This study examines the forecasting performance of the Taylor rule on the exchange rate when there is uncertainty in the structural breaks in a small open economy. Using the combination window method, which considers the uncertainty of the size of the estimation window, we find that the...

This study examines the pricing kernel and empirical risk aversion implied by Korea's equity-linked warrants (ELWs). The estimated pricing kernel is clearly time-varying and exhibits a monotonic decrease with the underlying return state, which is consistent with mainstream economic theories on...

In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in...