This paper examines the structural linkages that may exist between the G7 national interest rates. Its aim is to exploit some new techniques in cointegration analysis to see to what extent conclusions can be drawn purely from the data without imposing any arbitrary identification conditions....

The present paper outlines a theoretical model of agent-based learning. An agent ‘anchors’ his subjective expectations (or forecasts) to another agent’s subjective expectations. The former believes the latter has a better information set and, therefore, able to make better subjective...

In this paper we discuss the finite sample behavior of the KPSS test in the presence of conditionally heteroskedastic errors. We confirm that under stationary GARCH errors the asymptotics of the KPSS remains valid. However, in finite samples we observe a slight size distortion and a power...

This paper studies the long run price relationships between two major wheat exporters in the world wheat market. Since the emergence of the EU as a major wheat exporter, the competition between the EU and the US has been fierce for a larger share of world wheat exports. One would expect through...

In this paper we discuss the finite sample behavior of the KPSS test in the presence of conditionally heteroskedastic errors. We confirm that under stationary GARCH errors the asymptotics of the KPSS remains valid. However, in finite samples we observe a slight size distortion and a power...

Eastern Europe has been undergoing rapid structural change over the last 10 years and one of the most interesting and dramatic of these changes has involved the foundation of a number of new financial markets and the creation of a system of private ownership for industry almost from scratch....