We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that...

Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a selected group of European Union countries (the...

En este estudio investigamos los determinantes de las emisiones denominadas en dólares de deuda a largo plazo por parte de la banca europea. Para ello empleamos una base de datos que permite explorar los factores que, según la literatura, explican las emisiones en moneda extranjera. Incluimos...

This paper is a deductive theoretical enquiry into the flow of effects from the geometry of price bubbles/busts, to price indices, to pricing behaviours of sellers and buyers, and back to price bubbles/busts. The intent of the analysis is to suggest analytical approaches to identify the...

Recently, single equation approaches for estimating structural models have become popular in the monetary economics literature. In particular, single-equation Generalized Method Moments estimators have been used for estimating forward-looking models with rational expectations. Two important...

Recent studies have tested whether futures prices respond to U.S. Department of Agriculture inventory reports in accordance with the efficient markets hypothesis. These studies use survey forecasts to identify the anticipated and unanticipated information contained in a report. However, this...

RESUMEN: La diferencia temporal existente entre la planificación de la oferta y la demanda de productos agrarios, conlleva a que, tradicionalmente, en sectores como el de frutas y hortalizas cobren gran interés las teorías sobre formación de expectativas de precios. En las últimas décadas,...

This paper examines supply response models in a rational expectations framework for each one of the fourmajor Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Choleskydecomposition is used to incorporate price volatility into the rational expectations supply...

In recent times the emergence of the property cycle and the effects that it has on theproperty market has caused the relevant parties involved in the market to start placingmore emphasis on how these cycle works. The overall objective of this study is to tryestablish if the interpretation of...

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...