The purpose of this work is to investigate the efficiency of the current Euro spot and current forward exchange rates. Within the past three decades there have been large movements in the exchange rate markets and often these movements were not related with the changes in the “fundamentals”...

This paper develops a model of interlinkage in the credit market and labor market. A credit-cum-labor contract provides the necessary funds to undertake an investment in migration, given the absence of sufficient collateral. The optimal interlinked contract eliminates the scope for strategic...

A macro model is developed incorporating the productive effects of public expenditure, but also allowing for congestion. The Pigouvian tax rate to correct for the distortion caused by congestion is found and the optimal level of public expenditure is characterized.

The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response...

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell...

Vector autoregressions (VARs) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a...

This paper examines the relationship between monetary policy and asset prices in the context of empirical policy rules. We begin our analysis by establishing the forecasting ability of house and stock price changes with respect to future aggregate demand. We then report estimates of monetary...

This paper considers migration as an investment decision. It develops a continuoustime stochastic model to explain the optimal timing of migration, in the presence of ongoing uncertainty over wage differentials. The results show that individuals prefer to wait before migrating, even if the...

The paper aims to identify one of the communication techniques which creative designers may use in the Annual Review/Annual Report and Accounts, described by Hopwood (1996) as a ‘largely unresearched document’. It offers a new dimension to add to existing work on graphs, accounting...