We analyse the adjustment of retail and services prices in a period of low inflation, using a set of individual price data from the German Consumer Price Index that covers the years 1998 to 2003. We strong find evidence of time- and statedependent price adjustment. Most importantly, the...

We analyse the adjustment of retail and services prices in a period of low inflation, using a set of individual price data from the German Consumer Price Index which covers the years 1998 to 2003. We strong find evidence of time- and state-dependent price adjustment. Most importantly, the...

(Logan, Mallows, Rice & Shepp 1973) analyse the limit probability distribution of the statistic <InlineEquation ID="IEq1"> <EquationSource Format="TEX">${S_n}\left( p \right)=\sum\nolimits_{i=1} {{X_i}/{{\left( {{{\sum\nolimits_{i=1} {|{X_j}|} }^p}} \right)}^{1/p}}}$</EquationSource> </InlineEquation> as n → ∞, when X{ini} is in the domain of attraction of a stable law with...</equationsource></inlineequation>

The European Central Bank uses a monetary strategy which represents a combination of monetary targeting and direct inflation targeting. In this context, the stability of the long-run European money demand function is widely seen as a precondition for a strategy of monetary targeting. This paper...

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator...

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...

Logan et al. (1973) analyze the limit probability distribution of the statistic sn(p) = Σi=1 Xi/(Σi=1 | Χj |^p)^1/p as n → ∞, when Xi is in the domain of attraciton of a stable law with stabilility index α. By simulations, we provide quantiles of the usual critical levels of the...

This paper analyses the relation between money and inflation in Germany in a cost-push/demand-pull model of an open small economy by means of cointegration methods. The full-information-maximum-likelihood method of Johansen as well as structural methods are applied to data subsets and the full...