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Excess returns in the EMS: Do "weak" currencies still exist after the widening of the fluctuation bands?
(1995)
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 ...
Unit roots and long-run causality: Investigating the relationship between output, money and interest rates
(1998)
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 ...
Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns
(1998)
This paper analyzes exchange rate returns for five currencies (Danish krone, Dutch guilder, French franc, Swiss franc, and U.S. dollar). As in Caporale and Pittis (1994), and unlike most of the empirical literature on ...
Are bureaucrats efficient? An application to the provision of AFDC
(1996)
The question on how bureaucrats behave in the provision of a public service has been the subject of a considerable amount of research, most of which has been largely theoretical and inconclusive, especially on the issue ...
Unit roots and Granger causality in the EMS interest rates: The German Dominance Hypothesis revisited
(1999)
The aim of this paper is twofold: First, it shows that: (a) sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved. ...
Exchange risk in the EMS: some evidence based on a GARCH model
(1995)
The paper attempts to detect any changes in the exchange risk as measured by the conditional variance of exchange rate changes before and after foundation of the EMS. The analysis is based on estimation of an econometric ...