In this paper we analyze macroeconomic effects of inflation targeting policy in New Zealand using Markov switching model with one time permanent break. Our results show that the inflation targeting policy has significantly changed the inflation dynamics in the New Zealand economy. The Markov...

Conventional wisdom holds that stocks are riskier than bonds; thus when the stock market becomes volatile, money flows from the stock market into the perceived safe haven of the bond market. In this article, we find that this notion is not necessarily accurate and might lead people to make...

We study the effects of expected and unexpected inflation on real stock returns for France, Germany, Italy and the UK. We find evidence that unexpected inflation affects stock returns in France, Italy and the UK, but that expected inflation does not. Unexpected interest rates also affect real...

Previous literature on the stability of the US money demand function suggests mixed results. In this article, we study the stability of the money demand function from the standpoint of structural changes in the function. We first investigate if a stable money demand function can be found for the...

"In this paper, we investigate the sources of the decline in U.S. output volatility. We estimate structural vector autoregression models before and after the structural break date of the first quarter of 1984. We find that the magnitude of both supply and demand shocks in the pre-1984 period is...

An increasing number of investors are including futures-based commodity index funds in their portfolios. The argument is that these funds increase diversification, enhance returns and serve as an inflation hedge. Much of the recent literature served to reinforce these ideas. We update the...

This article extends the research on the improvements to the efficient portfolio frontier in globally diversified portfolios. We examine efficient frontiers of regional equity portfolios from developed and undeveloped countries. We show that a globally diversified portfolio has higher reward...

The relationship between eleven emerging stock markets and the U.S. stock market is examined. The beta for each market is estimated under a GARCH model designed to account for time-varying and exchange rate volatility. Entire period as well as pre- and post-liberalization sub-period models are...

The meltdown hypothesis predicts a large fall in stock prices when baby boomers cash in their equity holdings to fund their retirement. Using an estimated vector autoregression model this paper finds empirical evidence that retiring baby boomers will induce a drag on the stock market, but most...

In his Nobel Laureate lecture Engle notes that asymmetric volatility has a significant impact on risk. In this article equity market volatility is estimated using an asymmetric power-GARCH model which nests many other popular models. We estimate the magnitude of asymmetric volatility for several...