Long-run relations among the G-5 and G-7 equity markets: evidence on the Plaza and Louvre accords
Article Abstract:
The relationships of international equity markets have been studied since their collapse in 1987 and 1989. Studies have shown that world equity markets are integrated. Their interdependence have been due to factors such as the elimination of barriers to capital flows, technological innovation and financial product innovations. The cointegration approach is used to study the impact of the Louvre and Plaza Accords on this growing interdependence of equity markets. Analysis of the G-5 and G-7 stock markets show their integration as evidenced by the presence of more cointegrating vectors.
Publication Name: Journal of Macroeconomics
Subject: Economics
ISSN: 0164-0704
Year: 1995
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Symmetry restrictions and the semblance of neutrality in exchange rate models
Article Abstract:
Symmetry restrictions have been found to present potentially serious empirical problems and are seen to represent strong assumptions. It is shown that standard symmetry restrictions are not needed for tractability in the two-country, sticky-price models. It is also shown that imposing symmetry restrictions on the Frankel, Hooper and Morton model has obscured its long-run properties. It has been found that the standard FHM model contains a degree of freedom which results in the non-neutrality of monetary policy in the long-run.
Publication Name: Journal of Macroeconomics
Subject: Economics
ISSN: 0164-0704
Year: 1995
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