This article examines the impact of global financial crisis on cross-currency linkage of the LIBOR-OIS spread, a financial stress measure in interbank markets. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical...

This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed...

During the subprime crisis, the U.S. Federal Reserve was concerned about widening spreads between overnight interbank lending rates such as the overnight index swap (OIS) and term London Interbank Offer Rate (Libor). Among the tools it used to counter the impact of the crisis, the innovative...

This paper examines the time-series properties of export growth and its key determinants for South Korea and Singapore. Using the framework of cointegration and error correction modelling, it is found that, in the case of Singapore, income effects, competitiveness (relative-price effects) and...

In this paper, Granger causality tests are applied to a new data set on human capital formation and US private sector GDP. The study is the first to test for causality between human capital formation and economic growth. It employs an error correction mechanism and is estimated through canonical...

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis ¡ª including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation ¡ª in a unified and friendly manner. It aims to...

In the international edible oil markets, there is believed to be high substitutability between vegetable oils and fats produced under different conditions. In light of this, we consider the question: what is the nature of the long‐run relationships between vegetable oil prices? Long‐run...