This paper tests the martingale hypothesis for daily data from the Deutschmark/US dollar futures and spot foreign exchange markets. Time-varying volatility of daily price changes is modelled as conditional heteroskedasticity which is a function of recent news or forecast errors, as in the ARCH...

This paper analyses the implications of simultaneous output, price and wage adjustment at finite rates. Firms use a Marshallian-type output adjustment which uses available information about notional magnitudes. With this adjustment structure, the Walrasian equilibrium is globally stable. This...

This paper uses input-output and census data from 1961, 1971 and 1981 to decompose the employment changes during each decade into several sources. Decompositions are performed at three levels of aggregation by occupation and by industry. The main influences on employment levels have been changes...

This paper proposes a simple framework for comparing alternative non-steady-state dynamic adjustments in response to structural shocks. The efficiency frontier model (EFM) provides a tractable solution method to mimic sequences of temporary general equilibria under various hypotheses about...

This paper examines the stability of coefficient estimates from weak-form and semi-strong form tests of efficiency in the 30-day forward exchange rate using Canadian/U.S. weekly and monthly data. The structural relationships are unstable and conclusions based on the full sample estimation can,...

This paper tests the martingale hypothesis for daily and weekly rates of change of futures prices for five currencies. Daily data suggests evidence against the null for each currency. Trading day effects in foreign currency futures and spot prices introduce complicated day of the week patterns...

This paper computes parametric estimates of a time-varying risk premium model and compares the one-step-ahead forecasts implied by that model with those given by a nonparametric kernel estimator of the conditional mean function. The conditioning information used for the nonparametric analysis is...