The thesis consists of three chapters of self-contained empirical studies. In Chapter 1, we examine long-run and short-run dynamics of US real trade balance with Canada. In addition to the linear error-correction model, the Markov-switching error-correction model is employed, using quarterly...

Investors who are more willing to accept risks when evaluating their investments less frequently are said to exhibit myopic loss aversion (MLA). Several recent experimental studies found that, on average, subjects bet significantly higher amounts on a risky lottery when they observe only a...

This thesis examines whether two well documented financial market anomalies - the "Mehra & Prescott puzzles" and the dividend controversy - can be resolved by allowing for the effects of uninsurable risks. The dissertation contains an extensive review of the theory of consumption based asset...

The first paper, "Interest rate pass-through and financial crises: do switching regimes matter? The case of Argentina", analyses the dynamic relationship between a money market (interbank) rate and different short-term lending rates by measuring their passthrough. Neither linear single-equation...

In the early 70's, Harrison and Stevens made a major contribution to the area of statistical forecasting. They adopted a Bayesian approach in conjunction with a fundamental model, first used by Kalman and called the Dynamic Linear Model (DLM). This thesis is concerned with the investigation of...

This thesis attempts to focus on several 'unresolved' issues that exist in the field of open-economy macroeconomics. 41 Chapter 2 examines the implications of1currency substitution, (CS) for the behaviour of a small open economy, subsequent to an unanticipated contraction in the domestic money...

The thesis aims to explain the determination of employment at the industry level - in particular, the S.I.C. Orders of the U.K. engineering industry. The traditional demand-orientated approach is examined theoretically and empirically. Many developments are made to the models, but implausible...

It is well known that the market price of options are inconsistent with option pricing models that assume the innovation of the underlying price follows Geometric Brownian Motion. What is not clear is why this occurs. The testing of option pricing models requires a joint hypothesis to be tested...

Theoretical models of the exchange rate are developed where information on the model is not fully available to agents. It is an application of Benjamin Friedman's (1979) theme that full rational expectations may be a possibility only in the long-run, even for completely rational individuals. The...

This thesis re-examines the relationship between finance and growth. Most previous studies that have dealt with different aspects of this relationship show that a well-developed financial system is important for economic growth. However, instead of concentrating on the aggregated perspectives of...