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Research in economics and finance documents a puzzling negative relationship between stock returns and inflation rates in markets of industrialized economies. The present study investigates this relationship for Korea and Mexico. We show that the negative relationship between the real stock...
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Following the weak axiom of revealed preference (WARP), developed by Varian, a money-metric expenditure function is derived for a CES utility function in this paper. Using the US aggregate data on consumption used by Varian, the money-metric expenditure function is estimated to calculate an...
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This paper investigates the Purchasing Power Parity Theory (PPP) in the context of possible nonlinear relationships between prices and exchange rates of three key currencies. The main contribution of this paper is testing for nonlinearities and nonlinear relationships in a framework of...
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This paper investigates the role of central bank intervention in currency markets. Specifically, the bilateral exchange rates of the dollar versus the British pound, Swiss franc, and the yen are examined. Central banks conduct open market operations in order to regulate exchange rates in...
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