We perform non-linearity tests using daily data for leading currencies that include the Australian dollar, British pound, Brazilian real, Canadian dollar, euro, Japanese yen, Mexican peso, and the Swiss franc to resolve the issue of whether these currencies are driven by fundamentals or...

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas, hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and...

King, Plosser, Stock, and Watson (1991) evaluate the empirical relevance of a class of real business cycle models with permanent productivity shocks by analyzing the stochastic trend properties of postwar U.S. macroeconomic data. They fiÂ…nd a common stochastic trend in a three variable...

In this paper, we use recent advances in the financial econometrics literature to model the time-varying conditional variance in five energy markets – crude oil, gasoline, heating oil, propane, and natural gas – using daily data over the period from January 3, 1994 to September 23, 2008. We...

The current mainstream approach to monetary policy is based on the New Keynesian model and is expressed in terms of a short-term nominal interest, such as the federal funds rate in the United States. It ignores the role of leverage and also downplays the role of money in basic monetary theory...

Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)-type model to capture the time-varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH-type models allow the conditional variance to depend on...

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and...