by the Portfolio Balance Theory of Currency Substitution (Cuddington, 1983), the results obtained in this paper suggest …

errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that …This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …

evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/inflation … policy has generally been counter-cyclical, thereby reducing business cycles and inflation variability. Exceptions are in … of inflation targeting monetary policy tended to simultaneously reduce inflation and output variability. From 1996 to …

controversies surrounding the exchange rate forecastability and the absence of money in models of inflation …

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these … certainty equivalent loss due to the uncertainty in second moments. Applying the Fama French 3 factor model to 25 size, BE …/ME sorted portfolios from 1963 to 2001, the loss due to the variance estimation can be shown to be as large as the loss due to …

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these … certainty equivalent loss due to the uncertainty in second moments. Applying the Fama French 3 factor model to 25 size, BE …/ME sorted portfolios from 1963 to 2001, the loss due to the variance estimation can be shown to be as large as the loss due to …

importance of modelling a system that includes the forcing variables as well as the rate of inflation is emphasized. We also …