We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for simultaneous feedback between the conditional mean and variance of inflation. We also derive a number of theoretical econometric results and illustrate the relevance of these results with...

Using a long series of UK inflation data, I have provided strong evidence in favour of the hypothesis that inflationary periods are associated with high inflation uncertainty. This result supports the Friedman-Ball hypothesis and has important implications for the inflation-output relationship...

The authors provide some evidence consistent with a heterogeneous credit channel of monetary policy transmission in the European Union. Using the techniques of cointegration and Error Correction Models, the authors have shown that the external finance premium is one important leading indicator...

We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression...

The authors 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 analyse the long-run and short-run relationship between merchandise export volume and its determinants, foreign income, relative prices and exchange rate variability, using the techniques of cointegration and error correction. The model was estimated for Irish exports and sectoral exports...

The authors test for saeasonal effects in stock market 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...

We argue that the interactions among the current account and budget balances and the real interest rate can provide more information about the effective degree of financial openness of an economy than simple saving-investment correlations. Cointegration tests reveal a variety of linkages between...

By employing the techniques of multivariate cointegration and error-correction models, we investigate the impact of the creation of the European Monetary System (EMS) on the exports of the four largest EU countries to each other. Our findings suggest that the impact of the EMS on bilateral...

We attempt to investigate whether the ERM period coincided with an increase in intra-Eu exports. We conclude that this has not been the case but it is likely that the elimination of nominal exchange rate variability arising from a single currency will boost intra-EU trade.