This study examines the time series properties of inflation in order to emphasize the nature of the shocks to the process. In particular, we offer evidence that US inflation may be characterized by low frequency permanent shocks, as opposed to the high frequency permanent shocks that is commonly...

ABSTRACTThis paper extends the ‘remarkable property’ of Breusch (Journal of Econometrics 1987; <b>36</b>: 383–389) and Baltagi and Li (Journal of Econometrics 1992; <b>53</b>: 45–51) to the three‐way random components framework. Indeed, like its one‐way and two‐way counterparts, the three‐way random...

The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest, especially given the higher than expected volatility of returns. Allowing for nonlinearities, this paper tests competing hypotheses on the possible relationship between volatility...

There is a paucity of research evidence regarding the likely long-term economic consequences of firms' foreign tax credit (FTC) status on asset deployment between the United States and foreign locations. The existing literature primarily focuses on income, not asset, shifting with respect to FTC...