estimation of the structure and elasticities of mexican imports in the period 1961 1979 abstract this paper examines the changing structure of mexican imports over the period 1961 1979 and its relationship to the acceleration of imports in 1978 1979 it is found that the more lenient policies adopted by the government in that period seem to be associated with the higher import levels a review of mexican policy with respect to foreign trade in 1980 seems to be consistent with the results reported in this paper

the supply response of aggregate agricultural output in jamaica abstract a dominant theme in the development literature is that individual agricultural products responds to price incentives not because of shifts between products but that total agricultural output is not responsive to price the econometric evidence for jamaica shows that this presumption is not valid the paper begins by reviewing the growth experience of the jamaican economy it then analyzes the trends in agricultural production the remainder of the paper provides the econometric estimates of broad agricultural output to price the empirical evidence shows that aggregate agricultural output is responsive to price but it will take time for agricultural production to materialize a summary of the published estimates of the supply response for individual crops is also presented

the interrelations of finance and economics theoretical perspectives it is traditional in a discussion piece to organize the material in one of two ways the writer can either take a historical perspective and attempt to explain how it is we got where we are today and where we are likely to go from here or the writer can describe the current state of the art dwelling on particular points of interest or promise in the prevailing research having quite recently done both i thought i would take a somewhat different approach i would like to try to briefly describe the main characteristics of a neoclassical theory of finance that captures the essential themes of modern finance and relate these characteristics to the general themes of economics finance uses the modeling framework constructed in economics but within this scaffolding finance has taken a different methodological perspective it is wrong to characterize finance or financial economics to be formal as simply another of the specialty areas of economics not unlike for example labor economics or development economics or public finance while finance is specialized in its focus on the financial markets the differences between economics and finance only begin there the principal distinction is one of methodology rather than of focus if labor markets behaved like financial markets the theories of finance would be used to study them indeed the line where financial theoretic analysis leaves off and more conventional patterns of economic reasoning begin is an active research issue

comovements in national stock market returns evidence of predictability but not cointegration abstract this paper is a response to the literature that tests for cointegration between national stock market indices it argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic rather than small sample critical values in fact economic theory suggests that cointegration is unlikely to be observed in efficient markets however this paper finds evidence for the predictability of relative returns and the existence of a winner loser effect across 16 national equity markets a conclusion is that national stock market indices include a common world component and two country specific components one permanent and one transitory

international stock market efficiency a non bayesian time varying model approach this article develops a non bayesian methodology to analyse the time varying structure of international linkages and market efficiency in g7 countries we consider a non bayesian time varying vector autoregressive tv var model and apply it to estimate the joint degree of market efficiency in the sense of fama 1970 1991 our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system

the economic and organizational basis of early united states strikes 1900 1948 this paper examines the question of whether economic factors played an important role in determining strike activity in the united states in the first half of the twentieth century a review of recent research shows one author david snyder concluding that economic factors mattered little during that period and that union organization and political variables explained much more and another p k edwards concluding the opposite a retest of these authors analyses employing ordinary least squares regression and a variety of measures suggests that snyder s position is more sound this author argues however that edwards was correct in claiming that economic factors are major determinants of the extent of unionism as well as of strike activity and thus one needs to apply a two stage least squares test of the snyder hypothesis when that is done the results show that economic variables are highly significant determinants of strike activity throughout the pre 1949 period but for the subperiod 1921 29

the determinants of import demand in trinidad and tobago 1967 84 1988 the determinants of import demand in trinidad and tobago 1967 84 applied economics vol 20 no 3 pp 303 313

foreign exchange market efficiency and cointegration in this note we examine an implication of the cointegration literature for the efficiency of foreign exchange markets in particular if foreign exchange markets are efficient then two spot exchange rates cannot be cointegrated this proposition is tested for 10 dollar bilateral exchange rates over the period january 1973 december 1985

cointegration and market efficiency abstract recently many economists have asserted that asset prices determined in efficient asset markets cannot be cointegrated we show that there is no general equivalence between the existence of arbitrage opportunities and cointegration or for that matter a lack of cointegration whether asset prices are cointegrated is a function of the relevant model we first show a convenient way to calculate the cointegrating vector based on necessary and sufficient conditions for cointegration we then examine particular cases including exchange rates interest rates and spot and forward exchange rates and asset prices with incoem flows reinvested and not reinvested jel f31

was it real the exchange rate interest differential relation over the modern floating rate period in this paper we explore the relationship between real exchange rates and real interest rate differentials in the united states germany japan and the united kingdom contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary disturbances are predominant we find little evidence of a stable relationship between real interest rates and real exchange rates we consider both in sample and out of sample tests one hypothesis that is consistent with our findings is that real disturbances such as productivity shocks may be a major source of exchange rate volatility this paper investigates the empirical relationship between major currency real exchange rates and real interest rates over the modern post march 1973 flexible rate experience the exchange rates examined here include the dollar mark dollar yen and dollar pound rates our two major findings are as follows first the data do not indicate a strong correspondence between real interest rate differentials short term or long term and real exchange rates this finding appears to conflict with the predictions of most monetary and portfolio balance models of exchange rate determination though the conflict can be substantially reconciled if aggregate disturbances are primarily real in nature i e changes in productivity tastes etc it is true that in many cases the sign of the estimated exchange rate interest rate differential relationship is consistent with the possible predominance of financial market disturbances but the relationship is not stable enough to be statistically significant second although one does find some evidence of a unit root in both real exchange rates and long term but not shortterm real interest differentials these two series do not appear to be linearly cointegrated hence the nonstationarity or near nonstationarity in the two series cannot be attributed to the same factor in section i we briefly describe a class of small scale monetary models of exchange rate determination the importance of this class of models for empirical work derives from its strong predictions about how the exchange rate will move

market efficiency and cointegration an application to the sterling and deutschemark exchange markets abstract the assumption that the foreign exchange market is efficient that is that agents are risk neutral and use all available information rationally so that the forward exchange rate is an unbiased predictor of the future spot rate is a property often imposed in theoretical international macroeconomic models although a vast empirical literature has evolved to test market efficiency we use recent developments in the theory of cointegration to provide new methods of testing several aspects of foreign exchange market efficiency we ffind evidence inconsistent with market efficiency for both germany and the united kingdom

devaluation and the balance of payments adjustment in a developing economy an analysis relating to jamaica 1954 72 jamaica is a small open and structurally dependent export propelled country the island spans an area of 4411 square miles and has a population of nearly 2 million measured at 1965 prices the gross domestic product gdp increased from 297m j in 1954 to 912m j in 1972 or grew at an average rate of around 5 per annum 1 unemployment averaged around 20 and is increasing explosively exports are concentrated in three commodities bauxite alumina sugar and bananas together these three commodities averaged 76 of total commodity exports between 1954 and 1972 tourism is the second largest earner of foreign exchange increasing from 11 4m in 1954 to 107 9m in 1972 on the other hand the economy is heavily dependent on imports for capital goods raw materials fuels and intermediate goods for its import substitution and industrialization programmes also consumer goods to complement domestic supply or in some cases to meet the entire requirement of domestic demand for the period 1954 72 the im

cointegration based tests of daily foreign exchange market efficiency abstract an immediate implication of cointegration is the existence of granger causal orderings among cointegrated series this implies that asset prices determined in a weakly efficient market cannot be cointegrated this proposition is tested using daily data for 18 foreign currencies tests are conducted for both pairwise combinations of currencies and higher order systems no significant evidence of cointegration among exchange rates is found

bargaining theory inflation and cyclical strike activity in manufacturing this paper presents a theoretical and empirical analysis of cyclical movements in strike activity the first part of the paper develops a bargaining model that demonstrates the crucial role of limi

tests of exchange market efficiency fragile evidence from cointegration tests abstract several recent papers have employed engle and granger 1987 cointegration tests to determine whether or not markets are efficient we use a new test for cointegration due to johansen 1988 to examine market efficiency with respect to the us dollar exchange rates for canadian japanese and west german currencies the fragile nature of the test indications suggests that cointegration methodologies cannot be relied upon to provide reliable evidence on market efficiency

foreign exchange reserves and import demand evidence from latin america this paper investigates the impact of foreign reserves domestic real income and relative import prices on import demand for seven latin american countries we differentiate empirically between the short run and long run impact of reserves income and prices on imports the paper has three main results first we show that there exists a unique long run relationship among real imports real income relative import prices and real foreign exchange reserves for all seven countries second we find that increases in foreign exchange reserves exert a significant positive effect on import demand in both the long run and the short run in all countries however the economic impact of foreign exchange reserves is rather small finally we find that the long and short run impact of real domestic income on import demand is positive as well while the effect of relative prices is negative

long run dynamics of black and official exchange rates abstract this paper examines the relationships among black and official foreign exchange rates its primary purpose is to investigate the way in which black and official markets process information application of cointegration tests to the turkish markets for us dollars and west german marks in the mid 1980s indicates that the two black markets are efficient information processors for the black and official markets of each currency evidence is found suggesting the possibility of overshooting by the black exchange rate this inefficiency may not be able to be arbitraged away because of restrictions on capital flows through official channels

incomes policies inflation and strikes in nigeria 1950 1985 an empirical investigation the effects of incomes policies and inflation on the incidence of strikes in nigeria for the 1950 1985 period are examined studies have analysed extensively the determinants of strike activity in developed countries however relatively little empirical analysis of strike determinants in less developed countries exists an attempt is made to fill this gap by including key economic organizational and institutional variables into a model that is capable of predicting the variations in strikes in nigeria a developing country with a growing unionized sector the estimated results of the model show that strikes in nigeria are positively influenced by the level of inflation the level of union membership incomes policies and time trend

testing the hypothesis of market efficiency in the taiwan us forward exchange market since 1990 this article examines the applicability of the hypothesis of market efficiency in taiwan s foreign exchange market using daily data instead of linear regression based models we consider the possibility that the true data generating process may come from two different distributions and we employ the markov switching approach to analyse this from the results of the two state markov switching model we define state 1 as the efficient state and state 2 as the inefficient one only the 30 day forward rate is able to differentiate between the two states based on the unconditional probabilities from the markov switching model we also find that the 30 day forward rate has a 70 probability in the efficient state which indicates that 70 of all speculators fully extract information when predicting future spot rates while 30 of all investors do not

some estimates of the price and income elasticities of import demand for three caribbean countries this paper provides estimates of the short run and long run price and income elasticities of import demand for three developing economics the econometric evidence confirms that devaluation is an appropriate policy to correct for balance of payments disequilibrium in the caribbean and it supports the imf stabilization approach

cointegration and stock prices the random walk on wall street revisited abstract one of the more famous and empirically regular instances of unit roots occurs in stock price series where they are consistent with rational expectations and efficient markets under certain assumptions in this paper we investigate the dynamic behavior of five stock prices over the volatile period from january 1972 through december 1979 finding that the series are cointegrated with one dominant common trend a component with an estimated root of 0 95 in addition we find a lesser trend and two complex roots in the cycle model these findings are validated by out of sample forecasts beginning in january 1980 in addition to mean squared error criteria the forecasts are evaluated nonparametrically in two separate applications of a test due to henriksson and merton

the determinants of strikes in the united states 1900 1977 this study aims to assess the recent debate that has emerged in the literature over the economic and organizational political models of strikes and to propose and test a synthesis of those models as an explanation for the pattern of strike activity in the united states since 1900 the paper begins with a review of strike activity in the post 1900 period and then develops a conceptual framework incorporating six factors the size of union membership economic conditions political events institutional arrangements psychological variables and the extent of rival unionism to explain this historical pattern the second part of the paper contains a regression analysis of strike activity over the 1900 1977 period the regression results show that both the economic factors of unemployment and inflation and various noneconomic factors such as changes in union membership the outbreak of world war ii and enactment of new deal legislation are significant in explaining variations in strike activity during t

common stochastic trends in a system of exchange rates univariate tests reveal strong evidence for the presence of a unit root in the univariate time series representation for seven daily spot and forward exchange rate series furthermore all seven spot and forward rates appear to be cointegrated that is the forward premiums are stationary and one common unit root or stochastic trend is detectable in the multivariate time series models for the seven spot and forward rates respectively this is consistent with the hypothesis that the seven exchange rates possess one longrun relationship and that the disequilibrium error around that relationship partly accounts for subsequent movements in the exchange rates a general consensus has emerged in recent years that many macroeconomic time series such as gnp consumption expenditures disposable income etc can be characterized by a stochastic trend model in particular nelson and plosser 22 described this property as one of being difference stationary so that the first difference of a time series is stationary an alternative trend stationary model where a stationary component is added to a deterministic trend term has generally been found to be less appropriate 1 similarly it has long been recognized that many financial time series such as foreign exchange rates are nonstationary e g in meese and singleton 21 the issue of nonstationary is not merely a statistical curiosity but has several important implications for the modeling of exchange rates for instance many models of exchange rate determination under rational expectations require stationarity assumptions when solving out the expected future values of the fundamentals further there has been some controversy over the appropriate transformations to use when conducting tests of whether the forward rate is an unbiased and efficient predictor of the future spot exchange rate 2 some authors e g frenkel 11 12 have conducted tests in levels while geweke and feige 14