This paper presents and estimates a model of the demand for money which explicitly incorporates foward-looking behavior. A multiperiod, rational expectations, quadratic costs of adjustment problem is solved using the discrete time calculus of variations to yield a money demand equation which is...

The issues involved in assessing the relative performance of forward-looking (rational expectations) models and backward-looking error correction models based on the general-to-specific methodology are examined. Using the demand for M1 in the United Kingdom as a specific example, the authors...

This paper presents and estimates a model of the demand for money that explicitly embodies forward-looking behavior. Agents' money balances react differently to anticipated and unanticipated changes in income, prices, and interest rates. A multiperiod, rational expectations, quadratic costs of...

The authors estimate a target zone model for three ERM exchange rates for 1983-86 and 1987-91 by the method of simulated moments, taking account of the continuous time specification by using daily data with the interruptions of holidays and weekends. Specification tests are unable to reject the...

This paper uses data from the British Household Panel Survey to investigate the duration of self-employment spells in Britain. The results suggest that 40 percent of self-employment ventures started since 1991 have not survived their first year in business. Evidence is produced showing that a...

We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over a maximum of forty years for thirty developed and emerging market currencies. Employing a stepwise test to safeguard against data-snooping bias and examining over 21,000...

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Using annual data spanning two centuries for dollar-sterling and franc-sterling real exchange rates, the authors find strong evidence of mean-reverting real exchange rate behavior. Using simple, stationary, autoregressive models estimated on prefloat data, they easily outperform nonstationary...