In recent times, economists concur that economy's response to monetary policy is somewhat weaker then they were in the past. However, the cause of such change remains an open issue. One plausible reason for this change could be attributed to the financial reform processes that have brought...

A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...

This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...

When asset markets are incomplete there are almost always many Pareto improving policy interventions, provided there are multiple commodities and households. Remarkably, these interventions do not involve adding any new markets. Focusing on tax policy, I create a framework for proving the...

Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea...

A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...

This paper uses dynamic factor analysis to investigate the sources of foreign shocks and the propagation mechanism of these disturbances into two small open economies, Australia and Canada. Panels including a variety of foreign and domestic series for each country are used to estimate the...

The present paper applies the Markov switching model with the aim of checking two industrial production features of six major Brazilian states. Firstly, we try to determine the date of business cycles and, soon afterwards, we verify the existence or not of an unobservable component that is...

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...