The relationship between inflation and inflation uncertainty is investigated in six European Union countries for the period 1960-99. Exponential generalized autoregressive conditional heteroscedasticity models are used to generate a measure of inflation uncertainty and then Granger methods are...

We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression...

The authors employ the econometric techniques of multivariate cointegration and error-correction models to investigate the impact of the creation of the European Monetary System (EMS) on the volume of intra-European Union (EU) Exports for eight EU countries.

We analyse the long-run and short-run relationship between merchandise export volume and its determinants, foreign income, relative prices and exchange rate variability, using the techniques of cointegration and error correction. The model was estimated for Irish exports and sectoral exports...

The authors test for saeasonal effects in stock market returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995.Even though considerable evidence for seasonal effects applies in several...

We argue that the interactions among the current account and budget balances and the real interest rate can provide more information about the effective degree of financial openness of an economy than simple saving-investment correlations. Cointegration tests reveal a variety of linkages between...

By employing the techniques of multivariate cointegration and error-correction models, we investigate the impact of the creation of the European Monetary System (EMS) on the exports of the four largest EU countries to each other. Our findings suggest that the impact of the EMS on bilateral...

We attempt to investigate whether the ERM period coincided with an increase in intra-Eu exports. We conclude that this has not been the case but it is likely that the elimination of nominal exchange rate variability arising from a single currency will boost intra-EU trade.

By utilizing the techniques of multivariate cointegration and error correction models, we investigate the impact of the different exchange-rate regimes that spanned the 20th century on the bilateral reports between the UK and the US over the last 98 years.

The aim of this paper is to look at ways in which the contribution of investment in technology to consumer welfare might be measured. One useful approach to this question is demonstrated by means of a simple spatial model of trade and transportation. The model is used to elaborate on a...