This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short-term dependence and conditional heteroscedasticity found in...

This study examines the finite-sample bias of S. Johansen's likelihood ratio tests for cointegration using the Monte Carlo method. Response surface analysis is employed to obtain approximations to the finite-sample critical values and illustrate the individual roles of the sample size, the...

This study examines some finite-sample properties of a new modified Dickey-Fuller test, called the DF-GLS test, which has been shown to be more powerful than standard unit-root tests. The study shows that the lag order can significantly affect the critical values of the test. This points to the...

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in...

This paper examines the aggregate implications of the production smoothing model. The analysis indicates that aggregation can be a source of bias distorting tests of production smoothing based on the relative variance of production and sales. It is shown that, depending upon the relative...

This paper explores the implications of the production lag for the firm's decisions. The authors establish a significant relationship between price behavior and the length of the production lag. They show that specific results in the literature are crucially dependent upon the assumption about...

This study examines the long-term persistence in ex ante real interest rates. According to the long-run Fisher effect, ex ante real rates--the difference between nominal rates and expected inflation--should be mean-reverting and have no unit root. Empirical evidence on mean reversion has been...

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by...

The paper studies the interactions between the U.S. and four East Asian markets. The focus is on the change in the information structure/flow between these markets triggered by the 1997 Asian financial crisis. It is shown that the information structure during the crisis period was different from...

We re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification. The performance of these models is compared against two reference specifications - purchasing power parity...