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The paper uses multivariate autoregressive conditional heteroscedasticity models to investigate the effect of dollar/sterling exchange rate fluctuations on coffee and cocoa futures prices on the London LIFFE and the New York CSCE. For both commodities and in both markets, the exchange rate...
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This paper investigates the long-run relationships within a set of six quarterly time-series on the Austrian economy by means of cointegration. After analyzing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum-likelihood method proposed by...
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This paper analyses the relation between savings, social security, and bequests in an OLG model. The social security system is modelled on a pay-as-you-go basis to replicate aspects of the Austrian pension scheme. A bequest motive is introduced by postulating that households derive utility from...
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