In this paper we analyze macroeconomic effects of inflation targeting policy in New Zealand using Markov switching model with one time permanent break. Our results show that the inflation targeting policy has significantly changed the inflation dynamics in the New Zealand economy. The Markov...

An increasing number of investors are including futures-based commodity index funds in their portfolios. The argument is that these funds increase diversification, enhance returns and serve as an inflation hedge. Much of the recent literature served to reinforce these ideas. We update the...

The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are...

The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are...