This paper estimates an error correction model of money demand for Croatia over the post-stabilization period based on the ARDL bounds testing procedure. While industrial production is statistically insignificant for both the M1 and M1A money demand specifications, interest rates, inflation, and...

The reliance on market and sector-specific indexes to evaluate managed portfolios and the popularity of index investing has increased the importance of understanding what leads to market movements, how long they may last, and how different sectors respond to macroeconomic shocks. This research...

Using bank balance sheet data for Croatia for 1994 to 2000, this study estimates a Fourier-flexible frontier cost function. Specification tests indicate that the stochastic frontier model with a Fourier-flexible form with a truncated normal distribution of the inefficiency term allowing for time...

Hazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, these models attempt to predict the timing of mean reversion of the market indices. Since the only...

This study provides a survey of the empirical results associated with testing for a unit root in the net discount rate. As suggested by the literature, the use of the historical average of the net discount rate in the calculation of the present value of lost future earnings is valid if the net...

This study examines the relationship between savings and investment for 26 transition economies using a panel data set covering the 1991 to 2002 period. Estimates of the saving coefficient based on cross-sectional, fixed-effect, random-effect and mean-group estimators range from 0.263 to 0.315,...

This study extends the literature on the relationships between inflation and inflation volatility by examining the impact of inflation targeting on inflation volatility in Thailand. The ARIMA-GARCH model reveals that inflation targeting marginally reduced the degree of volatility persistence in...

This study examines the long-run interest rate pass through of the federal funds rate to the prime rate and whether there is asymmetric adjustment in the prime rate using the Enders-Siklos (2001) momentum threshold autoregressive model over the period February 1987 to October 2005. Once...

The sustainability of the Turkish budget deficits as well as the dynamics of government revenues and expenditures in controlling the size of the deficit is examined using annual data from 1968 to 2004. The findings support the existence of a long-run relation between government revenues and...