Commodity prices have become volatile over the past 2 decades, and their recent sharp decline has decreased the consumer price index inflation rates for most economies. While many Asian economies have benefited from low international oil and food prices, commodity exporters have suffered. Thus,...

Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results regarding the PPP hypothesis. We examine the...

The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. In addition, our...

We construct quarterly series of the revenues, expenditures, and debt outstanding for Japan from 1980 to 2010, and analyze the sustainability of the fiscal policy. We pursue three approaches to examine the sustainability. First, we calculate the minimum tax rate that stabilizes the debt to GDP...

This paper relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short-horizon contracts is mixed, we find that gains in longer...

Characteristics of inflation play a key role in policy formulation and market analysis. Several studies have analyzed inflation persistence and reached diverging conclusions. In this paper we investigate the dynamics of inflation persistence using fractionally integrated processes and find that...

A number of recent studies found two asymmetries in dependence structures in international equity markets; specifically, dependence tends to be high in (1) highly volatile markets and (2) bear markets. In this paper, a further investigation on asymmetric dependence structures in international...