Purpose – The purpose of this article is to analyse methods for determination of exchange rates in response to fundamental economic variables and changes in monetary policies. Design/methodology/approach – The paper undertakes empirical examination of exchange rate movements and their...

This paper derives the optimal monetary policy under discretion, taking into account that aggregate spending depends on the long‐term real interest rate rather than on the short‐term rate. It deduces optimal shock‐dependent strategies for the monetary instrument, the nominal interest rate...

Purpose – The purpose of this paper is to examine the nexus between interest rate changes and commodity spot prices. Design/methodology/approach – The cost‐of‐carry model of simultaneous equilibrium in commodity spot and futures prices is employed to gauge the effects induced by interest...

Uses logit, probit and discriminant analysis to test for structural differences between the financial characteristics of interest‐free banks and conventional banks. The analysis extends to various financial dimensions which evaluate performance, namely: liquidity, leverage, credit risk,...

Purpose – The purpose of this paper is to compare and contrast three‐factor models of boom and bust from Henry George, Knut Wicksell and Mason Gaffney. Design/methodology/approach – The approach takes the form of an analysis and discussion and mathematical appendix. Findings – It was...

Refers to previous research on the empirical testing of continuous time, two factor short rate interest models by Chan, Karolyi, Longstaff and Sanders (1992), Vasicek (1997) and Cox, Ingersoll and Ross (1985); and the Nowman (1997, 2000) Gaussian estimation approach. Applies these ideas to...

Outlines recent research on short term interest rate models and applies Baron‐Adesi et al’s (1999) Box method to value default free bonds and contingent claims. Uses Episcopo’s (1999) historical interbank estimates of the Chan, Karolyi, Longstaff and Sanders (1992) model for Australia,...

Criticizes previous research on price/earnings ratios (PER) for neglecting their historical links with interest rates and analyses the causal links between interest ratres and the PERs of the Toronto Stock Exchange 300 Index (TSE300) and of seven major Canadian industries 1965‐1997. Explains...

Analyses the structural behaviour of money and capital market interest rates 1999‐2001 in the European Monetary Union. Finds that the positive correlations between interest rates of different time periods get stronger as the time periods get closer, derives the principal components which...

The paper explores the implications for monetary policy from the greater integration of major capital markets since 1980 using long‐term interest rates. The empirical approach is the multivariate vector moving average GARCH model, which examines the nature of the spillover mechanism across...