This article compares the stability of interrelationships among nine national equity markets by employing basket currencies versus individual base currencies to measure rates of return. We show that the average correlations of equity indexes based on basket currencies are much lower than the...

Dynamic relationships among weekly retail prices for milk from three regions of Kyrgyzstan are studied in an error correction framework. Observational data over the period January 1995 - May 1999 are used in the analysis. Results show that prices from the oblasts of Issyk-Kul and Djalal-Abad...

The dynamic relationship between the prices of refined sugar and high fructose corn syrup is investigated using cointegration econometrics. The analysis is based on observational data, and although results indicate cointegration between 1984 and 1991 for the most part, alternative explanations...

A theoretical model of the law of one price which allows for seasonality in transaction costs and supply and demand conditions between markets is developed. Bivariate three-regime threshold vector error correction models are applied to natural gas markets to examine seasonality in threshold...

The Brier score and a covariance partition due to Yates are considered to study the probabilistic forecasts of a vector autoregression on stock market returns. Probabilistic forecasts from a model and data developed by Campbell (1991) are studied with ordinary least squares. Calibration measures...

The present paper provides further empirical evidence on the credit view (i.e., bank credit availability has a positive impact on macroeconomic activity) by investigating the case of Finland. The Finnish economy suffered a severe recession in the early 1990s that was marked by widespread banking...