This paper analyses the transmission of productivity shocks across countries and how the responses of investment and the current account differ depending on the degree of propagation of the shocks. We explore both issues by estimating a structural model for Japan, the United States and Europe....

Whilst point estimates for mean reversion in real exchange rates suggest reasonable (but long) half lives to shocks, it still remains uncomfortable that models without any mean reversion at all are often compatible with individual country pair data from the floating period. Studies with data...

In situations where theory specifies a potential cointegrating vector amongst integrated variables, it is often required that one test for a unit root in the constructed cointegrating vector. Although it is common to simply employ a univariate test for a unit root for this test, it is known that...

This paper examines the efficiency of the forward yan/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...

This chapter examines the problems of dealing with trending type data when there is uncertainty over whether or not we really have unit roots in the data. This uncertainty is practical - for many macroeconomic and financial variables theory does not imply a unit root in the data however unit...

The methodology for the testing of bubbles in asset prices has recently been applied to testing the sustainability of government debt accumulation. In particular, Hamilton and Flavin (1986) and MacDonald and Speight (1987) use the methodology developed by Flood and Garber (1980) in an attempt to...

This paper investigates the efficiency of Australian options markets using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed option prices should be efficient...

This article suggests the use of simple minimum-distance methods to estimate restricted cointegrating vectors. The method directly employs minimum-distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters that are linearly or nonlinearly...

This paper identifies two major sets of issues which have been raised in the study of financial futures markets outside Australia. The first concerns the hypothesis of market efficiency, which asserts that futures prices fully reflect available information about subsequent prices in the physical...