Purpose – This paper aims to confirm the existence of size, book to market (BM) and momentum effects in the New Zealand (NZ) stock market. It also aims to compare the performance of the CAPM, the Fama-French (FF) model, and Carhart's model in explaining the variation of stock returns....

This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds...

The aim of this study is to explore whether efforts to encourage producers to use agricultural machinery and equipment will significantly improve agricultural productivity, income distribution amongst social groups, as well as macroeconomic performance in Thailand. A 2000 Social Accounting...

A cointegrating SVAR model is used to represent the dynamics of the Indonesian macro-economy. Through the cointegration analysis in the VEC methodology, long run relations among variables of the model are depicted by money demand and IS equations, whereas via the SVAR framework, shocks to...

This paper examines the exchange rate effects of monetary policy shocks in New Zealand in the framework of the international monetary transmission mechanism. The model variables are suggested by a hybrid New Open Economy Macroeconomic (NOEM) model. Our empirical analysis indicates plausible...

China's trade surplus reached a record $102 billion in 2005 while the US trade deficit of $717 billion accounted for 5.8% of US Gross Domestic Product in the same year. US policy makers claim China's currency is undervalued about 25 to 35% against the US dollar and they blame China for holding...