This paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyses the linkage of the two markets...

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step...

The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption surprises (i.e. the...

This paper provides some new evidence on the behaviour of cross-country growth rates. We reject the linear model commonly used to study cross-country growth behaviour in favour...

Sugarcane-based ethanol has become a primary automotive fuel in Brazil over the past 15 years. Because sugarcane costs are over two-thirds of the costs of ethanol production,...

It has recently been argued that when the conventional specification of M2 income velocity is extended to include proxies for two types of institutional change, as emphasized by...

Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution...

Using stratified microdata from the Canadian FAMEX (78-86) surveys, this paper investigates whether observed heterogeneity in marginal propensities to consume across strata...

A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape...

In this article we propose a simple and efficient method of estimating welfare measures in an n-equation system. We also estimate the variance of these measures. The accuracy...

This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is...

A univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and...

An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has...

In a recent paper, Majumder and Chakravarty (1990) propose a four-parameter model which they find provides a better fit to some income data than the lognormal, gamma,...

We propose a general strategy to estimate semi-parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various...

We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and...

This paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country...

The paper analyses the impact of persistence and volatility in the discount rate in present-value models on cointegration tests in levels and in logarithms. In simulations we...

This paper examines the vertical integration issue of the electricity industry. This industry is typically vertically integrated and heavily regulated. The paper investigates...

This paper considers the estimation of frontier production functions in panel data models. It proposes a multi-stage method to obtain estimates of (1) the parameters of a...