This paper examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991 by utilizing Johansen's (1991) method. Three subperiods are also examined to confirm the intertemporal stability of the test results. In addition, subgroups of the seven...

Some economists argue the recent recovery has been so meager because many consumers have lost their main source of income and maxed-out their home-equity borrowings. Further, banks that were able to make consumer loans did so with less security because home prices fell so dramatically. This...

The current financial crisis has drawn attention to consumers' use of the Home Equity Line of Credit (HELOC) to finance consumption. Although many economists have repeatedly noted that such borrowing fueled additional consumption, attempts to quantify the boost to consumer spending have been...

Purpose – The purpose of this paper is to examine the predictability of the US-based international mutual fund returns by investigating 2,479 daily observations for all categories of international equity, bond and hybrid mutual funds. Further, trading strategies are proposed and tested under...

This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective...

This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin...

A system of reduced forms with cointegrated variables may be estimated in two ways: as a vector autoregression in levels, or as a vector error correction model. The latter is a restricted version of the former. If there is cointegration, imposing this restriction will yield more efficient...

This study extends and expands the body of evidence related to foreign exchange market efficiency by employing the single-equation cointegration test proposed by Phillips and Ouliaris and the Johansen 1991 Full Information Maximum Likelihood procedure for a system of equations. Through the use...