We propose a new approach in the estimation of the optimal hedge ratio that allows the hedge ratio to vary over time but without the necessity of frequently rebalancing the portfolio. We apply this in the context of the US and UK equity markets using weekly spot share prices and future share...

The aim of this article is to investigate the causal relationship between remittances and poverty reduction in Bangladesh over the period 1976 to 2010. This issue is of fundamental importance for the developing economy of Bangladesh. We apply newly developed methods by Hacker and Hatemi-J (2006,...

We test the Unbiased Forward Rate (UFR) hypothesis using new tests for cointegration developed by Hatemi-J (2008a) that allows for multiple unknown structural breaks. We analyse the Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY) (versus the US dollar (USD)) spot...

This article tests whether the government's intertemporal budget restriction was fulfilled during the Brazilian imperial period (1823--1889). To accomplish this, newly developed tests for cointegration with unknown structural breaks are applied. It is found that government spending and...

This study investigates the long-run relationship between employment and exchange rate shocks at the industry level for France. Using panel unit roots and panel cointegration analysis, it is found that the French industries are quite sensitive to exchange rate changes. The estimated long-run...

Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald...

When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more...