In this paper, the authors present evidence that neither large differences in inflation nor long time periods are necessary for a finding favorable to purchasing power parity. Evidence from cointegrating regressions and tests of the real exchange rate indicate that purchasing power parity held...

This paper investigates which events of World War II (WWII) the US investors (at that time) considered as turning points (structural breaks) of the war. The empirical study employs daily Dow Jones industrial average stock index and volatility from January 1939 to December 1945 and applies...

The present paper investigates the effects of the Asian currency crisis of 1997-1998 on the generalized PPP between several real exchange rates of the Far East countries. Monthly log of real exchange rates of the currencies of Thailand, Malaysia, Indonesia, the Philippines and South Korea...

The long-run demand for US real M1 in the post Second World War period (1954-96) is investigated. The empirical investigation is conducted by means of Johansen multivariate cointegration tests and error correction models. Results show that a stationary long-run M1 demand function is only found...

The stochastic structure of time-varying betas from 15 companies in the UK is investigated. Time-varying betas are estimated by means of the bivariate MA-GARCH model. The stochastic structure is investigated by means of two fractional integration tests, the Geweke and Porter-Hudak and the...