Within the expected utility framework skewness of return has been suggested as a rationale for why risk averse gamblers might choose to gamble when expected returns are negative. The argument is that risk-averse agents desire positive skewness, ceteris paribus, and are prepared to trade off a...

The purpose in this article is to investigate the implications of a non-linear supply curve for the standard discretionary inflation outcome obtained when the central bank has quadratic preferences. Some implications for the optimal output target and degree of conservativeness of the central...

Recent literature contains numerous examples where researchers continue to assert that a positive third derivative of the utility function of a risk-averse agent implies a preference for skewness, <italic>ceteris paribus</italic>. The purpose in this letter is to provide some examples pertinent to occupational...

This article estimates a reduced form Taylor rule for the Pre-Volcker and Volcker-Greenspan periods. A novelty is that it follows a suggestion of Walsh and includes changes in the output gap as an explanatory variable. Either this variable or an interaction term between inflation and changes in...

A new test for nonlinear causality and also nonparametric procedures suggest significant nonlinearity in the implementation of the Taylor rule by the Bank of Korea (BOK). In particular, the response to the output gap appears nonlinear.

We investigate the properties of floating exchange rates in the inter-war period by estimating a bilinear quadratic ARCH model that allows for non-linearity in both mean and variance. Our analysis suggests that, with one exception, spot rates exhibited non-linearity in either of, or both, mean...

Evidence of volatility spillovers between four foreign exchange rates is examined in the interwar floating exchange rate period using daily high and low prices rather than closing prices. It is found that volatility is highly persistent and that spillovers occur.

In this note the implications of modelling uncertainty in the parameters of the central banks loss function are examined in a multiplicative rather than additive manner. The implications for expected inflation, linear inflation contracts and targets are derived.

The purpose in this letter is to demonstrate the implications of uncertainty in the weight the Central Bank attaches to output for expected inflation, linear inflation contracts and inflation targets.

This letter examines the relationship between returns to win and place betting between the tote and bookmakers when explicit allowance is made for the degree of insider trading employing the Shin measure. The results are not readily reconcilable with market efficiency.