We consider the response of both nominal and real commodity prices on world markets to real and nominal shocks by hypothesizing that nominal shocks can permanently affect nominal commodity prices, but can have only temporary effects on real commodity prices. Real shocks, in contrast, can have...

Examining UK companies traded on the London Stock Exchange, the evidence reported in this note implies that prior to mid-1989 smaller companies consistently outperformed the market portfolio. Since then, however, the 'size effect' has disappeared.

Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the...