This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the...

In this article we examine the structural stability of predictive regression models of U.S. quarterly aggregate real stock returns over the postwar era. We consider predictive regressions models of Samp;P 500 and CRSP equal-weighted real stock returns based on eight financial variables that...

This study examines the relationship between interest rates and inflation rates for ten countries during the period 1974-1995. Monthly end-of-month Euro-deposit rates and inflation rates are used, spanning a spectrum of maturity dates ranging from one month to one year. The recent cointegration...

This paper attempts to estimate Pakistan’s trade potential, using the gravity model of trade. Panel data for the period 1981-2005 across 42 countries is employed in the analysis. The coefficients obtained from the model are then used to predict the country’s trade potential worldwide as well...

The long-run discount factor for a group of developed and developing countries is estimated through standard methodology incorporating adaptive expectations of inflation. In the second part, while considering a standard Euler equation for household's intertemporal consumption, the parameter of...

This article provides an overview of the main indicators of Pakistan’s stock market development and their possible relevance for real economic activity focusing on the post-liberalisation period. The aspects of the market investigated include liberalisation of the market, integration of...

Episodes of monetary contraction increases the risk premium of the enterprises which results in higher effective interest rate differential between market loans and subsidized loan; making these firms more reliant on subsidized loans. Since subsidies are easier to exploit and hard to administer....

We estimate the long-run discount factor for a group of developed and developing countries through standard methodology incorporating adaptive expectations of inflation. We find that the discount factor of developing countries is relatively nearer to unity as compared to that of the developed...

High terrorist attack frequency and intensity in Pakistan provides a unique data to study the impact of terrorism on foreign inflows and trade. After 9/11, Pakistan has suffered from rapidly decreasing foreign inflows and a contraction in trade. The paper estimates the unit cost of a terrorist...

This study estimates degree of intrinsic inflation persistence in Pakistan using aggregate price index, group level price indices, and individual commodity prices. We find no evidence of a unit root in (MoM) inflation at any level, except for house rent. Using monthly data from 1959 to 2011 we...