This paper investigates the semi-strong efficiency hypothesis in the international commodity markets of four industrialized countries, using vector autoregression (VAR) and cointegration techniques. Efficiency in these ...

Excess Returns in the EMS: Do "Weak" Currencies Still Exist after the Widening of the Fluctuation Bands? - The authors analyze the issue of how the different institutional arrangements within the ERM have affected the ...

Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in ...

In this article we show that sufficient conditions for the unit roots found in the AR representations of time series to persist in bivariate or trivariate VARs amount to long-run non-causality restrictions among the variables ...