% of the real exchange rates of Southeast Asian currencies turn out...