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1.
This paper examines the long-run relationship between short-term and long-term interest rates (both nominal and real) in 19
countries, and explores the possibility that the relationship is statistically stable using Lc, MeanF, and SupF statistics
suggested by Hansen [1992]. Empirical results obtained from various cointegration techniques (Johansen, Phillips and Hansen,
Stock and Watson, and Park) and quarterly data (1973–1998) show considerable support for the expectations hypothesis in all
countries (except the United Kingdom). In a majority of cases, it is also found that a stable relationship exists between
the short-term and long-term interest rates. 相似文献
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3.
In this paper we obtain and interpret estimates of the short- and long-run influence of exchange-rate volatility (or risk) on the volume of trade of two Pacific-Basin Countries, Australia and New Zealand, in the generalized floating exchange-rate period. For each country, a unique, theoretically consistent long-run function is estimated, as well as a short-run dynamic demand function that is formally superior to a number of previous estimates. 相似文献
4.
A. C. Arize 《International Trade Journal》2013,27(4):501-525
This article examines the demand for UK exports and is focused on five issues. It starts by examining the stochastic properties of the relevant time series. Special attention is paid to the model specification, its dynamic structure, and its temporal stability. In addition, the potential effect of exchange rate uncertainty on export demand is considered. The empirical results show that the determinants of the demand for UK exports are foreign economic activity, export price, foreign prices, and exchange rate uncertainty. The results further indicate that exchange rate uncertainty has a negative effect on exports and that the overall export demand equation requires the inclusion of such a variable in order to exhibit structural stability. Trade policy in the UK, therefore must take into account the response of export demand to changes in real exchange rate volatility. 相似文献
5.
ABSTRACTFor the first time in the body of literature, we consider bilateral trade balance models of the US with each of her 20 trading partners from Africa and try to assess the J-curve phenomenon. After applying the linear and nonlinear ARDL approaches, we find support for the J-curve effect in three partners from the linear models. However, support rises to eight partners when we shift to nonlinear models. Furthermore, we find short-run asymmetric effects of exchange rate changes in almost all models and significant long-run asymmetric effects in half of the partners. 相似文献
6.
Summary and Conclusion This paper reexamines the demand for money in Nigeria and finds the real income and the expected rate of inflation to be important
independent variables that explain over 80 percent of the variation in the real cash balance. The study shows that, in view
of the low per capita income of Nigerians, permanent income and measure income are largely the same.
An important finding of this study is that, because their price level is (in large part) exogenously determined, the monetary
authorities in Nigeria should be more desirous of following the constant growth rate rule. A very substantial part of the
country's export (that is, oil) is especially prone to inflationary pressures due to the ease with which international inflation
can be transmitted. Since the authorities can control money stock, this ‘rule’ is indicated from both the theoretical and
the empirical standpoint. 相似文献
7.
Augustine C. Arize John Malindretos Kiseok Nam 《International Review of Economics & Finance》2010,19(4):755-768
The purpose of this paper is to test the validity of the purchasing power parity (PPP) in Africa in the context of a multivariate error-correction model. This approach allows for the consideration of long-run elasticities as well as the dynamics of the short-run adjustment of exchange rates to changes in domestic and foreign prices. Monthly data for fourteen African countries are used, and the period examined is 1973:4 through 2007:7 (i.e., 412 observations). Results from long-run cointegration analysis, short-run error correction models, persistence profile analysis and variance decomposition all confirm the validity of PPP in these moderate-to-high inflation countries, where estimates of half-life deviations from PPP are found to be outside the range suggested by Rogoff (1996). 相似文献
8.
We suggest that an unexpected volatility shock is an important risk factor to induce the intertemporal relation, and the conflicting findings on the relation could be attributable to an omitting variable bias resulting from ignoring the effect of an unexpected volatility shock on the relation. With the effect of an unexpected volatility shock incorporated in estimation, we find a strong positive intertemporal relation for the US monthly excess returns for 1926:12–2008:12. We also find a significant link between the asymmetric mean-reversion and the intertemporal relation in that the quicker reversion of negative returns is attributed to the negative intertemporal relation under a prior negative return shock. 相似文献
9.
Recent empirical evidence indicates that the delay in the 2000 presidential election results impacted the stock market performance
in the United States. In the present study we examine the impact of the same delay on the performance of the Canadian and
Mexican stock markets. We find evidence indicating that both the Canadian and the Mexican stock markets were affected negatively
during the period. This study not only shows that the Mexican and Canadian stock markets are closely integrated with their
American counterparts but also indicates that the markets of these countries follow the U.S. presidential elections as closely
as U.S. markets do.
The authors thank the Department of Economics and Finance, Texas A&M University-Commerce, for financial support to purchase
some of the data used in the study. 相似文献
10.
This paper reviews and extends the existing literature on covered arbitrage, delineates the conditions for profitable arbitrage with the hedging instruments of forward and options contracts in the foreign exchange markets, and defines the maximum possible profits out of a given market environment. Next, the simple rules on speculation are articulated with and without transaction costs, and then we show how speculation can be covered with options and forwards. Finally, speculation is integrated with arbitrage and hedging, and further compounding of profit possibilities is illustrated. 相似文献