On the Fisher effect
A study has been conducted to investigate the presence of the Fisherian link between inflation and short-term nominal interest rates using post-war quarterly data for 11 countries, namely, Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Japan, the Netherlands, UK and US. The inquiry was done using the nonstructural bivariate autoregressive methodology, taking into account the possible integration and cointegration properties of the variables since meaningful Fischer effect tests depend heavily on these properties. The study has led to the conclusion that the gathered data rejected the Fisher effect.
Publication Name: Journal of Monetary Economics
Breaking trend functions in real exchange rates: evidence from seventeen OECD countries
The cointegration relationship between relative prices and nominal exchange rate of seventeen OECD member nations was tested through validation of the unit root hypothesis. The unit root hypothesis, which is based on real exchange rates of dollar and Deutsche mark, showed validation strength eventhough allowance was made based on the possibility that change will ensue on the mean of the series. On the other hand, the null hypothesis regarding purchasing power parity's relation with bilateral intercountry showed signs of weakness when ratio test was used.
Publication Name: Journal of Macroeconomics
Martingales, nonlinearity, and chaos
Literature regarding the efficient markets hypothesis and chaos is examined.
Publication Name: Journal of Economic Dynamics & Control
- Abstracts: Unemployment and the social safety net during transitions to a market economy: evidence from the Czech and Slovak Republics
- Abstracts: Persistence in foreign exchange rates. Some international evidence on the stochastic behavior of interest rates
- Abstracts: The Literature on Capital Controls. Exchange Rates and Fundamentals in the Short and Long Runs
- Abstracts: Risk-sharing institutions for unpredictable losses. Institutions and preferences: an evolutionary perspective
- Abstracts: On the role of seasonal intercepts in seasonal cointegration. Cointegration testing under structural breaks: a robust extended error correction model