Since the publication of Taylor's (2002) results supporting Purchasing Power Parity (PPP) theory using a century of data, several authors have tried to verify PPP using the same data set. While one study has rejected Taylor''s strong conclusion, others have supported it. In this paper we use yet...

The cross-correlation function between terms of trade and trade balance has been found to resemble a pattern that is labelled the S-curve. Support for this pattern has been provided for developed and less developed countries by previous research. This paper investigates the S-curve for 10...

Since the publication of Taylor's (2002) results supporting Purchasing Power Parity (PPP) theory using a century of data, several authors have tried to verify PPP using the same data set. While one study has rejected Taylor''s strong conclusion, others have supported it. In this paper we use yet...

A group of studies have shown that in less developed countries, Purchasing Power Parity (PPP) theory is supported more often when black market exchange rates rather than official rates are used in the testing procedure. They have all relied upon linear Augmented Dickey-Fuller (ADF) test applied...

Several different approaches have been followed by researchers to test the validity of Purchasing Power Parity (PPP). Since the introduction of the unit-root tests, researchers have applied a battery of these tests to determine whether the real exchange rates are stationary. If the answer is in...

Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between...

Many observers have criticized recent IMF actions and program announcements during the Asian crisis by arguing that the IMF's declaration that Asia needed drastic reforms with respect to institutional issues such as transparency, corporate governance and corruption has led investors to panic and...

Using monthly post-WWII data from 13 developed and developing countries and a battery of GARCH models, the influential study of Schwert's (Journal of Finance, 54 (5), 1115-1153, 1989) on US stock market volatility is extended to an international setting. In line with the evidence reported in...

This paper studies the effects of Federal Reserve communications on US financial market returns from 1998 to 2009 and asks whether they changed significantly during the global financial crisis of August 2007–July 2009. We find, first, that central bank communication moves financial markets in...