We analyse the long-run and short-run relationship between merchandise export volume and its determinants, foreign income, relative prices and exchange rate variability, using the techniques of cointegration and error correction. The model was estimated for Irish exports and sectoral exports...

We use a Markov regime-switching heteroskedasticity model in order to examine the association between inflation and inflation uncertainty in four European countries over the last forty years. This approach allows for regime shifts in both the mean and variance of inflation in order to assess the...

The paper tests for long-run monetary policy convergence and short-run policy interactions in seven ERM countries over the 1979-1992 period using the approach of multivariate cointegration and Granger-causality tests. The authors provide evidence for very little monetary policy convergence, even...

We use the techniques of cointegration and error-correction models to estimate long-run and short-run export demand functions for Ireland using quarterly data for the 1979-1993 period. We consider three determinants of exports: foreign income, relative prices, and exchange rate volatility. Our...

The paper tests for long-run monetary policy convergence and short-run policy interactions in seven ERM countries over the 1979-1992 period using the approach of multivariate cointegration and Granger-causality tests. We provide evidence for very little monetary policy convergence, even during...

We use the techniques of cointegration and error correction models to estimate long-run and short-run export demand functions for Ireland using quarterly data for the 1979-93 period. We consider three determinants of exports: foreign income, relative prices, and exchange rate volatility. Our...

Using Campbell's (1991) unexpected return decomposition, the implications of the Rational Valuation Formula are derived in terms of unconditional volatility of discount factors, given conditional return volatility and hence given the volatility of unexpected returns. This provides a bound on the...

In this paper, we study predictability of exchange rates and explore determinants of its dynamics over time. We model the admissible amount of predictability in two ways, each corresponding in a stylized manner to a broad class of rational currency pricing models, namely those under which the...

This paper studies currency predictability over time. We assess predictability by testing for the presence of exploitable patterns in currency returns. To do so, we first generate consistent and parsimonious reduced-form estimates of currency expected returns and variances and then use these...

We assess how owner's commitment to a firm influences the firm cost of capital, and whether the relation between the former and the latter is the consequence of the owner's higher opportunity cost of capital resulting from under-diversification. Using data on private Mediterranean firms and...