Many previous studies provide pricing models of options on futures spreads. However, none of them fully reflect the economic reality that spreads can stay near full carry for long periods of time. We suggest a new option pricing model that assumes that convenience yield follows arithmetic...

This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. A non-zero correlation between jumps and diffusive risks is necessary in order to resolve...

Using time-series data for Taiwan's agricultural sector and with the government's public investment in the agricultural sector serving as a proxy variable for nonfarm current inputs aside from the original labour and capital input variables usually taken into consideration, this article examines...

The article applies the LM univariate unit root test recently developed by Lee and Strazicich (2003, 2004) to re-examine the validity of trend stationary in the inflation rates of 11 OECD and Asian countries using a longer span of historical data. Our empirical findings are favourable to the...

As China's economic reforms have undergone significant structural changes after 1979, it has been rather difficult to formulate a stable money demand function over the period following that year. While previous literature on the long-run relationship of money demand in China shows the existence...

Using panel data unit root tests and panel cointegration tests, as well as estimation techniques appropriate for heterogeneous panels such as the full modified OLS, this paper re-examines the long-run co-movement and the causal relationship between GDP and social security expenditure in a...

Using the Solow-Swan growth model and the time-trend included in the aggregate production function, this study applies the multivariate cointegration approach to re-investigate the long-run and causal relationships between defence expenditures and GDP while controlling for capital and labour...

To gain better insight into the debate concerning the relationship between defence expenditure and economic growth, this paper empirically applies Hansen's (1996) threshold regression model to examine the threshold effect between the two variables. Allowing defence expenditure to have a...

This study empirically re-investigated whether carbon dioxide (CO2) emissions series were stationary in 21 OECD countries during the 1960-2000 period. A suite of test statistics were employed, proposed by Sen (2003), with a model that simultaneously allows for a break within the context of...

This paper examines the effect of structural breaks on the spot–futures oil prices relationship. We explore the impact of structural breaks on four critical issues, including cointegrating relationships, market efficiency under the expectation hypothesis and the no arbitrage rule, causalities,...