Results for the identification of non-linear models are used to support the raditional form of he order condition by sufficient conditions. The sufficient conditions reveal a two step procedure for firstly checking generic identification and then testing identifiability. This approach canbe...

It is well known that when we have to do with possibly chaotic time series, it needs to reconstruct a pseudo state space. In this paper it has been studied, via simulations, a possible multivariate reconstruction and its effects on the one step prediction.

In this study it is attempted to estimate the amount of speculation in foreign exchange market.

This paper investigates the dynamic interrelationship between exchange rate changes and stock market performance in eleven emerging markets and five developed markets. It examines the nature of information transmission across asset classes and countries in order to understand how shocks are...

From 1983, Ghana embarked on an economic recovery programme (ERP), an important feature which was trade and foreign exchange liberalization. This called for a legalization of the black market into foreign exchange (forex) bureaus. This paper looks at the structure of this market, including the...

This paper examines the interdependence and coordination of monetary and exchange rate policies among the G-3 countries over the period 1977 through 1993. The results in the paper suggest that the international monetary transmission mechanism is important, and that, among the G-3, US policies...

We built a portfolio choice model in which agents are heterogeneous and possibly draw systematic rational forecast errors.

One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. Until recently, data constraints have limited our ability to examine this issue. The Olsen and Associates high-frequency spot market data greatly expand the range of...