This paper examines two stylized regularities in currency futures traded on the International Monetary Market. Short horizon returns (weekly and monthly) sampled over the period 1984-1994 exhibit significantly positive autocorrelations at moderate lags. The pattern of autocorrelations in returns...

In this paper we develop a model of the banking firm that enables us to test for portfolio separation. Our theoretical model generalizes existing intertemporal adjustment-cost models by assuming that these costs coexist simultaneously on both sides of the bank's balance sheet. The optimal...

We investigate the association between real estate investment by US Bank Holding Companies (BHCs) and their return, risk and risk-adjusted returns. Three portfolios are formed of BHCs according to whether they do or do not invest in real estate, strictness of the regulation on real estate...

The purpose of this paper is to apply pair-wise and multiple-alternative nonnested tests to the choice of the scale variable in the money demand functions of Japan and Germany. Findings based on the multiple-alternative procedure indicate that domestic absorption (income minus net exports) is...

In this paper a model of depository firm behavior is developed in which the depository institution acts as a multiple product producer. The multi-product model is an application of the general theory of value to the particular case of depository firms. It generalizes the theory of bank behavior...

The choice of the scale variable in the money demand function is important because of its striking implications on the magnitude and direction of the domestic monetary and fiscal policy effects and effectiveness of international policy coordination. In this study several tests are applied to the...

This paper investigates the interdependence and dynamic linkages between the emerging capital market of Sri Lanka and the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the vector autoregression (VAR) technique. No significant...

The purpose of this paper is to develop a model of bank production and costs which removes the aforesaid deficiencies. In particular: a) in this model the neoclassical theory of the firm is applied to banks as a particular case, b) the non-intermediary portion of banking activity, namely the...

The purpose of this paper are twofold: first, to apply a Box-Cox model to the UK money demand relationship within an open economy framework in order to empirically investigate the proper functional form supported by the data in this general setting. Secondly, to test for the proper scale...

In this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption capital asset pricing (CCAPM) theories in describing the U.S. stock market. The procedures employed include the N-test, the NT-test, the W-test, the J-test, and the Encompassing...