Following the signing of the Kyoto protocol in 2005, a new wave of green policies emerged with the intention of protecting our planet. This study explores the effects these policies have on capital markets. In particular, we assess how the risk and return of US industrial portfolios react to the...

This article documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a 7-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature...

Consumption patterns are used to measure capital mobility within the APEC region, both on a bilateral and multilateral basis. Two models are estimated by IV, SUR and OLS using quarterly data for four countries: the US, Japan, Canada and Australia. The results show that the hypothesis of perfect...

The relationship between exports and output is examined using Australian annual data over the period 1900-1993. Cointegration and causality testing fails to detect the existence of a long-run or short-run relationship between the two variables. These results are explained by restoring to the...

This study provides an analysis of 163 operational loss events experienced by a variety of British firms over the period 1999--2008. 10 different hypotheses are tested to examine the distribution of loss severity and frequency with respect to business line, event type and corporate entity type....

A univariate time series analysis of the consumption of beer, wine and spirits in the UK over the period 1964-1995 is presented. The analysis shows that the consumption of beer and wine exhibits stochastic seasonality while the consumption of spirits exhibits deterministic seasonality. Moreover,...

Several explanations have been put forward for the Meese--Rogoff puzzle that exchange rate models cannot outperform the random walk in out-of-sample forecasting. We suggest that a simple explanation for the puzzle is the use of the root mean square error (RMSE) to measure forecasting accuracy,...

A simulation exercise is used to demonstrate the difficulty to outperform the random walk in exchange rate forecasting if forecasting accuracy is judged by the Root Mean Square Error (RMSE) or similar criteria that depend on the magnitude of the forecasting error. It is shown that, as the...

The proposition that dynamic exchange rate models can outperform the random walk in out-of-sample forecasting, in the sense that they produce lower mean square errors, is examined and disputed. By using several dynamic versions of three macroeconomic exchange rate models, it is demonstrated that...

Some economists suggest that the Meese-Rogoff puzzle is equally applicable to the stock market, in the sense that no model of stock prices can outperform the random walk in out-of-sample forecasting. We argue that this is not a puzzle and that we should expect nothing, but this result if...