The reported study analysed interdependence among stock prices in G7 countries using the LA-VAR method. Monthly data for the period from December 1969 to May 1995 were used and stock prices were analysed not only in local currencies but also in US dollars. The study revealed that the causal...

Japanese data from 1971 and 1995 are used to estimate the marginal rate of substitution between private consumption and government consumption, and to empirically analyse the validity of the Ricardian equivalence theorem. The marginal rate of substitution between government expenditure and...

The presence of seasonal integration in Japanese macro data is tested. The targeted variables are real values and deflators for GDP, consumption, investment, government expenditure, exports, and imports. First, with respect to seasonality, an entirely different conclusion is obtained for the...

The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money balances, interest rates, and real GDP have unit roots in different cycles. The seasonal cointegration tests reveals that seasonal cointegration is...

This alternative method of analysis applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e. it is robust to the non-normality of the error term, it is unnecessary to formulate the expected...

This article aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally over the last few years. We estimate the long-run equilibrium relationship between multi-commodity futures and spot prices and then test for weak-form market...

This article empirically assesses causality-in-variance and causality-in-mean between the Eurozone banking sector Credit Default Swap (CDS) index and the Greek sovereign CDS spread. We employ the Cross-Correlation Function (CCF) approach developed by Hong (2001) to daily data from January 2008...

Extending Ito's (2009) analysis, this article investigates the co-movement between interest rate swaps and treasury markets by using the panel cointegration tests developed by Maddala and Wu (1999). Empirical results show that there exists a single cointegration relationship between the swap...

This paper empirically analyses the stability of the money demand function in Germany. Important results may be summarized as follows. There was a stable relationship between money supply and real economic activity, and the money demand function was stable prior to German re-unification. The...

This research empirically analysed the relations between the difference in consumer's preference and the consumption growth rate in Japan. As a result, the close relationship between the two is revealed. This study has clarified the fact that as the income bracket becomes higher, the value of...