The central objective of this paper is to empirically evaluate the degree of linkages among East Asian equity and bond markets. The primary contribution of our paper to the empirical literature is that we use a financial gravity model grounded in economic theory. Using data from the...

There is a considerable discrepancy between GDP estimates which should be equal to one another. A method of allocating this discrepancy is proposed to derive an accurate measure of GDP with applications to the US and Korean economies.

This paper develops a model for optimal capital investment in continuous time when both existing and new capital stocks are subject to uncertainty. The model is generalized to allow for large and infrequent changes in the dynamics of the capital stock, which may arise as a result of natural and...

Australian time series for the nominal interest rate, real output, the nominal exchange rate, prices and nominal money since 1973 are characterized by a vector autoregressive process driven by five exogenous disturbances. Those disturbances are identified so that they can be interpreted as the...

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks as permanent and transitory, and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a system...

This paper investigates the validity of technology shocks as a driving force of U.S. business cycle fluctuations. Using three well-known structural vector autoregression (SVAR) models, we analyze how structural shocks are associated with the variations of output and hours worked at business...

This paper considers structural models when both I(1) and I(0) variables are present. The structural shocks associated with either set of variables could be permanent or transitory. We therefore classify the shocks as (P1,P0) and (T1,T0), where P/T distinguishes permanent and transitory, while...

type="main" xml:id="ecor12096-abs-0001" <p>This study investigates the validity of technology shocks as a driving force of US business cycle fluctuations. Using three well-known structural vector autoregression (SVAR) models, we analyse how structural shocks are associated with the variations of...</p>