Fama and French (1992) found that beta has little or no ability in explaining cross-sectional variation in stock returns, but those variables such as size and the book-to-market ratio do. Since the time of the original publication of the Fama and French findings, Controversy and intense debate...

Financial data are often assumed to be generated by diffusions. Using recent results of Fan et al. (J Am Stat Assoc, 102:618–631, 2007; J Financ Econometer, 5:321–357, 2007) and a multiple comparisons procedure created by Benjamini and Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we...

Purchasing Power Parity has most likely been one of the most investigated issues of the last decades within economic literature. The results from such studies are not consistent and not only important for policy makers and economists but also extremely important for policy implications in...

Purchasing Power Parity has most likely been one of the most investigated issues of the last decades within economic literature. The results from such studies are not consistent and not only important for policy makers and economists but also extremely important for policy implications in...

In this paper we present an overview of a number of issues relating to the equilibrium exchange rates of transition economies of the former soviet bloc. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss how...

The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivity levels are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore,...

The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more...

This study offers from the beginning a survey about the institutional construction in the pre- and post-adhesion stages to European Economic and Monetary Union, about the exchange rate mechanism applied by the different countries and about convergence criteria.

We propose that analysis of purchasing power parity (PPP) and the law of one price (LOOP) should explicitly take into account the possibility of ‘commodity points’ – thresholds delineating a region of no central tendency among relative prices, possibly due to lack of perfect arbitrage in...

In this Paper we present an overview of a number of issues relating to the equilibrium exchange rates of the new EU member states from Central and Eastern Europe. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss...