Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency intra day commodity futures returns and...

The volatility of daily futures returns for six important commodities are found to be well described as FIGARCH, fractionally integrated processes, whereas the mean returns exhibit very small departures from the martingale difference property. Several years of high frequency intraday commodity...

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark - US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns...

The main objective of the study is to provide a theoretical analysis of optimal monetary policy in a small open economy where households set real wage in a staggered fashion. The introduction of real wage rigidities plays a important role to resolve main shortcomings of the standard new...

In this paper, we incorporate key ingredients of a small open economy into the New Keynesian model with unemployment of Gali (2011a,b) to discuss the design of the monetary policy. The main findings regarding the issue of monetary policy design can be summarized as threefold. First, the optimal...

The rational expectations model of the term structure is applied to the forward premium on foreign exchange. The model has been previously considered by Hakkio (1981) as a test of a form of market efficiency. Rejection of the model can be due to a failure of the rational expectations hypothesis...