Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality....

A DSGE–VAR approach was adopted to examine the managed exchange-rate system at work in Singapore and to ask if the country had any reason to fear floating the exchange rate and adopting a Taylor rule. The results showed that, in terms of overall inflation volatility, the exchange rate rule had...

This paper explores the following question - Has there been any long-run increase (or decrease) in the ‘incidence’ of long-term unemployment once we have corrected for cyclical factors? Our research leads us to conclude that: (i) the incidence of male long-term unemployment has been neither...

Stock exchanges have a diversity of so-called business groups and much evidence has been presented by covariance matrix analysis (Laloux et al. (1999) [6], Plerou et al. (2002) [7], Plerou et al. (1999) [8], Mantegna (1999) [9], Utsugi et al. (2004) [21] and Lim et al. (2009) [26]). A...

This paper compares alternative estimates of systemic time-varying excess returns for the Irish pound and the Spanish peseta, against the German mark, since 1985. We make use of progressively more complex models, going from the GARCH in Mean specification, to the International Capital Asset...

In this paper we look at the way in which the Australian Bureau of Statistics (ABS) derives gross flows data from successive Labour Force Surveys. The procedure used by the ABS is described and a measure of the ‘matching rate’ obtained. We develop a simple theoretical model designed to...