Showing 171 - 180 of 220
Seasonal effects are tested for in stock returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995. Even though considerable evidence for seasonal effects applies in several countries, very...
Persistent link: https://www.econbiz.de/10009200864
We use a new test for cointegration that allows for structural breaks in the cointegrating relationship to test for bilateral interest rate convergence in the European Monetary System. Contrary to previous studies that employed standard cointegration tests, we find strong evidence for...
Persistent link: https://www.econbiz.de/10009206948
We use the techniques of cointegration and error correction models to estimate long-run and short-run export demand functions for Ireland using quarterly data for the 1979-93 period. We consider three determinants of exports: foreign income, relative prices, and exchange rate volatility. Our...
Persistent link: https://www.econbiz.de/10009207815
We use a residual-based cointegration test suggested by Gregory and Hansen that allows for the determination of a structural break in the cointegration vector to test for the sustainability of Greek fiscal deficits over the 1958-92 period. This relatively recent test leads to a different result...
Persistent link: https://www.econbiz.de/10009207973
This paper tests for the long-run and short-run relationship between prices and wages in the Irish economy over the 1975-92 period. Using recent econometric techniques in the analysis of time series, we conclude that there is a long-run equilibrium relationship between prices, wages and an...
Persistent link: https://www.econbiz.de/10009213338
This paper applies the recently developed cointegration techniques to test for a long-run equilibrium among real wages and the average productivity of labour as implied by profit maximisation in the Greek manufacturing sector. We find evidence for a profit-maximising equilibrium and for...
Persistent link: https://www.econbiz.de/10009220736
The issue of credibility and capital mobility in the EMS is re-examined using an alternative methodology, as well as a longer sample period than previous studies. In particular, the dynamic relationship between interest rate differentials and the exchange rate risk premium is emphasized. The...
Persistent link: https://www.econbiz.de/10009227662
We investigate the behaviour of real exchange rates of six East-Asian countries in relation to their two major trading partners-the United States and Japan. These countries, except, Singapore were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002...
Persistent link: https://www.econbiz.de/10009278619
We use over two hundred years of US inflation data to examine the impact of inflation uncertainty on inflation. An analysis of the full period without allowing for various regimes shows no impact of uncertainty on inflation. However, once we distinguish between recessions and non recessions, we...
Persistent link: https://www.econbiz.de/10009321052
We employ the econometric techniques of multivariate cointegration and error-correction models to investigate the impact of the creation of the European Monetary System (EMS) on the volume of intra-European Union (EU) exports for eight EU countries. We find that for Ireland the EMS boosted the...
Persistent link: https://www.econbiz.de/10009391975