The impact of exchange rate uncertainty on the disaggregated imports of the UK is investigated by focusing on 15 major manufacturing categories. Contrary to several previous theoretical and empirical studies, this paper finds no evidence that exchange rate uncertainty has a positive impact on...

This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets...

This paper suggests using a unit t-value criterion in imposing restrictions on lags to formulate a subset vector autoregressive (VAR) model for the purpose of point forecasts. Among any other alternative models nested to the initial VAR model, this less restrictive modeling strategy produces the...

This paper investigates dynamic interrelations between exchange rate uncertainty, international trade, and trading competitiveness in prices, using UK data. The empirical results derived from vector autoregressive (VAR) models show that a shock to exchange rate volatility negatively affects...

The present paper investigates which factor is primarily responsible for the sharp depreciation of the Korean won against the US dollar in 1997, using a bivariate vector autoregressive model of real and nominal exchange rates. In the present study, we directly identify the relative importance of...

In this paper, the distribution and inequality of firm sizes is evaluated for the Korean firms listed on the stock markets. Using the amount of sales, total assets, capital, and the number of employees, respectively, as a proxy for firm sizes, we find that the upper tail of the Korean firm size...

This study examines the influence of structural changes in volatility on the transmission of information in two crude oil prices. In an effort to assess the impact of these structural changes, we first identify the time points at which structural changes in volatility occurred using the ICSS...