from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the … assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether … support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across …

We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation … assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear …

Gold has both private uses (depletion uses and service uses) and government uses. It can be obtained from mines with … massive stocks of gold. Making government gold available for private uses through some combination of sales and loans raises … if costless government gold is withheld while costly gold is taken from mines. There are use inefficiencies if costless …

A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure … holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary … policy. We argue that previous work on the expectation theory has failed to sufficiently account for interactions between …

effects can be reconciled with conventional theory, we interpret the joint movements in light of uncovered interest rate …