Using Taiwan data, the study employs Hamilton's (2001) flexible regression model to investigate the relationship between inflation and inflation uncertainty. The results convincingly support Friedman's hypothesis that a rise in the inflation rate increases inflation uncertainty. This result,...

This study tests for the presence of Evans’ (1991) periodically collapsing bubbles in four real estate investment trust (REIT) classifications in the US by employing the momentum threshold autoregressive (MTAR) model and the MTAR model with smooth transition in trend (i.e., the LNV-MTAR...

Using data for 541 Taiwanese listed companies over the 1994-2009 period, this paper examines the effect of unexpected exchange rate exposure on the value of the enterprise and the determinants of exchange rate exposure in Taiwan. The empirical evidence shows that about 25% of listed companies...

This study examines the causal relationship between the current account deficit and government budget deficit for eleven OECD countries by employing the panel Granger causality analysis. The econometric methodology used in this paper allows us to untangle the causal nexus between the current...

Using a nonlinear flexible regression model for four economies in east Asia, we re-examine two hypotheses in light of the causal relationship between inflation and inflation uncertainty. The first, proposed by Friedman [Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of...

This article examines the relationship between Population Growth (PG) and Economic Growth (EG) in the framework of simultaneous structural equation models. Based on Lewbel (2012), the structural parameters can be estimated using the Generalized Method of Moments (GMM). Identification requires a...

This paper intends to investigate the duration dependent feature of Taiwan's business cycles. The constant Markov switching model is revised to take account of the duration dependent feature. The most innovative findings herein are that there is no duration dependence for contraction for the...

This paper finds an asymmetric swing in Taiwan's exchange rate. In contrast to the developed countries, whose exchange rates exhibit long swings in both appreciation and depreciation regimes, the long swing only exists in an appreciation regime for Taiwan. A short swing, however, is found during...

This article examines the relation between stock returns and the World Index for four Pacific Rim economies, i.e. that of Taiwan, Hong Kong, South Korea and Malaysia. When the constant International Capital Asset Pricing Model (ICAPM) and the regime-switching ICAPM are considered, the evidence...