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...

Research has generally failed to find reliable connections between official exchange-market interventions and exchange rates that are consistent with either a monetary or a portfolio-balance theory of exchange-rate determination. Recently economists have suggested that intervention might...

Several previous studies have found fractionally integrated, or long memory behavior, in the conditional mean of inflation. This paper notes that extremely similar phenomena are also apparent in the squared and absolute values of residuals from fractionally filtered inflation series. Hence, the...

Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its...