D. Corbae and S. Ouliaris (1991) examined Australia's long-run real exchange rate and concluded that, because the data follow a random walk, purchasing power parity does not hold as a long-run equilibrium relation. The authors reexamine their data by calculating nonparametric measures of...

This paper tests a version of R. J. Barro's tax smoothing hypothesis using Australian data for the period 1964-65 to 1994-95. The model assumes intertemporal optimization by a government seeking to minimize the distortionary effects of tax collection. The model predicts that the budget surplus...

This paper looks at the interaction between public and private consumption in Australia. The results show that there is a long-run equilibrium relation between private and public consumption. However, the nature of this relation changed during the 1980s from one of complementarity to one of...

Large increases in the private sector's savings ratio, during a period of rapid growth in the relative size of the public sector, has led to the suggestion that substitution between private and public consumption may be an important feature of the Australian economy (Clements [1979]). In this...

This paper applies the Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) to investigate the dynamics of deviations from Uncovered Interest Parity (UIP) for Malaysia for the sample period 1978-2002. In particular, the deviations (or the risk premium) are modelled as a time series...

The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and asymmetry in the measure of country risk....

Evidence suggests that short-term interest rate volatility peaks with the level of short rates, while equity volatility responds asymmetrically to positive and negative shocks. We present an LM based test that distinguishes between level effects and asymmetry in volatility which is robust to the...

This paper investigates the relationship between output volatility and growth using postwar real GDP data for the United States. We expand on recent research bydocumenting the asymmetric effect of recessions on output growth. The results presented in this paper suggest that output volatility is...