We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

This paper presents some empirical evidence on the relationship between the yield curve and macroeconomic variables in the G7. The econometric methodology followed takes into account stationarity, cointegration and exogeneity features of the data, which is typically not done in the existing...

In this paper we examine the causal linkages between the G-7 long-term interest rates by using a new technique, which enables the researcher to analyse relations between a set of I(1) series without imposing any identification conditions based on economic theory. Specifically, we apply the...

In this paper we provide some empirical evidence on the casual relationship between stock prices and exchange rates volatility in four East Asian countries. In order to test for causality-in-variance, we use a GARCH model for which a BEKK representation is adopted, and then test for the relevant...

In this note the empirical evidence presented by Karfakis and Moschos (1990) and Katsimbris and Miller (1993) on interest rate linkages in the EMS is reinterpreted and their finding of non-stationarity of interest rate differentials in the EMS is rationalized. It is argued that their results are...

This paper presents further evidence on the empirical regularity known as the "45-degree rule." Income and price elasticities of trade are estimated for 21 countries in a cointegration framework. More specifically, the autoregressive distributed lag (ARDL) modeling approach and the DOLS...