Purpose – To test the Feldstein‐Horioka hypothesis that the investment‐to‐output ratio moves one‐for‐one with the saving‐to‐output ratio, suggesting international capital mobility. Design/methodology/approach – The paper uses the econometric framework developed by Fisher and...

Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)‐type model to capture the time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH‐type models allow the conditional variance to...

Purpose – The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach – The paper uses the econometric framework developed by Elder in the context of a multivariate framework...

Purpose – The purpose of this paper is to revisit the evidence for purchasing power parity (PPP) using long, low‐frequency data (over 100 years) for 23 organization for economic co‐operation and development (OECD) countries against each of four different base currencies – the Deutsch...

This paper provides parametric estimates of technical change, efficiency change, economies of scale, and total factor productivity growth for large banks (those with assets in excess of $1 billion) in the United States, over the period from 2000 to 2005. This is done by estimating an output...

This paper is an up-to-date survey of the state-of-the-art in dynamical systems theory relevant to high levels of dynamical complexity, characterizing chaos and near chaos, as commonly found in the physical sciences. The paper also surveys applications in economics and �finance. This survey...

Key Features:The analytical tools provided in this book aid readers in developing a deeper understanding of monetary issuesThis is an ideal book for upper-level undergraduate and graduate students as well as a reference for researchers and professionals in economics and finance.

Intro -- Contents -- Foreword -- Part 1: Crude Oil Markets -- 1 Unit Root Behavior in Energy Futures Prices -- 1.1 Introduction -- 1.2 Data -- 1.3 Empirical Evidence -- 1.3.1 Autocorrelation Based Tests -- 1.3.2 Univariate Tests for Unit Roots -- 1.4 Conclusions -- 2 Rational Expectations, Risk,...

The most comprehensive textbook available on the money demand function and its role in modern macroeconomics, this book takes a microeconomic- and aggregation-theoretic approach to the topic and presents empirical evidence using state-of-the-art econometric methodology, while recognizing the...