The captioned article was earlier published in “Economic Horizons” volume 18, #72 – AH 1418 – 1997 (4) Pages (65-78). I had some concerns about the article regarding the methodology adopted for analysis in deriving the macroeconomic parameters and the derivation and interpretation of...

This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...

A methodology to calibrate multifactor interest rate model for transition countries is proposed. The usual methodology of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The existence of such a markets is essential for this...

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent...

One strand of the recent literature on the monetary transmission process has focued upon the weak empirical evidence of a liquidity effect in the U.S. This study uses structural VAR methods to reexamine the liquidity effect.

The use of subspace algorithms for the identification of non-stationary cointegrated stochastic systems is a promising technique that is currently under discussion. A revision of the literature provides two distinct algorithms: State Space Aoki Time Series (SSATS) identification algorithm (Aoki...