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Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors’ forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a...
Persistent link: https://www.econbiz.de/10011134460
This paper uses the log t test to analyse the convergence of house prices across UK regions and the presence of spillovers effects. We find that UK house prices can be grouped into four clusters. Moreover we document the dynamics of the house price spillovers across regions.
Persistent link: https://www.econbiz.de/10010826299
This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate...
Persistent link: https://www.econbiz.de/10010691086
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This article analyses movements in Japanese stock returns in the recent period (1991-2005). Unlike previous literature, by modelling persistence in both the mean and volatility simultaneously, first, we find evidence of persistence in Japanese stock returns. Second, while not so for daily...
Persistent link: https://www.econbiz.de/10005452248
This paper evaluates the forward premium puzzle using the Euro exchange rate. Unlike previous studies, our analysis utilizes time-varying parameter methods and is based on two approaches for evaluation of the puzzle; the traditional approach analyzing the sensitivity of interest rate...
Persistent link: https://www.econbiz.de/10011107546
We empirically analyze regional inflation using data from Japan where there is no regulation to impede the free movement of labor, capitals, goods and services across regions. In particular, our analysis will focus on the geographical location of regions and the productivity effect as...
Persistent link: https://www.econbiz.de/10011107758
It is often argued that an optimal currency area requires homogeneous regional inflation. However, previous empirical studies point out heterogeneity in sectoral inflation and geographical concentration of industries within a monetary union. It follows that there must be a difference in regional...
Persistent link: https://www.econbiz.de/10011110147