This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can...

This dissertation collects two papers regarding the econometric and economic theoryand testing of the predictability of asset returns. It is widely accepted that stockreturns are not only predictable but highly so. This belief is due to an abundanceof existing empirical literature fi nding often...

RESUMEN: En este trabajo se analiza el patrón estacional de la exportación semanal de tomate canario desde el ingreso de España en la Unión Europea. Un primer examen de los componentes determinísticos de la serie revela la inestabilidad de éstos, claramente vinculada a los cambios en la...

A cultura cafeeira foi e continua sendo de primordial importância para a economiabrasileira. Além de importante fonte de renda para a economia brasileira, o café temdestacada participação nas receitas cambiais, na transferência de renda entre setores e naformação de capital no setor...

In the research area of crop yield density estimation and in particular in risk analysis, little emphasis has been given to the appropriateness of transformation methods (e.g., removing a linear trend) and how such transformations impact the reliability of the empirical distribution functions...

This paper reports the stylised facts resulting from the tests of rival macroeconomic models in explaining the Australian business cycle during the sample period 1966(3)-1995(3). The dominant rival paradigms such as the New Classical, Keynesian the Real Business Cycle theories have been tested...

The general equilibrium approach demonstrates that macroeconomic shocks link the exchange rate and the inflation rate through diverse transmission channels. Therefore, the one-track focus of the partial equilibrium 'pass-through' approach that predicts that exchange rate depreciation causes...

The law of the tendential fall in the rate of profit has been at the center of theoretical and empirical debates within Marxian political economy ever since the publication of Volume III of Capital. An important limitation of this literature is the absence of a comprehensive econometric analysis...

This paper examines the extent of financial integration in European equity markets before, during and after the adoption of the single currency on 1 January 1999. Two groups of European economies are examined. The first set comprises the Member States of the European Union (EU) that participated...

This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand)...