This paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia,...

Most studies that have examined the relationship between the housing market and the macroeconomy have focused on how changes in housing supply affect real activity and the like. In this paper, the possibility that housing starts respond to sudden changes or shocks to macroeconomic factors is...

This paper tests the hypothesis that changes in the federal budget deficit impact the term structure of interest rates in Italy. The results suggest that budget deficits increase the yield spread between long term government bonds and the three month Treasury bill. The implication is that budget...

This article applies the Enders and Granger (1998) unit root test against the stationary alternative with asymmetric adjustment to after-tax corporate profits. Both the standard Dickey-Fuller (1981) model and the momentum threshold autoregressive (MTAR) model reject the null hypothesis of a unit...

In order to study the inter-relationships of international crude oil markets, empirical analyses are used to investigate univariate and multivariate relationships between Alaska North Slope and UK Brent oil prices. Using monthly data from the period 1974-1996, the results show that both price...

This paper examines whether interest rate variability leads to a decrease in the velocity of money in Italy. The hypothesis is tested using the Johansen cointegration technique and error-correction modelling. The empirical findings lend support to the Friedman hypothesis and help reconcile the...

This article examines whether or not federal budget deficits impact the stock markets of Australia and France. According to the stock market efficiency hypothesis, current stock market performance fully incorporates all past policy actions and implies that there should be an insignificant effect...

This paper uses a Granger causality test to determine if increased instability in the money supply of a country leads to a decline in velocity in that country. This research adds two new dimensions to the literature in this area. First, monetary growth is decomposed into anticipated and...

This study examines the relationship between savings and investment for 26 transition economies using a panel data set covering the 1991 to 2002 period. Estimates of the saving coefficient based on cross-sectional, fixed-effect, random-effect and mean-group estimators range from 0.263 to 0.315,...

This study extends the literature on the relationships between inflation and inflation volatility by examining the impact of inflation targeting on inflation volatility in Thailand. The ARIMA-GARCH model reveals that inflation targeting marginally reduced the degree of volatility persistence in...