In this study we use tiem-series data to examine the persistence of Japanese trade balance surplus and the existence of a J-curve effect for the period 1975 (I)-1990(I). We extend the earlier studies by applying the Shiller lag model to the first differences of the variables that are subject to...

This paper examines the J-curve hypothesis for US agricultural and manufactured goods, using the Shiller lag model. The results support the J-curve effect for agricultural goods, but not for manufactured goods. These findings explain why many studies in the literature fail to support the J-curve...

Although theoretical discussion of Factor Price Equalization (FPE) theorem has been quite prolific in the international economics literature, empirical tests of the FPE theorem have been very limited and inadequately performed. In this paper, we use Johansen's multivariate cointegration testing...

This letter re-examines the role of commercial loans versus demand deposits in the monetary transmission mechanism using short-run and long-run sequential causality testing procedures designed by Toda and Phillips. Empirical results support the credit view that bank loans are as good a predictor...

This paper examines if the law of one price holds under different exchange rate regimes and if a simultaneous relationship exists among prices of different countries. The findings show that prices in industrial countries are related, as suggested by the monetary approach. Confirming the law of...

A time series measure of expectations is used to demonstrate the existence of an inverse relationship between inflation and real stock prices, even after controlling for output shocks. This provides some evidence against Fama's famous conjecture (Fama, E., 1981, Stock returns, real activity,...

This paper attempts to reconcile the differences in previous studies of the tests of foreign exchange market efficiency. The results show that the market efficiency tests depend on the choice of model between the level and the percentage change specifications. Cointegration testing results and...