The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular attention is devoted to interpreting convergence empirics. The main findings...

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

This study examines the relation between the risk premium and central bank intervention. Forward rates are calculated for the Turkish Lira-USD exchange market and then the effect of central bank intervention on the risk premium is estimated. Using high quality daily intervention data from the...

Foreign exchange rate interventions of the central banks for the emerging market economies are studied only to a limited extent. However, due to the different characteristics of these economies, especially in terms of the exchange rate dynamics, such an analysis can reveal important information....

This study has two purposes. First, it attempts to improve the literature on foreign exchange interventions of the central banks for the emerging market economies, which have not been studied in details. The Turkish economy in the post-crisis period constitutes a good example in this context....

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to...

This study uses a newly developed bubble detection method (Phillips, Shi and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market,including one in 1995, a...

This article addresses the issue of testing for asymmetry of the marginal law of weakly dependent processes. A modified quantile-based symmetry test is considered. The test has an intuitive interpretation, it is easy and fast to calculate, follows a standard limiting distribution, and much...

This paper calculates Value at Risk under under a GARCH framework for returns, without assuming a given probability distribution for errors of GARCH process. The procedure is given and its accuracy is checked. The bootstrap method is proposed to study the finite sample properties of estimate....