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...

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...

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...