This article applies the method of Gonzalo and Pitarakis (2006) to investigate the relationship of unemployment and labour force participation in the United States. Empirical analysis indicates the long-run relationships between these two variables are regime dependent.

Applying a rolling estimation to the Hasbrouck information share model, this study investigates the changing status of WTI benchmark over time. Results show the ability of WTI in reflecting market conditions decreases sharply, and WTI's efficiency in processing information has been surpassed by...

A nonlinear heterogeneous agent model is applied to the yen/dollar exchange rate market to discuss the channels of an effective central bank intervention. The existence of two hypothetical channels proposed by Hung (1997) and Taylor (2004, 2005) are tested and confirmed. Evidence shows...