Real exchange rates and the pattern of trade: comparative dynamics for north and south

Article Abstract:

An analysis of cross-sectional implications for the time-series behavior of real exchange rates across different patterns of trade using a two-country model of imperfect competition is presented. Price-setters show less interaction in pricing decisions across national boundaries, permitting greater deviation and weaker mean-reversion in relative prices. On the other hand, greater price relationships between similar countries trading in similar products generate lower pass-through and less real exchange-rate persistence.

Models, International trade, Commerce, Monopolistic competition

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The unbiased forward rate hypothesis re-examined

Article Abstract:

An Error Correction Model (ECM) is derived to analyze the unbiased forward rate hypothesis (UBFH). The ECM is derived from the levels of specification based on the assumptions that spot and forward rates are cointegrated, first forward rate differences are stationary, and first order autocorrelation is possible. It is shown that testing the UFBH using the ECM derived from the original formulation provides the same results.

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An empirical investigation of asset pricing models using Japanese stock market data

Article Abstract:

The empirical performance of five asset-pricing models is tested using a framework that incorporates Euler equation-based generalized method of moments estimation, the Hansen-Jagannathan specification error test and the Hansen-Jagannathan volatility bounds test. Test results provide a sound representation of Japanese securities market data and empirically support the habit formation model.

Economics, Research and Development in the Social Sciences and Humanities, Research, Stock-exchange, Stock exchanges, Capital assets pricing model, Capital asset pricing model

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