Do Gold Market Returns Have Long Memory?

This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short-term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found.     

Testing for output convergence: a re-examination

This paper investigates output convergence for the G7 countriesusing panel time-series techniques. We consider both the nullhypotheses of no convergence and convergence. It is shown thatinferences on output convergence depend on which one of thetwo null hypotheses is considered. Further, the no convergenceresults reported in previous studies using the time-series definitionmay be attributed to the low power of the test procedures beingused. Our results also highlight some potential problems oninterpreting results from some typical panel unit root and stationaritytests.     

A Cross-Country Empirical Analysis of International Reserves

Using data from more than 100 economies for the period of 1975 to 2005, we conduct an extensive empirical analysis of the determinants of international reserve holdings. Four groups of determinants, namely, traditional macro variables, financial variables, institutional variables, and dummy variables that control for individual economies’ characteristics are considered. We find that the relationship between international reserves and their determinants is significantly different between developed and developing economies and is not stable over time. The estimation results indicate that, especially during the recent period, a developed economy tends to hold a lower level of international reserves than a developing one. Furthermore, there is only limited evidence that East Asian economies including China and Japan are accumulating an excessive amount of international reserves.     

A Tale of Two Surplus Countries: China and Germany

Open Economies Review - We analyze current account imbalances through the lens of the two largest surplus countries; China and Germany. We observe two striking patterns visible since the 2007/8...     

AN ANALYSIS OF HONG KONG EXPORT PERFORMANCE

Abstract.  The study models the Hong Kong domestic exports and re-exports, compares the performance of exports to the rest of the world, the USA and Japan, and uses destination-and-export-type specific unit value indexes to construct real exchange rates. In general, Hong Kong exports display mean-reverting dynamics, are positively influenced by foreign income and are adversely affected by high value of its currency. The lagged export variable, foreign income, and real exchange rate provide most of the explanatory power. Other variables explain marginally the variability of Hong Kong exports.     

PRACTITIONERS CORNER: Lag Order and Critical Values of a Modified Dickey-Fuller Test

ABSTRACTS This study examines some finite-sample properties of a new modified Dickey-Fuller test, called the DF-GLS test, which has been shown to be more powerful than standard unit-root tests. The study shows the lag order can significantly affect the critical values of the test. This points to the importance of correcting for the lag order effect in implementing the DF-GLS test. Approximate lag-adjusted finite-sample critical values for the DF-GLS test are provided, which can be straightforwardly computed from response surface equations.     

Accumulation of reserves and keeping up with the Joneses: The case of LATAM economies

In this paper we explore the ‘Mrs. Machlup's Wardrobe’ hypothesis to understand the growing trend of Latin American economies amassing large stocks of international reserves. Using annual data from 1980 to 2007, we examine the relevance of the argument that economies continue to add to their existing reserves stock in order to keep up with the Joneses. We find strong evidence of presence of the Joneses effect. The effect is robust to the inclusion of traditional determinants of reserve accumulation as well as region specific factors including commodity exports that set the Latin American economies apart from other emerging economies.