In this paper, we investigate the relationship between stock returns and short-term interest rates. Identification of the stock return-interest rate relation is solved by using a newtechnique that relies on the heteroskedasticity of shocks to stock market returns. We suggest some improvements to...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium, we provide empirical evidence on the US log dividend-price ratio over the 1871:1 - 2001:9 period,...

In this paper we analyse the influence of the Bundesbank's inflation targeting policy on the behavior of the spread between long-term and short-term German interest rates. The term spread is considered to be a key indicator of future inflation and economic activity. The application of a momentum...

This paper reviews and assesses the privatization of the banking sector in Hungary. Most of the important developments took place in the period between 1995-98. Nevertheless, the choices made by Hungarian policy makers reflect both internal constraints stemming from the weakneses of the...

Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper provides an extension to the Engle-granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that...

In this paper we analyse the influence of the Bundesbank's inflation targeting policy on the behavior of the spread between long-term and short-term German interest rates. The term spread is considered to be a key indicator of future inflation and economic activity. The application of a momentum...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium, we provide empirical evidence on the US log dividend-price ratio over the 1871:1 - 2001:9 period,...

This paper compares Hungary`s experience with sterilization with that of other capital inflow episodes. The study focuses on the short-run impact of sterilization on monetary policy. The empirical data indicate that sterilized interventions by the National Bank of Hungary (NBH) were not...

This paper considers whether the adoption of inflation targets for Hungary, an emerging market economy, is a desirable option. We consider the qualitative and quantitative pre-conditions required for the successful adoption of inflation control objectives. Although it is found that the National...

Canada has perhaps the longest track record of adhering to a floating exchange rate regime but it may well have also been the first country to adopt a managed float during the 1950s. In spite of criticisms leveled at the Canadian government's decision to float the dollar, the remarkable feature...